Crédit Agricole Corporate and Investment Bank Deutschland, Niederlassung
einer französischen
Société Anonyme
Frankfurt am Main
Jahresabschluss zum Geschäftsjahr vom 01.01.2019 bis zum 31.12.2019
UNIVERSAL REGISTRATION
DOCUMENT 2019
The Universal Registration Document has been filed on 27th March 2020 with AMF,
as
competent authority under Regulation (UE) 2017/1129, without prior approval pursuant
to Article 9 of the said regulation.
The Universal Registration Document may be used for the purposes of an offer of
securities
to the public or an admission of securities to trading on a regulated market if completed
by a securities note and, if applicable, a summary and any amendments to the Universal
Registration Document. The whole is approved by the AMF in accordance with Regulation
(EU) 2017/1129.
WORKING EVERY
DAY IN THE INTEREST OF OUR CUSTOMERS AND SOCIETY
Crédit Agricole's
end purpose, is to be a trusted partner to all its customers:
Its solid position and the diversity of its expertise enable CA to offer all its
customers
ongoing support on a daily basis and for their projects in life, in particular by
helping them to guard against uncertainties and to plan for the long term.
CA is committed to seeking out and protecting its customers interests in all it
does.
It advises them with transparency, loyalty and pedagogy.
It places human responsibility at the heart of its model : it is committed to helping
all its customers benefit from the best technological practices, while guaranteeing
them access to competent, available local teams that can ensure all aspects of the
customer relationship.
Proud of its cooperative
and mutualist identity and drawing on a governance representing
its customers, Crédit Agricole:
Supporting the economy, entrepreneurship and innovation in France and abroad: it
is
naturally committed to supporting its regions.
It takes intentional action in societal and environment fields, by supporting progress
and transformations.
It serves everyone: from the most modest to the wealthiest households, from local
professionals to large international companies.
This is how Crédit Agricole demonstrates its usefulness and availability to its
customers,
and the commitment of its 142,000 employees to excellence in customer relations and
operations.
| 10th bank worldwide |
1 st cooperative worldwide |
1 st bank in France |
1 st insurer in France |
1 st European asset manager |
ABOUT CRÉDIT AGRICOLE
The Crédit Agricole Group includes Crédit Agricole S.A., as well as all of the
Regional
Banks and Local Banks and their subsidiaries.
(1)
Through SAS Rue La Boétie, the Regional Bank of Corsica 99.9% owned by Crédit Agricole
S.A., is a shareholder of Sacam Mutualisation.
(2)
Insignificant.
OUR BUSINESS MODEL:
facilitate our customers' business
Crédit Agricole
S.A. at 31 December 2019 (% interest) (1)
Financial transactions between Crédit Agricole S.A. and its subsidiaries are subjected
to reglemented agreement, as the case may be, that are mentioned in the statutory
auditors' special report.
Internal mechanisms of Crédit Agricole Group (in particular between Crédit Agricole
S.A. and the Regional Banks) are detailed in the Universal Registration Document of
Crédit Agricole S.A., in the paragraph "Internal financing mechanisms", in introduction
of the consolidated financial statements.
(1)
Direct % interest held by Crédit Agricole S.A. and its subsidiaries.
(2)
Owned by Crédit Agricole Group.
(3)
These two entities have been renamed at the beginning of January 2020. At 31.12.2019,
they were named « Santander Securities Services Spain » and « Santander Fund Administration
Spain ».
MESSAGE
from the Chairman
and the Chief Executive Officer
In June 2019, Crédit Agricole Group announced a new mediumterm plan, "Ambitions
2022".
It is a demanding plan based on our mission "Working every day in the interest of
our customers and society". This new plan revolves around three major pillars: a Customer
Project aiming to reach excellence in our relationships, a Human Project focusing
on the responsibility of the Group's employees, and a Societal Project based on our
commitments in terms of social inclusion and the energy transition.
Today, the unprecedented crisis that we are experiencing is for each one of us
a reminder
of our duty to act in a responsible way. The duty of Banks is clearly to fulfil their
crucial role, which is to support the economy and its various players.
Crédit Agricole Group, the 10th largest banking group worldwide, will stand by
its
clients to help them overcome this crisis whose economic impacts will be significant.
Crédit Agricole CIB, our corporate and investment bank, is and will remain available
to accompany its clients everywhere in the world. It is our mission. It is shared
by all the Group's employees, and more than ever, I am convinced it will guide us
in the future.
PHILIPPE BRASSAC
Chairman of Crédit Agricole CIB's Board of Directors
Crédit Agricole S.A. Chief Executive Officer
With its corporate and investment banking (CIB) and wealth management activities,
Crédit Agricole CIB announced strong results for the fiscal year 2019. The Corporate
and Investment Bank's revenues reached 4.7 billion euros (a significant increase of
+7% compared with 2018). Wealth Management revenues are stable at 825 million euros
with assets under management up 9.3 billion euros to 132.2 billion euros at year-end
2019.
In June 2019, Crédit Agricole Group announced its new mediumterm plan, "Ambitions
2022". In line with these announcements Crédit Agricole CIB defined its new strategic
plan which aims to pursue its business plan focused on its clients and the real economy,
by leveraging on its expertise and social commitments.
The major crisis we are experiencing today with the COVID-19 pandemic will have
significant
impacts on the world economy and therefore on our clients. True to its commitments
and values, Crédit Agricole CIB will be there to help them overcome this crisis. More
than ever alongside its clients all over the world - medium size companies and large
corporates - Crédit Agricole CIB will serve them every day with all the skills of
its employees and their full commitment.
JACQUES
RIPOLL, Crédit Agricole CIB Chief Executive Officer
1 PRESENTATION
OF CRÉDIT AGRICOLE CIB
Income statement
highlights
|
31.12.2019 |
31.12.2018 |
31.12.2017 |
| € million |
Crédit Agricole CIB |
Underlying CIB1 |
Crédit Agricole CIB |
Underlying CIB1 |
Crédit Agricole CIB |
Underlying CIB1 |
| Net banking income |
5,459 |
4,700 |
5,276 |
4,409 |
4,999 |
4,587 |
| Gross operating income |
2,037 |
2,010 |
1,955 |
1,799 |
1,814 |
2,027 |
| Net income Group Share |
1,553 |
1,497 |
1,479 |
1,372 |
1,156 |
1,284 |
1
Restated for loan hedges and impact of DVA on NBI and tax in 2019, 2018 and 2017,
restated for gains on disposal of BSF as a proportion of equity method (EM) net income
and restated for exceptional tax in 2017.
Balance sheet
| € billion |
31.12.2019 |
31.12.2018 |
31.12.2017 |
| Total assets |
552.7 |
511.7 |
488.6 |
| Gross loans to customers |
146.1 |
136.6 |
138.1 |
| Assets under management (in Wealth Management) |
132.2 |
122.8 |
118.3 |
Financial structure
| € billion |
31.12.2019 |
31.12.2018 |
31.12.2017 |
| Shareholder's (including income) |
22 |
20.3 |
18.9 |
| Tier one capital |
20.2 |
19 |
18.2 |
| Basel III risk-weighted assets |
120.5 |
118.9 |
112.0 |
Solvency ratio
Ratings
|
Short-term |
Long-term |
Last rating action |
| Moody's |
Prime-1 |
Aa3 [Stable outlook] |
19 September 2019 |
| Standard & Poor's |
A-1 |
A+ [Stable outlook] |
18 October 2019 |
| Fitch Ratings |
F1 |
A+ [Stable outlook] |
20 November 2019 |
Breakdown of net
banking income
31.12.2019
BREAKDOWN OF REVENUES
BY BUSINESS LINES 1
|
31.12.2018 |
31.12.2017 |
| Financing activities |
48% |
43% |
| Capital markets and investment banking |
37% |
43% |
| Wealth management |
16% |
14% |
1
Restated for loan hedges and impact of DVA on NBI and tax in 2019, 2018 and 2017,
restated for gains on disposal of BSF as a proportion of equity method (EM) net income
and restated for exceptional tax in 2017.
BREAKDOWN OF NET
BANKING INCOME BY GEOGRAPHICAL AREA
|
31.12.2018 |
31.12.2017 |
| France |
40% |
36% |
| Europe |
28% |
29% |
| International |
32% |
35% |
Headcount at end
of period
FULL-TIME EQUIVALENT
|
20181 |
20171 |
| France |
4,989 |
4,499 |
| International |
6,555 |
6,202 |
| Total |
11,544 |
10,701 |
1
Wealth management contributes to 3,169 in 2019, 3,219 in 2018 and 3,014 in 2017.
1. COMPANY HISTORY
| 1863 |
Creation of Crédit Lyonnais |
| 1875 |
Creation of Banque de l'Indochine |
| 1894 |
Creation of the first "Sociétés de Crédit Agricole",
later entitled Caisses Locales
("Local Banks")
|
| 1920 |
Creation of Office National de Crédit Agricole, that
became the Caisse Nationale de
Crédit Agricole (CNCA) in 1926
|
| 1945 |
Nationalisation of Crédit Lyonnais |
| 1959 |
Creation of Banque de Suez |
| 1975 |
Merger of Banque de Suez and Union des Mines with Banque
d'Indochine to form the Banque
Indosuez
|
| 1988 |
CNCA becomes a public limited company owned by Regional
Banks and employees ("Mutualisation") |
| 1996 |
Acquisition of Banque Indosuez by Crédit Agricole one
of the world's top 5 banking
groups, to create international investment banking arm
|
| 1997 |
The Caisse nationale de Crédit Agricole consolidates
within Crédit Agricole Indosuez
its existing international, capital markets and corporate banking activities
|
| 1999 |
Privatisation of Crédit Lyonnais |
| 2001 |
CNCA changes its name to Crédit Agricole S.A. and goes
public on 14 December 2001 |
| 2003 |
Successful mixed takeover bid on Crédit Lyonnais by Crédit
Agricole S.A. |
| 2004 |
Creation of Calyon, the new brand and corporate name
of the Crédit Agricole Group's
financing and investment banking business, through a partial transfer from Crédit
Lyonnais to Crédit Agricole Indosuez
|
| 06-feb-10 |
Calyon changes its name and becomes Crédit Agricole Corporate
and Investment Bank |
2. 2019 HIGHLIGHTS
In 2019, the year was marked by an accommodating ECB policy and anchoring of rates
to a very low level for an indefinite period. Consequently, the banks' profitability
has begun to suffer the effects of negative rates. Regarding the global macro-economic
outlook, the trade war between the United States and China continued into 2019, with
the formalisation of a partial Sino-American trade agreement. In addition, the saga
of Brexit continued over the year and its finalisation was accelerated in early 2020,
which saw the beginning of detailed negotiations on the future partnership between
the United Kingdom and the European Union. In France, the year ended with social movements
leading to a slowdown in household consumption over the last quarter. Overall, France's
growth slowed in 2019 to 1.2% after hitting 1.7% in 2018.
Despite the tensions and uncertainties in the global economic outlook, financial
markets,
for their part, experienced growth over 2019, with very low implicit volatility.
In this context, the bank recorded 7% growth in income between 2018 and 2019. Revenue
growth is driven by the appreciation of the dollar against the euro and the very good
performance of all the market and investment banking businesses. Furthermore, the
financing activities maintained high levels of revenue, gaining market shares and
remaining in 2nd place on syndication activities in EMEA. On capital markets and investment
banking activities, Crédit Agricole CIB moved up three places and ranked 1st worldwide
in all agencies bonds (+1.2 market shares compared to 2018). Furthermore, M&A
activities
remain stable in an unfavourable market environment (European market falling by 25%
and French market falling by 37%).
Following the publication of Crédit Agricole S.A.'s Medium Term Plan on 6 June
2019,
Crédit Agricole CIB set out its strategic priorities, which were presented to investors
and analysts at the Investor Workshop on 11 December 2019. In particular, Crédit Agricole
CIB reaffirmed its strategic positioning, a distinctive and profitable business model
resulting from three major strategic choices:
| ― |
Generate more revenue with companies than with financial institutions,
|
| ― |
With more financing activities than pure capital market activities,
|
| ― |
And having developed a strong and coordinated international network.
|
In addition, Crédit Agricole CIB has set ambitious financial targets for its 2022
trajectory, with annual revenue growth by +3% (notably driven by capital markets and
investment activities - with a focus on repo activities, which are low RWA consuming),
controlled organic cost growth covered by savings plans (+1.3% average annual growth
excluding SRF) and a cost/income ratio under 55%, a normalised cost of risk in line
with our historical level and RWAs that are strictly monitored through active management
(synthetic securitisations in a context of strong Basel IV regulatory constraints).
Thanks to all these elements, the Crédit Agricole CIB profitability, measured by the
Return on Normalised Equity (RoNE) will be organically improving (RoNE > 10% in
2022).
3. CREDIT AGRICOLE
CIB'S BUSINESS LINES
3.1 FINANCING
ACTIVITIES
Structured finance
| ― |
Aircraft and rail financing
|
| ― |
Shipping financing
|
| ― |
Real estate and hotels
|
| ― |
...
|
Commercial Banking
| ― |
Cash management
|
| ― |
Transactional commodity finance
|
| ― |
Syndicated loans
|
| ― |
International trade financing
|
| ― |
...
|
3.2 CAPITAL MARKETS
AND INVESTMENT BANKING
Global Markets
Divisions
| ― |
Credit
|
| ― |
Interest rate derivates
|
| ― |
Structuring and product development
|
| ― |
Foreign exchange
|
| ― |
...
|
Treasury division
| ― |
Short term liquidity management
|
| ― |
Bank short term refinancing
|
Investment Banking
| ― |
Advisory activities related to stocks and securities issuance
|
| ― |
Structuring and selling transactions involving equity derivatives
|
| ― |
Activities dedicated to mergers and acquisitions
|
| ― |
Tailored-made financing transaction
|
3.3 WEALTH MANAGEMENT
3.1 FINANCING
ACTIVITIES
The Financing activities combine Structured Finance and Commercial Banking. The
underlying
net banking income (1) was €2,524 million for 2019 which represents 53.7%
of CIB underlying net banking
income (1) .
Structured finance
At 31 December 2019, the Structured Finance business lines' underlying net banking
income (1) was €1,226 million for the year as a whole, which represents
48.6% of the underlying
net banking income (1) of Financing activities.
The Structured Finance business (SFI) consists in originating, structuring and
financing
major export and investment operations in France and abroad, often backed with assets
as collateral (aircraft, boats, business property, commodities etc.), along with complex
and structured loans.
The Structured Financing business is historically a strong point of Crédit Agricole
CIB with global top 5 rankings in certain products. SFI strives to maintain excellence
in the quality of services delivered and to optimise consumption of RWA and liquidity
whilst improving the rotation of assets and diversifying distribution channels.
ASSET FINANCE
GROUP
♦ Aircraft and
rail financing
Involved for more than thirty-five years in the aeronautics sector, and enjoying
an
excellent reputation in the markets, Crédit Agricole CIB has always preferred long-term
striving to build lasting relationships with major airlines, airports and business-related
services to air transport (maintenance, ground services, etc.) to understand their
priorities in terms of activity and funding requirements.
Present for several years in the rail industry in New York and Paris, Crédit Agricole
CIB continues to expand its offering in Europe.
♦ Shipping financing
Crédit Agricole CIB has been financing ships for French and foreign ship-owners
for
thirty years and acquired solid expertise and a worldwide reputation. This business
line supports a modern and diversified fleet of over 1,100 ships to an international
clientele of ship-owners.
♦ Real estate
and hotels
Crédit Agricole CIB's real estate and hotels department operates in 10 countries.
Crédit Agricole CIB provides advice to real estate professionals and to companies
and institutional investors that want to optimise the value of their properties.
ENERGY & INFRASTRUCTURE
GROUP
♦ Natural resources,
infrastructure and power
Crédit Agricole CIB provides financial advice and arranges nonrecourse credit for
new projects or privatisations. The banking and bond financing that Crédit Agricole
CIB arranges involves commercial banks as well as export credit agencies and/or multilateral
organisations.
The project finance business operates in natural resources (oil, gas, petrochemicals,
mines and metal bashing), electricity generation and distribution, environmental services
(water, waste processing) and infrastructure (transport, hospitals, prisons, schools
and public services).
The business operates worldwide, in a dozen of regional excellence centres.
JV LEVERAGE
In 2019 the Acquisition finance, Telecoms and DCM/High Yield teams were combined
to
better serve the private equity fund and Corporate clientele, basing their development
on an important driver. In collaboration with investment banking, they offer services
for all stages of their development: raising capital, bank debt and bond debt, acquisition
of target companies, buying and selling consulting, IPOs, interest rate products.
Crédit Agricole CIB has been advising and financing Telecom, Media & Technology
companies
and private equity funds for over thirty years.
Commercial Banking
At 31 December 2019, the Commercial Banking business line's underlying net banking
income (1) was €1,298 million for the year as a whole, which represents
51.4% of the underlying
net banking income (1) Financing activities.
INTERNATIONAL
TRADE & TRANSACTION BANKING (ITB)
Crédit Agricole CIB offers its clients, importers or exporters, financing and securing
solutions for their international trade operations. The Export & Trade Finance
business
is based on a commercial network of specialists spread across nearly 30 countries.
Commercial Bank in France has products and services that rely on the expertise
of
specialised business lines of Crédit Agricole CIB as well as the capabilities offered
by the networks of Crédit Agricole Group (Regional Banks, LCL) and its specialised
subsidiaries.
More precisely, ITB offers domestic and international cash management, short and
medium
term trade finance, syndicated loans, leasing, factoring, supply chain, international
trade (letters of credit, receipts, pre-financing export, buyer credits, forfaiting,
etc.), domestic and international guarantees, market guarantees, and interest rates
and foreign exchange risk management products. The Bank also provides transactional
commodity finance which offers funding solutions and secure payments related to shortterm
flows of commodities and semi-finished products. Our clients are major international
producers and traders operating in the commodity markets, particularly energy (oil,
derivatives, coal and biofuel), metals, soft and certain agricultural commodities.
(1)
Restated for loan hedges and debt valuation adjustment (DVA) impacts, -€44 million
and -€21 million, respectively.
GENERAL COVERAGE:
CIB
In 2019 the Corporate Coverage, Specialist SFI Coverage and FI Coverage divisions
were merged within the CIB hub. The CIB hub provides coverage of large companies in
France and abroad, and more specifically in France, coverage of midcap companies.
In terms of Islamic finance, Crédit Agricole CIB provides easy access to Sharia
compliant
solutions in many areas with a dedicated team in the Gulf.
A dedicated green banking team helps the bond issuing and financing business to
structure
transactions in compliance with CSR commitments. Crédit Agricole CIB is a global leader
in the green bonds market.
DEBT OPTIMISATION
& DISTRIBUTION (DOD)
Debt Optimisation & Distribution is in charge of the origination, structuring
and
arranging medium and long-term credits for corporate clients and financial institutions.
Syndicated loans are an integral part of capital raising for large companies and
financial
institutions.
The DOD business line is a driving force in the distribution of syndicated loans
with
a view to optimising Crédit Agricole CIB's balance sheet.
The DOD business line is the starting point of new initiatives in terms of distribution:
new asset class, new distribution channels including the partnership with CA Group
Regional Banks.
3.2 CAPITAL MARKETS
AND INVESTMENT BANKING
This business includes capital markets, as well as investment banking and the underlying
net banking income (1) was €2,176 million for 2019, which represents 46.3%
of CIB underlying net banking
income (1) .
Global Markets
Division
At 31 December 2019, the Global Markets Division business line's underlying net
banking
income (1) was €1,681 million for the year as a whole, which represents
77.3% of Capital Markets
and Investment Banking's underlying net banking income (1) .
This business line covers all trading activities and the sale of market products
intended
for corporates, financial institutions and major issuers.
Owing to a network of 18 trading floors, including five liquidity centres in London,
Paris, New York, Hong Kong and Tokyo, Crédit Agricole CIB offers its customers strong
positions in Europe, Asia and the Middle East, a targeted presence in the USA, and
additional entry points into local markets.
Global Markets Division (GMD) is organised around:
| ― |
Financing & Funding Solutions which encompasses Securitisation
Vehicles and Global
Credit (comprising the Debt Capital Market (DCM) origination, syndication, trading
credit and credit sales teams)
|
| ― |
Hedging & Investment Solutions which encompasses sales to
financial institutions,
Trading activities in two areas (Macro and Non-Linear) covering a variety of underlying
products (foreign exchange, interest rates and Non-Linear), structuring activities
and a dedicated Research team.
|
And three cross-functional support roles:
| ― |
global Chief Operating Officer (COO) who monitors various elements
across all functions
(financial indicators, IT projects and processes, operational risk and implementation
of the business line strategy);
|
| ― |
the cross-functional unit which manages rare resources, Onboarding,
Transaction Management,
Clearing and the regulatory watch;
|
| ― |
the Transformation unit which supports the business line with
its upgrades and technological
challenges.
|
| ― |
Equity Solutions, supervised jointly with GIB within CIB, offers
structured solutions
based on equity derivatives and liquid equity financing, namely employee shareholding,
management, employee profit sharing and treasury share transactions and financing
backed by listed securities. Equity Solutions includes managing positions and market
making, primarily for convertibles.
|
Treasury division
At 31 December 2019, the Treasury business line's underlying net banking income
(1) was €210 million for the year as a whole, which represents 9.7% of
the underlying
net banking income (1) of Capital Markets and Investment Banking.
The Treasury business line hierarchically reports to the Chief Financial Officer
via
Execution Management and functionally depending on the site, either at the SCO, the
CFO, or the local division managers.
In 2018 the Crédit Agricole CIB and Crédit Agricole S.A. Treasury businesses joined
forces to form a pooled team. The Treasury business now manages the liquidity risk
of the Group whilst respecting the regulatory constraints in which the two legal entities
operate.
The Treasury business ensures the sound and prudent daily management of the Bank's
short-term liquidity, in accordance with the methods decided in the Asset & Liability
Management Committees, in accordance with internal and external constraints (short
term liquidity ratios, regulatory ratios, reserves).
The organisation of the Treasury business around 5 liquidity centres worldwide
(Paris,
London, New York, Hong Kong and Tokyo), 17 local Treasury departments and a central
hub for private banking enables the short-term financing requirements of the Bank
and of the recycling of liquidity surpluses to be continually optimised, in particular
by central bank replacement.
This geographical location enables access to wide-ranging and diversified short-term
financing, complementing the long-term refinancing provided by ALM.
The Treasury business also manages a portfolio of high-quality liquid assets (HQLA).
(1)
Restated for loan hedges and debt valuation adjustment (DVA) impacts, -€44 million
and -€21 million respectively.
The Treasury business is responsible for the Bank's short-term issuance programmes
(New CP/CD/ECP, etc.) and also for the process for contributing to the Euribor, Libor
and CNHbor.
Investment Banking
At 31 December 2019, the Investment banking business line's underlying net banking
income (1) was €284 million for the year as a whole, which represents
13% of the underlying
net banking income (1) of Capital Markets and Investment Banking. Investment
banking business involves "all
equity and long-term" financing activities for corporate clients of Crédit Agricole
CIB and has four main segments:
PRIMARY EQUITY
CAPITAL MARKETS
The Primary Equity Capital Markets business line is responsible for the advisory
activities
related to stocks and securities issuance giving rights to the share capital.
It is especially in charge of capital increases, secondary offerings as well as
convertible
bonds, exchangeable bonds and other hybrid products issues for the large and mid-cap
primary markets.
GLOBAL CORPORATE
FINANCE
This business line gathers the activities dedicated to mergers and acquisitions,
from
strategy advisory services to transaction execution.
It assists clients in their development with, advisory mandates for purchases and
disposals, opening up capital to new investors and restructuring, strategic financial
advisory services and advisory services for privatisations.
STRUCTURED AND
FINANCIAL SOLUTIONS (SFS)
The Structured and Financial Solutions business line offers Crédit Agricole CIB's
large customers tailored solutions with high added value in support of their complex
financing operations. In particular, it makes it possible to find alternative financing
solutions for traditional banking operations and capital market solutions.
SFS also realises receivables' financing, of which the "CICE" tax credit put in
place
by the French government.
3.3 WEALTH MANAGEMENT
The Wealth Management, under the worldwide trademark of Indosuez Wealth Management
since January 2016, offers a tailored approach allowing each individual customer to
manage, protect and transfer their assets in a manner which best fits their aspirations.
With a subtle combination of excellence, experience and expertise, and a global vision,
our teams offer them simple and sustainable solutions adapted to each situation.
Since 2012, Wealth Management has been part of an entirely globalised and cross-functional
organisation. This enables the best combination of the teams' know-how, and use of
their synergies together in order to improve proximity to, and the experience of,
an increasingly international clientele.
Constantly striving to offer its clients an excellent, more effective service which
is in keeping with its values, Indosuez Wealth Management pursues its digital transformation
with the creation of a global digital Innovation and Transformation subsidiary which
will help it digitalise its offerings and processes and improve the Client journey.
In France, the partnership which links Indosuez France and the regional banks (Caisses)
is based on complementary approaches, and is a distinct advantage when it comes to
satisfying the evolving expectations of wealthy clients of the Crédit Agricole Group.
(1)
Restated for loan hedges and debt valuation adjustment (DVA) impacts, -€44 million
and -€21 million respectively.
2 ECONOMIC, SOCIAL
AND ENVIRONMENTAL INFORMATION
ENERGY TRANSITION
85% OF RENEWABLE
ENERGY
in the financing of electricity generation in terms of number of projects in 2019
42.9 BILLION EUROS
arranged green bonds in 2019
HUMAN RESOURCES
44.4% OF WOMEN
among the worldwide employees of Crédit Agricole CIB
72% EMPLOYEES
consider having a good work/life balance.
COMPLIANCE
THE COMPLIANCE
TRAINING SYSTEM CONSISTS OF
22 E-LEARNING
TRAININGS
(9 general trainings and 13 dedicated trainings)
8 NEW MODULES
deployed in 2019
1. OUR CSR STRATEGY:
PROGRESSIVE ACTIONS DRIVEN BY EMPLOYEES' INVOLVEMENT
Some of the information not included in this document can be found in the Crédit
Agricole
CIB Corporate Social Responsibility (CSR) policy, which is published on the Bank's
website. There you will find details about Crédit Agricole CIB's approach, its financing
and investment policies and their implementation, the protection of customer interests
and respect for ethics in business, its undertakings and actions as a responsible
and committed employer, the management of the impacts of the Bank's operations and
its policy on charities, sponsorship and supporting university research.
The following pages focus on the actions taken in 2019.
Although the developments below illustrate, for Crédit Agricole CIB, the implementation
of the Crédit Agricole Group S.A. Vigilance Plan and the group's non-financial performance,
this chapter is neither a report on the implementation of the Vigilance Plan, nor
a declaration on the non-financial performance, both of which are presented in the
Crédit Agricole S.A. Universal Registration Document.
1.1 OUR APPROACH
Crédit Agricole
CIB
In 2019 the Crédit Agricole Group put together its new "2022 Ambitions" project
with
a view to establishing its social utility as an essential component of its activities,
business lines and processes. This strategic plan is three-dimensional, comprising
a Client Project, a People Project and a Societal Project.
The Crédit Agricole CIB strategy fully embraces this approach. The Bank has entered
into stringent societal commitments which cover three priority areas: the fight against
climate change, preservation of biodiversity and respect for human rights.
For several years now, these issues have been tackled by a three part initiative:
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to reduce its direct environmental footprint;
|
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to measure and reduce environmental and social risks related
to its financing activity
(notably based on the Equator Principles, the CSR sector policies, and the introduction
of CSR scoring of corporate clients);
|
| ― |
to increase the positive impacts of its business through Sustainable
Banking.
|
In addition to controlling the Bank's direct environmental footprint, Crédit Agricole
CIB seeks through this initiative to tackle societal objectives and help its clients
overcome their social, environmental and solidarity related challenges.
Indosuez Wealth
Management
Built and structured within a Business Line CSR Committee, the CSR strategy of
Indosuez
Wealth Management, a wholly-owned subsidiary of Crédit Agricole CIB, is based on three
main pillars: People, Clients/Products and Societal. Each is steered by a manager
who works in close collaboration with the local CSR Managers. The initiatives in place
are reviewed and discussed at Business Line CSR Committee meetings, held every six
months. In line with the intention expressed by Crédit Agricole S.A. and the Group's
commitment to the principles of the United Nations Global Compact, the Private Banking
division is working to embed sustainable development values at the heart of its business
lines by way of a pragmatic approach which builds on the specific achievements made
to date.
1.2 GOVERNANCE
STRENGTHENED BY EMPLOYEES' INVOLVEMENT
Governance
Sustainable development challenges are taken into account by Crédit Agricole CIB
in
accordance with the general guidelines proposed by the CSR Department of Crédit Agricole
S.A. and validated by the CSR Committee of the Crédit Agricole Group. They are the
subject of two internal governance documents that define the framework.
The Sustainable Development division, which reports to the Corporate Secretary,
proposes
and coordinates Crédit Agricole CIB's sustainable development actions with the bank's
business lines and support functions.
An ad hoc Committee, the Committee for the Assessment of Transactions with an Environmental
or Social Risk (CERES), chaired by the head of the Compliance function, acts as a
toplevel Committee of the system for evaluating and managing environmental and social
risks related to the activity. More specifically, this Committee issues recommendations
prior to the Credit Committee meeting for all transactions whose environmental or
social impact it feels needs close monitoring. The CERES Committee validates the ratings
of the transactions in accordance with the Equator Principles, issues opinions and
recommendations on transactions classified as sensitive in respect of environmental
and social aspects, and approves the CSR sector policies prior to their validation
by the Strategies and Portfolios Committee.
The CERES Committee met seven times in 2019 to discuss issues such as: the review
of transactions signed-off during the year and the approval of ratings according to
the Equator Principles, the monitoring of sensitive transactions, a review of the
governance documents and implementation of the vigilance plan.
In 2019, the CERES Committee specifically reviewed 46 transactions before they
were
sent to the Credit Committee, given their importance and the sensitivity of the potential
environmental or social impacts identified. In 13 instances its recommendations led
to special environmental and social risk management requirements being put in place.
Employees at the
heart of the implementation
The model developed by Crédit Agricole CIB is based on the daily involvement of
all
employees as agents of sustainable development in their work, in order to assess and
manage direct or indirect environmental risks.
Client managers and senior bankers are responsible for analysing environmental
and
social challenges related to their client portfolio. Whenever necessary, they call
on the Sustainable Development team, and submit the most complex transactions from
an environmental or social point of view to the CERES Committee.
The gradual incorporation of sustainable development priorities into our operations
(widening the scope of application of the Equator Principles, sector wide CSR policies,
scoring of corporate clients, etc.) and our decision to make employees a central part
of the strategy has led the Bank to step up training for employees to raise their
awareness of CSR matters. The action plan aimed at reinforcing the CSR culture, implemented
in 2017, continues to be deployed with an objective to incorporate the CSR aspects
into operations. This resulted in new initiatives such as the business line workshops
for employees to enhance their knowledge of technical subjects specific to certain
business lines.
Significant Events
in 2019
Skills Sponsorship
for startups
Startup Mission sees Bank employees being seconded temporarily to Village by CA
startups.
We created this original skills sponsorship programme when we realised that startups
may need the skills and experience of large groups at key phases of their development
and at the same time Bank employees have to face the challenges of changing working
methods and tools. Their four-week immersion in the startups provides the Bank employees
with an alternative to traditional training to help them adopt an agile, startup mindset.
Since Startup Mission launched late 2018, 20 employees have offered their know-how
free of charge to assist Village by CA startups in areas such as artificial intelligence,
deploying an HR strategy and raising funds.
Startup Mission was launched after an employee idea gathering campaign in 2018.
1.3 AN APPROACH
FOCUSING ON ONGOING PROGRESS AND LISTENING TO OUR STAKEHOLDERS
The FReD approach
Crédit Agricole CIB and CA Indosuez Wealth Management are fully involved in the
Crédit
Agricole Group's FReD progress driven approach. For each participating entity, the
process intended to strengthen CSR within the Group consists in 12 action plans focused
on three key areas involving clients (Fides), employees (Respect) and the environment
(Demeter). Specific and measurable objectives are defined for each plan, and the overall
aim is to make yearly progress at an average rate of 1.5 levels on a four level progression
scale (plans implemented before 2017 retain their five level scale).
In 2019, the average level of progress recorded by the 12 action plans of Crédit
Agricole
CIB was 1.7, comparable to the level reached in 2017 and 2018.
In 2019, the average level of progress recorded by the action plans of the Indosuez
Wealth Management Group was 1.6. .
Relationships
with stakeholders
Crédit Agricole CIB believes that listening to its stakeholders is the way forward.
It held several meetings with NGOs in 2019.
Continuing the work started in 2017 as part of the Equator Principles association;
Crédit Agricole CIB also continued to play an active role in the process of revising
the Equator Principles announced in November 2017, in particular by managing a working
party on standards applicable to projects in developed countries. This culminated
in publication of the fourth version of the Equator Principles in November 2019.
In late 2019 Crédit Agricole CIB joined the steering Committee of the Mainstreaming
Climate Action within Financial Institutions initiative.
2. PROMOTING AN
ETHICAL CULTURE
The Crédit Agricole CIB Group has adopted the Crédit Agricole Group's approach
to
positioning ethics as one of its priorities. It promotes Group initiatives which aim
to exceed regulatory standards and establish an ethical culture.
2.1 DEVELOPING
AN ETHICAL DIMENSION IN BUSINESS
The mission of the Compliance function is to contribute to the compliance of activities
and operations of the Bank and its staff with laws and regulations in force, internal
and external rules, and the professional and ethical standards in banking and finance
applicable to the Crédit Agricole CIB Group's activities.
The code of conduct
In 2014, Crédit Agricole CIB launched several initiatives to strengthen the compliance
and ethical culture. This initial work gave Crédit Agricole CIB, in 2015, a Code of
Conduct consisting of a common foundation of 7 principles intended to align behaviours
with the Bank's values and thus guide employees on a daily basis.
More recently, the Crédit Agricole CIB Group joined the Crédit Agricole Group approach
by adopting the Group Ethical Charter. As a result, in 2018 it reviewed its Code of
Conduct to take into account and devise all the topics of its Ethics Charter. This
Code of Conduct aims to:
| ― |
assert our principles and ethical values;
|
| ― |
engage with our clients and Group partners.
|
Indosuez Wealth Management circulated its Code of Conduct which translates the
commitments
of the global Crédit Agricole Ethics Charter into practical action. Published on the
intranet and websites, this Code of Conduct promotes the values of close relationships,
responsibility and solidarity and also sets out guidelines on behaviour towards clients,
all stakeholders, employees, suppliers and contractors.
Training of directors
and managers
In accordance with the guidelines of the European Banking Authority and the provisions
of the French Monetary and Financial Code, Compliance officers train members of the
Board of Directors in current regulatory issues.
Members of the Crédit Agricole CIB Board of Directors are thus trained in compliance
issues on a yearly basis. In 2019 the Board Members' attention was drawn to recently
regulatory changes, international sanctions in particular. At the same time, a certain
number of compliance courses are made available to them so that they can have access
to summary information on compliance issues.
The Holding company of the Wealth Management business line, although not subject
to
the requirements of the authorities, has applied the system proposed by Crédit Agricole
S.A. Group. Consequently, every year members of the Board of Directors of the Holding
company are trained in compliance issues.
Deploying a responsible
compliance policy
FIGHTING AGAINST
CORRUPTION
The Crédit Agricole CIB Group applies, at the highest level, a zero-tolerance policy
for any unethical behaviour in general, and any risk of corruption in particular.
This policy illustrates the group's long-standing commitment to business ethics, a
key element of its corporate social responsibility policy. It fits well with the compliance
and financial security programmes of the Crédit Agricole Group, aiming to ensure transparency
and loyalty to customers, to contribute to the integrity of financial markets and
to combat money laundering and fraud.
The group's commitment to fighting corruption is reflected in the BS 10500 certification
obtained in 2016, and then the award to the Crédit Agricole Group in 2017, renewed
in 2019 of the ISO 37001 international standard for its anti-corruption system. The
latter recognises its determination and the quality of its corruption prevention programme.
It proves that corruption risks have been correctly identified and analysed and that
the programme has been designed to limit these various risks, applying the best international
practices. This certification covers all the business lines and support functions
of the Crédit Agricole CIB Group. Against the backdrop of increased legal obligations
for fighting corruption, in 2018 Crédit Agricole CIB initiated an action plan in order
to implement "the measures aimed at preventing and detecting corrupt practice", as
referred to in article 17 of the so-called Sapin 2 law of 9 December 2016 on transparency,
fighting corruption and the modernisation of the economy. Existing systems for fighting
corruption have been strengthened by the implementation of the recommendations of
the French Anti-Corruption Agency (AFA).
The Group has implemented specific governance to develop the behaviours to be adopted
in order to avoid any lapses in probity. Crédit Agricole CIB wrote and circulated
an anti-corruption Code of Conduct which was accompanied by in person training for
people in positions which could be exposed to corruption risks.
PREVENTING FRAUD
AND CYBER CRIME
Crédit Agricole CIB continues to strengthen its systems for preventing internal
and
external fraud, against the backdrop of increased frequency and growing complexity
of fraud, particularly through cyber crime.
Correspondents of the anti-fraud division within the business lines and support
functions
are regularly trained in risk elements. Warning and vigilance messages are sent to
all employees, primarily via the Crédit Agricole CIB Intranet site. Targeted prevention
actions are undertaken to advise and support employees in their choices and to help
them to reconcile issues relating to ethics, professional behaviour, objectives and
obligations. These actions enable a culture of probity to permeate all levels of the
company; the controls and procedures associated with any lapses provide an appropriate
management of any behaviours which may harm, directly or indirectly, clients, the
Bank and its employees.
FIGHTING MONEY
LAUNDERING AND THE FINANCING OF TERRORISM
The Compliance Department of the Crédit Agricole CIB Group is responsible for the
implementation by the Group as a whole of a financial security system, consisting
of a set of measures aimed at fighting money laundering and the financing of terrorism,
as well as ensuring compliance with international sanctions.
The Crédit Agricole CIB Group has taken into account the requirements of the transposition
into French law of the fourth European directive 2015/849, approved by the European
Parliament on 20 May 2015, on preventing the use of the financial system for money
laundering and the financing of terrorism. A risk mapping was done and implemented
by all the Group's business lines, within the framework of the vigilance system adapted
to the level of the identified risk, both when entering into relationship and during
the entire business relationship. Crédit Agricole CIB devised a system and aligned
it to the specific nature of its clientele, its business and its network outside France.
Therefore, when entering into any relationship, the required client ID checks are
a first filter to prevent money laundering and the financing of terrorism. This preventative
measure relies on knowledge of the client and of the beneficial owners, completed
by data research through specialised databases. It also takes into account the purpose
and intended nature of the business transaction. During the business relationship,
there is an appropriate vigilance proportionate to the identified level of risks.
For that purpose, the Group's employees may use computer tools for client profiling
and for detecting unusual transactions.
The fight against the financing of terrorism and the system for ensuring compliance
with international sanctions means, in particular, a constant screening of client
files, both when entering into the relationship and during the relationship, with
a list of sanctions as well as the monitoring of international transactions. Despite
the computer tools available, human vigilance remains essential so all employees exposed
to these risks are periodically trained in the fight against money laundering and
the financing of terrorism, and compliance with international sanctions.
REPORTING COMPLIANCE
INCIDENTS
The entire compliance system (organisation, procedures, training programmes) creates
an environment conducive to the strengthening of ex ante control. Nonetheless, when
preventive measures fail and a incident occurs, Crédit Agricole CIB has specific procedures
in place to ensure that these incidents are:
| ― |
detected and then analysed as quickly as possible;
|
| ― |
brought to the attention of managers and compliance functions
at the most appropriate
level within each business line;
|
| ― |
monitored and solved, by establishing an action plan to resolve
the issues.
|
The centralisation of incidents through the reporting process, described in a specific
governance text, makes it possible to measure, at the highest level of the company,
the Crédit Agricole CIB Group's exposure to the non-compliance risk. Therefore, when
an employee reasonably establishes the existence of an incident related to compliance
concerns, he must tell his supervisor who informs the operational heads and the Compliance,
Permanent Control and Legal functions depending on the subject. The system is completed
by a whistleblowing mechanism allowing any employee, if they find an abnormality in
the treatment of a malfunction which they consider is due to a deficiency of, or pressure
exercised by, their manager, or if they think they are being submitted to pressure,
active or passive, that may lead them to cause a dysfunction or to conceal it, to
inform their compliance manager and/or, if they so wish, their manager's direct superior
of the situation. In 2018, the Crédit Agricole CIB Group participated in the project
to strengthen the whistleblowing system by deploying, as a pilot entity, a new tool
which allows employees to report alerts in a confidential and secure manner. This
tool also enables the confidentiality of the facts reported, any people involved and
conversations which may occur between the whistleblower and the officer responsible
for processing the alert, to be ensured. In 2019 the tool was extended to all Crédit
Agricole CIB entities and made available on the website.
The state of the dysfunction is monitored by the Global Compliance Department which
will submit it to the Compliance Management Committee.
SPREADING THE
COMPLIANCE CULTURE
The Crédit Agricole S.A. Compliance Department has developed a training programme
covering Compliance issues. This programme has been delivered by human resources to
all Crédit Agricole CIB Group employees.
At the same time, the Crédit Agricole CIB Compliance Department's units with expertise
in various topics provide both e-learning and classroom training in their area of
expertise to targeted groups. In addition, the Affirmation Campaign reminds employees
of their main Compliance obligations.
A continuous training action plan, which mostly involves e-learning, improves employee
awareness of all Compliance and Financial Security issues, which are constantly changing.
To reinforce the risk culture at Indosuez Wealth Management, an initiative entitled
"Supporting the Relationship Managers with compliance values" is underway. This initiative
involves compliance training for Relationship Managers as soon as they are hired.
MANAGEMENT OF
ACTIVITIES AND PRODUCTS DISTRIBUTED
The Crédit Agricole CIB Group designs and distributes new products, activities
and
services for its customers, in a secure manner thanks to the implementation of a management
system for this process called "NAP Committee" (New Activities/New Products). Any
new product, activity or service must go through the NAP process so that all support
functions can analyse them. In this way, any product, activity or service envisaged
is approved by a NAP Committee whose decision is based on an analysis of all risks
and a confirmation of its compliance with regulations as well as the group's strategy.
The NAP Committee process also involves a CSR analysis and the systematic provision
of a legal and compliance opinion.
Implementing a
transparent lobbying policy
Crédit Agricole CIB acts within the framework of the Crédit Agricole Group policy.
As a result of the entry into force of the Sapin II Law, Crédit AgricoleCIB Group
introduced a system in 2017 to bring its Directors and interest representatives into
line with the reporting obligations.
2.2 SERVING CLIENTS
Protecting clients and their interests is central to Crédit Agricole CIB's concerns.
In this regard, the Group does everything it can to protect its clients' data and
listen to their opinions.
Protecting data
Protecting data and using it correctly, in the interests of clients, the Bank,
its
employees and partners have always been major concerns for the Crédit Agricole CIB
Group.
In 2017 the group adopted the Crédit Agricole CIB Group's Charter on the "Use of
Personal
Data", then the following year adapted its system in France and abroad in accordance
with the General Data Protection Regulations which came into force in May 2018.
Another strong sign of this commitment is Crédit Agricole CIB's deployment, during
an initial stage in France, of its NSU (New Solutions and Uses) system. This system
aims to pro-actively manage the risks (compliance, legal, IT security and operations
risks) associated with the implementation of new data solutions or new uses of data.
It offers all Business Lines and Support Functions a secure framework for the digital
transformation, innovation and the use of new technologies.
Ensuring quality
relationships
One of the principles of the Crédit Agricole CIB Group is to develop long-term
relationships
with its clients based on trust and transparency.
In this regard, Crédit Agricole CIB has implemented a secure process for starting
these relationships and managing the sale of market-based products. The protection
of customers is based on a complete customer classification system which not only
involves applying the MiFID rules applicable in the European Economic Area, but also
worldwide after an internal process called "Internal suitability rating". This system
forms part of the sales process, in particular so that the financial instruments offered
to customers are in line with their risk awareness.
Furthermore, Compliance pays particular attention to the commercial margins on
market-based
products and to the documentation intended for client information, while continuing
to file and retain the underlying data appropriately.
The Bank relies on its NAP process to ensure its new products/ new activities are
in line with the client profile. Finally, in order to meet the new product governance
obligations imposed by MIFID 2, in early 2018 Crédit Agricole CIB set up a taxonomy
for all products handled by the Bank with its customers, and in parallel with the
NAP system, a new MIFID 2 product files Committee was set up with a view to systematically
defining, prior to any transaction, the target market for each of the new products
offered by Crédit Agricole CIB to its customers.
Complaints
The Bank constantly strives to improve its customer protection measures by continuing
to finetune its complaints follow-up system. These complaints have to be systematically
recorded, communicated to a Complaint Correspondent appointed in each department of
the Bank, then replied to within ten days and processed within two months.
2.3 TAX POLICY
The Crédit Agricole CIB Group monitors the commitments made by the Crédit Agricole
S.A. Group in the area of prevention of the risk of tax fraud by its customers, prospects
or suppliers, since tax practices represent an important element of corporate social
responsibility. In this regard, the Crédit Agricole CIB Group ensures compliance with
all countries' fiscal regulations (ETNC, FATCA, AEOI, etc.). It also provides no help
or encouragement to customers, prospects and suppliers with infringing tax laws and
regulations, nor does it facilitate or support transactions where tax efficiency is
based on the non-disclosure of facts to the tax authorities. In this regard, the Crédit
Agricole CIB Group relies on a system to prevent facilitating tax fraud which is incorporated
into the fraud and corruption prevention system.
In line with its global strategy, the Indosuez Wealth Management Group has a basic
rule of only working with customers who meet their tax obligations. Wealth Management
therefore intends to base itself primarily on the systems in place in the different
countries (the Automatic Information Exchange systems in particular) to deal with
the issue of customer Tax Compliance (booking centres available to AEI countries only,
selection of customers living in these countries).
Being responsible
along the entire chain
A governance document, updated in 2019, describes the procurement function's general
operating principles at Crédit Agricole CIB Group, within the framework of Crédit
Agricole S.A. Group's Procurement Business Line. These rules apply to all purchases
made by Crédit Agricole CIB units. This document emphasises the need to include, to
the extent possible, a company from the disability friendly sector in the list of
subcontractors and suppliers. The MUST RSE (MUST CSR) programme applied to purchases
made by Crédit Agricole Group has made it possible to manage legal, financial and
reputational risks by applying best practices in order to forge balanced relationships
with suppliers. A number of achievements have been made as a result of this programme,
namely:
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adding a clause to our contracts which provides for the referral
to a mediator from
the Crédit Agricole S.A. Group, in the event of disagreements relating to the execution
of a contract between a supplier and the internal decision-maker, should both parties
fail to find a solution internally. The option of using a Group mediator is to prevent
the disagreement escalating into a dispute or court action;
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adding a sustainable development appendix to our contracts to
reiterate the Group's
commitments in this area and the expectations that we have of our suppliers;
|
| ― |
obtaining from third-party service providers CSR ratings on our
suppliers and prospects
during consultations or calls for tender.
|
In addition, the centralisation and processing of supplier invoices in an electronic
workflow brought improvements in our suppliers' invoice payment chain and faster invoice
processing times.
All the buyers have had training on the issue of human rights in the value chain.
The Indosuez Wealth Management group is continuing its policy launched in 2016
consisting
of a "Responsible Purchasing" governance and policy which is clear, homogeneous and
in line with the Crédit Agricole Group S.A. strategy.
The responsible purchasing policy's defining issues and priorities include Human
Rights,
Industrial Relations and Working Conditions, the Environment, Fair Business Practices,
Diversity and Communities and Local Development.
3. INCORPORATING
THE CHALLENGES OF CLIMATE CHANGE
This year, as in 2016, 2017 and in 2018, the steps taken to integrate climate change
challenges are presented according to the five "Main-streaming Climate Action within
Financial Institutions" principles signed at the COP21 climate conference in Paris
by a group of multilateral, development and commercial banks, which included Crédit
Agricole.
These five principles provide encouragement to:
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pursue a climate friendly strategy;
|
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managing climate risks;
|
| ― |
promote smart climate objectives;
|
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improve climate related results;
|
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report on climate action.
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3.1 PURSUING A
CLIMATE FRIENDLY STRATEGY
The Crédit Agricole CIB climate policy reflects the different climate challenges
identified:
| ― |
financing the energy transition;
|
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managing climate risks;
|
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reducing its direct carbon footprint as far as possible.
|
The policy was published in 2017 in the document setting out our CSR policy "Crédit
Agricole CIB, a useful and responsible Corporate and Investment Bank" and is reinforced
by the Crédit Agricole Group Climate strategy published in June 2019.
This policy reflects the high level of involvement of the decisionmaking bodies
and
is part of the various commitments of the Crédit Agricole Group and its corporate
and investment bank in this area since the adoption of the Climate Principles in 2008.
The policy includes:
| ― |
ambitious objectives in terms of financing the energy transition,
|
| ― |
realistic but demanding support for our customers in this transformation,
which must
be a gradual one,
|
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major efforts to measure and manage our indirect carbon footprint,
and a renewed commitment
to managing our direct footprint.
|
Significant Events
in 2019
The Group's New
Climate Strategy
In June 2019 Crédit Agricole Group published a Climate strategy aligned with the
Paris
agreement. It provides for a progressive reallocation of financing and investment
portfolios to make green finance one of the group's growth drivers.
The policy will be backed by innovative governance (three new Committees: a Societal
Project Committee, a Monitoring Committee and a Scientific Committee), revised guidelines
(through sector-specific CSR policies) and new tools (an energy transition rating
for clients, for instance).
3.2 MANAGING OUR
CLIMATE RISKS
For a number of years, Crédit Agricole CIB has undertaken work designed to better
understand and manage climate risks:
| ― |
by evaluating the carbon footprint caused by its financing and
investment portfolio
and defining the sector wide policies for sectors which account for a large proportion
of this footprint (over 80% of this footprint on a cumulative basis);
|
| ― |
by seeking to identify the materiality of the climate risks and
by gradually introducing
additional analyses for customers appearing to present the highest risk.
|
Measuring and
mapping climate challenges
Since 2011, Crédit Agricole CIB has used a procedure to calculate greenhouse gas
emissions
said to be financed by a financial institution. The procedure was developed at its
request by the Chair in Quantitative Finance and Sustainable Development at Paris
Dauphine University and Ecole Polytechnique. This innovative P9XCA methodology has,
since 2014, been recommended for corporate and investment Banks in the financial sector
guide to "Conducting a greenhouse gas emissions audit" published by the Agency for
Environment and Energy Management, the Observatory on Corporate Social Responsibility
and the Bilan Carbone Association.
It enables Crédit Agricole CIB to calculate, without multiple counting, the order
of magnitude of the emissions financed and map them according to sector and geographical
location. Greenhouse gas emissions are allocated to economic players according to
their capacity (and their economic interest) to reduce them according to an allocation
described "by issue" as opposed to the usual allocation "by scope" (see sectoral guide).
This methodology gives us a sectoral and geographical mapping of the carbon issue
which has guided the choice of sectors of the bank for the development of sectoral
CSR policies and has been used in methodologies and calculations linked to the transition
climate risk presented below. Certain methodological adjustments were made in 2018
in parallel with the revision of emission factors.
Furthermore, mapping of the challenges linked to physical climate risk is under
way,
combining sector based and geographical vulnerability indices.
Scenario and materiality
of climate risks
In line with the recommendations of the Task force on Climate related Financial
Disclosures
(TCFD), sensitivity to climate risks was assessed in 2017 within the framework of
various scenarios. The four scenarios tested in 2017 stand out due to the scope of
the mitigation measures and the gradual nature of their implementation. These scenarios
identify three timescales: short term (before 2020); medium term (From 2020 to 2030)
and long term (after 2030). They are outlined briefly below.
Each scenario led to a climate trajectory and to a carbon price level in line with
the scope of the mitigation measures. Research has therefore been carried out into
the potential impact on the profitability of companies which are Investment Banking
clients both as regards the physical climate risk and the transitional climate risk.
Regarding the physical risk, the average potential impact on the added value of
companies
has been considered to directly reflect the impact of global warming on global revenues
as generally estimated (without taking into account, at this stage, the different
impacts according to sector and country).
For the transitional risk, the potential vulnerability of companies was assessed
using
the emissions allocated to the economic players in the sectors and countries defined
in P9XCA (in the by challenge version) and correlated with their added value. Valued
at the carbon price selected for each scenario, these emissions make it possible to
provide an initial economic assessment of the carbon challenge for each macro sector
and country. Based on several studies concluding that a controlled energy transition
would not damage growth (see below), it was believed that the carbon challenge would
impact companies differently depending on their ability to anticipate and therefore
the rate of progress to implement measures to adapt to this risk.
These calculations are by necessity approximate but provide insight into the orders
of magnitude and make it possible to compare the potential impacts on sectors and
countries depending on the scenarios and time-scales used. The calculations show the
transitional climate risk in the "sudden progress" scenario as the main medium-term
risk, while underlining the strong increase in the physical climate risk over time,
notably in the scenario involving no new mitigation measures.
They also provide an initial macroeconomic insight into climate risks by highlighting
the main risk areas (sectors and countries) according to the various scenarios and
time-scales. For the medium-term transitional risk, identified as the main potential
risk, a complementary microeconomic approach has been developed which seeks to differentiate
it at individual counterparty level.
Transition risk
index
For financial players, the transitional climate risk arises mainly from the uncertain
return from their customers' investments and changes in the financial models which
result from the changes in the economic environment brought about by initiatives against
global warming (introduction of a carbon price, regulatory changes).
An OECD study published in May 2017, "Investing in Climate, Investing in Growth",
concluded that a controlled energy transition is favourable to the economic growth
of the G20 countries, backing up the conclusions of a study by the French Environment
and Energy Management Agency (ADEME) in 2016 (An electricity mix from 100% renewable
sources? Technical summary and macroeconomic evaluation summary) for France. It would
seem, therefore, that the impact of the energy transition will not necessarily be
negative for economic players. Rather, it will be important to be able to identify
the winners and the losers in this major change.
The potential impact of the energy transition on the financial performance of a
company
would therefore seem to depend on both the potential sensitivity of the company to
the transition (due to its business sector and geographical location) and its ability
to manage the transition (level of anticipation and strategy). The economic player's
potential sensitivity to the transition challenge depends on how much pressure it
is under. This, in turn, depends on the extent to which it operates independently
of the measures it puts in place. It is a measure of the extent of the potential positive
or negative impact of the energy transition for the economic player, which can be
described as a combination of two factors: the sector impact (the sector's carbon
intensity) and how committed the country is to reducing its greenhouse gas emissions.
The ability to manage the transition challenge determines whether or not the economic
player has the right strategy and has taken the right measures to enable it to gain
from the energy transition. It seems to us that this level of "maturity" should be
assessed relative to the business sector, across all geographical locations. A medium-term
transition risk index has therefore been calculated since 2017 for the Bank's corporate
customer groups using a combination of three factors:
| ― |
the extent to which the issues will impact financing in the sector,
as calculated
by the P9XCA methodology adopting an issue-based approach;
|
| ― |
the importance the country places on reducing greenhouse gas
emissions such as the
Intended Nationally Determined Contributions (INDC);
|
| ― |
the maturity of the customer when faced with climate challenges
and its ability to
adapt, as evaluated by a nonfinancial agency or estimated on the geographic average.
|
For each customer group, the transition risk index is calculated by adding together
these three factors. The index is positive when the counterparty demonstrates above
average preparedness and is negative if it does not. The more the customer stands
out from its peers, the more the sector is considered to be at risk, and the more
the country has committed to a rapid energy transition, the higher the absolute value
of the index.
Thus, a player in the Energy or Transport sectors in a country committed to significantly
lowering emissions will have more to gain or lose than a player in a sector which
is less affected in a country with lower greenhouse gas reduction demands. The extent
to which this actor is affected will depend on its ability to adapt its strategy and
economic model to the new situation.
Significant Events
in 2019
A New Tool: The
Transition Rating
In 2019 Crédit Agricole CIB helped progress the development of the new transition
rating mentioned in the Climate Strategy published in June 2019.
Intended to offer support and promote dialogue with our clients, the transition
rating
will measure the extent of a client's commitment and ability to adapt its economic
model to the challenges posed by the energy transition and climate change.
It will supplement the client's financial rating and provide additional information
for client analysis, gradually from 2020 onwards.
Reducing climate
risks
The CSR sector policies are the first line tool for managing environmental and
social
risks, particularly the transitional climate risk. These policies cover the macrosectors
of energy and transport, which account for over 80% of the carbon footprint caused
by our finance. In particular, the policies on fossil fuels do not usually include
transactions relating to activities which seem the least compatible with the developments
expected in light of the energy transition and thus potentially the most risky as
regards the transitional climate risk.
The transitional risk index completes this approach by making it possible to identify
customers for which additional analyses seem necessary in view of their exposure to
the transition risk and management of this risk. This approach applies to all sectors
and all countries.
3.3 PROMOTING
SMART CLIMATE OBJECTIVES
Financing the energy transition represents a major societal challenge, as highlighted
in the latest assessment report by the Intergovernmental Panel on Climate Change (IPCC).
The IPCC estimates the volume of climate related financing at approximately USD 350
billion per year, with most of this amount targeting mitigation measures. The private
sector accounts for approximately two thirds of the total financing.
Crédit Agricole CIB actively contributes to meeting this objective:
| ― |
by developing its financing of climate-friendly projects and
green bond projects,
with a view to doubling the size of its Green Bonds portfolio by 2022;
|
| ― |
and to seek relevant partnerships.
|
Project finance
Financing renewable energies is an integral part of Crédit Agricole CIB's strategy,
and the Bank is a leading provider of such project financing. The Bank first entered
this sector in 1997 by financing the first wind farms, and in 2008 it financed a solar
energy project in Spain. The project funding business line has financed in total more
than 31,000 MW of installed wind farm capacity and over 10,500 MW of installed solar
panel capacity.
Green Bonds, Green
Loans, Sustainability-Linked Bonds, Sustainability-Linked Loans
Green Bonds have been instrumental in steering the bonds markets towards climate
change
financing and helped to create a link between the market products and the infrastructures
required for the energy transition. Investors are given precise information on the
projects financed by these bonds and their social impacts and environmental benefits.
A growing number of investor clients value this information and the additional commitment
by issuers. Green Loans have developed along the same principles of transparency and
the link between the financial income/financial products and the assets required for
the energy transition.
Sustainability-Linked Bonds and Sustainability-Linked Loans are financial income/financial
products whose cost is indexed against the issuer's environmental performance. This
new climate finance development was particularly marked in 2019, with over €60 billion
of Sustainability-Linked Loans structured and the first issues of Sustainability-Linked
Bonds (see below).
Committed to the development of climate finance since 2010, with its own dedicated
Sustainable Banking team, Crédit Agricole CIB has confirmed its leading position as
arranger on the Green Bonds, Social Bonds and Sustainability Bonds market worldwide
and helps its clients structure ambitious and innovative environmental transactions.
In 2019 Crédit Agricole CIB was involved in the following transactions:
| ― |
Chile's first Green Bond issue: Crédit Agricole CIB advised Chile
which became the
first sovereign Green Bond issuer on the American continent in June 2019. Crédit Agricole
CIB helped it structure its Green Bond Framework and also acted as bookrunner for
the first Euro issue (€861 million, maturity 12 years).
|
| ― |
Transition Bond for AXA: Crédit Agricole CIB issued the first
transition bond issued
by a commercial bank to the value of €100 million in the form of a private placement
subscribed by AXA IM on behalf of the AXA Group. Crédit Agricole CIB will allocate
an amount equivalent to the bond proceeds to a range of loans for projects to support
the environmental transition of high-carbon sectors such as vessels powered by liquefied
natural gas (LNG), energy efficiency projects in the industry, and gas assets in countries
where energy production is currently highly dependent on gas.
|
| ― |
The first Sustainability-Linked Bond: Crédit Agricole CIB acted
as consultant for
Enel's issue of the very first Sustainability-Linked Bond. With this new financing
instrument, the funds are not used specifically to finance environmental projects,
contrary to Green Bonds, but the coupon is indexed to the issuer's non-financial performance.
The September 2019 Enel issue was for $1.5 billion with a maturity of five years.
The coupon of this issue will be increased by 0.25% if Enel does not meet its target
of 55% renewable energies in its energy mix by the end of 2021.
|
| ― |
The first Sustainability-Linked Loan in the Telecom sector: Crédit
Agricole CIB helped
to finance the Revolving Credit Facility (€1.5 billion), the margin of which is now
indexed to Nokia meeting its target of reducing its own greenhouse gas emissions by
41% and those of its products by 75% between 2014 and 2030. Its targets have been
confirmed by the Science Based Target initiative (SBTi) which helps companies to map
out how they will reduce their greenhouse gas emissions to meet the objectives of
the Paris Agreement.
|
In 2019 the Technical Expert Group (TEG) also published its recommendations in
line
with the European Commission's Action Plan for Sustainable Finance aimed at supporting
the growth of responsible financing, including the Green Bonds market. The manager
from the Crédit Agricole CIB Sustainable Banking team is a member of the TEG and represents
the European Association of Cooperative Banks. He was involved in drawing up the European
Green Bonds Standard (GBS).
Finally, Crédit Agricole CIB remains committed to governance of the Green Bond,
Social
Bond and Sustainability Bond markets. The Bank is a founding member of the Green Bond
Principles and an active member of the Executive Committee of this financial market
initiative. The Bank is also behind the Social Bond Principles, the governance of
which has been incorporated into that of the Green Bond Principles.
Liquidity green
supporting factor
To support its business lines in this area, Crédit Agricole CIB enables climate
change
projects to benefit from more favourable internal costs for accessing funds. This
makes it possible to offer attractive conditions to investors, thus increasing the
amount of responsible finance.
Successfully applied for many years within Crédit Agricole CIB, it is intended
to
roll it out to other Crédit Agricole Group entities.
Indosuez Wealth
Management
As part of its business plan, and in line with its socially responsible investment
policy in Private Banking, Indosuez Wealth Management intends to grow its green finance.
Thanks to the work it has already undertaken, it has been able to organise green
finance
events for clients and can anticipate its first ESG discretionary mandate in 2020.
The Indosuez Objectif Terre themed fund, managed by Indosuez Gestion, was launched
in 2019. Investors can invest in the securities of companies who are seeking to meet
the challenges of climate change in two main areas: global warming and the preservation
of natural resources.
At the end of 2019, eight "green" products were added to Indosuez's range of structured
products, most issued by Crédit Agricole CIB.
3.4 IMPROVING
OUR CLIMATE RESULTS
Since 2011, in addition to the standard greenhouse gas (GHG) calculations shown
in
the "Limiting our direct environmental footprint" section, an estimation of the Bank's
financing and investment carbon footprint is now in place, using the P9XCA methodology.
This calculation showed an indirect carbon footprint about one thousand times higher
than the total operating emissions estimated for Crédit Agricole CIB, reflecting the
carbon intensity of activities financed and corresponding to the Bank's active role
in the financing of the world economy.
The order of magnitude, on the basis of the amounts outstanding at 31 December
2019,
was 60 Mt equivalent of CO2, i.e. a carbon intensity in the order of 250
t of CO2 per million euros of financing. The CSR sector policies and the
transition risk index
help both reduce the climate risks of Crédit Agricole CIB (see above) and improve
climate related results. The transition risk index makes it possible to develop a
generalised consideration of this matter across all sectors and countries. Reflecting
the positioning of each customer as regards the energy transition, this approach appears
to be both more precise and more relevant than one that is only based on successive
sector-based exclusions.
While it may seem difficult to measure the alignment of the Bank's operations with
the Paris climate agreement or a particular climate scenario, given the number and
variety of operations and customers, good climate finance performance bears witness
to the positive work done by Crédit Agricole CIB in this area.
In terms of number of loans, renewable energy represented over 85% of electricity
generation project finance in 2019.
In 2019, Crédit Agricole CIB arranged USD 59 billion in Green Bonds, Social Bonds
and Sustainability Bonds for its major clients. The Bank received recognition for
the sixth consecutive year (2014, 2015, 2016, 2017, 2018 and 2019) from Global Capital
for its Green Bonds origination efforts and, as in 2015, 2016, 2017 and 2018, was
named "ESG Bond House of the year" by the prestigious IFR review.
3.5 REPORTING
ON OUR CLIMATE ACTION
Financial institutions, particularly in the private sector, are faced with a major
dilemma regarding the disclosure of their actions. On the one hand, they are bound
by a duty of confidentiality towards their customers. On the other, public interest
groups continue to demand greater transparency and comparability. Other major hindrances
to accurate reporting of actions performed are the large numbers of customers and
transactions, the low relevance of international economic classifications to climate
issues and the wide range of bank loans.
Crédit Agricole CIB is nevertheless making major efforts in terms of transparency
by publishing its environmental and social evaluation and exclusion criteria in its
sector wide CSR policies and presenting its climate risk assessment approach and tools.
In a spirit of Corporate Social Responsibility, this transparent approach meets the
recommendations of TCFD and the requirements of Article 173 of the law on energy transition
for green growth.
Crédit Agricole CIB encourages its customers to also engage in this transparency
approach.
This is embodied in the Equator Principles, which contain an obligation for customers
to publish certain information. This is also true of the Green Bond Principles, which
aim to increase transparency on the market by encouraging issuers to regularly publish
their reporting on fund allocation and on environmental and social impact measures
for financed projects.
In line with Crédit Agricole Group's commitments in its climate policy published
in
June 2019, between now and 2021 Crédit Agricole CIB will question the corporate clients
involved about their carbon exit plan.
4. HELPING OUR
CLIENTS TO MEET THEIR SOCIAL, ENVIRONMENTAL AND SOLIDARITY RELATED
CHALLENGES
Helping our clients to meet their social, environmental and solidarity challenges
is an essential component of our CSR approach. We primarily achieve this by:
| ― |
offering dedicated funds to finance environmental projects (green
notes);
|
| ― |
advising our customers on social and environmental projects;
|
| ― |
promoting Socially Responsible Investment in Wealth Management;
|
| ― |
assessing and managing the risks inherent in the environmental
and social impacts
of our financing.
|
4.1 OFFERING DEDICATED
FUNDS TO FINANCE ENVIRONMENTAL PROJECTS: GREEN NOTES
Concept - Description
In 2013, Crédit Agricole CIB developed a new product: the "Crédit Agricole CIB
Green
Notes". The Green Notes are bonds or any other financial instrument issued by Crédit
Agricole CIB whose funds raised is dedicated to funding environmental projects.
In 2018, Crédit Agricole put in place a "Green Bond Framework" to serve as a common
framework for all the Group's issuing entities, including Crédit Agricole CIB, for
their respective Green Bond issues. This framework, which enabled Crédit Agricole
S.A. to successfully launch its €1 billion inaugural issue of Green Bonds on 28 November
2018, is set to replace, from 2019 onwards, the existing Crédit Agricole CIB Green
Notes Framework.
For its Green Notes, Crédit Agricole CIB has followed the principles laid down
by
the Green Bond Principles which are voluntary principles for the formulation of green
bonds and for market guidance. Green Bond Principles are offered by the major green
bonds arranging banks, including Crédit Agricole CIB.
Crédit Agricole CIB's Green Notes are presented based on four structuring lines,
defined
by the Green Bond Principles:
| ― |
use of the funds;
|
| ― |
project assessment and selection;
|
| ― |
funds monitoring;
|
| ― |
reporting.
|
The implementation of the Green Bond Principles is described on the Bank's website
(www.ca-cib.com).
Second opinion
Crédit Agricole's "Green Notes" issued on the basis of the Group's Green Bond Framework
benefit from a second opinion by the extra-financial rating agency Vigeo Eiris. Vigeo
Eiris expers approved the relevance and soundness of the Group's Green Bond Framework,
the methodology used to select the projects to be included in the green portfolio
as well as its alignment with the Green Bond Principles.
Inventory
GREEN NOTES OUTSTANDINGS
At 31 December 2019, the amount outstanding of Green Notes and similar debt products
issued by Crédit Agricole CIB enabling the financing of green loans according to the
eligibility criteria of the Group's Green Bond Framework, was €2.089 billion.
| Issue date |
Maturity (years)
|
Currency |
Amount in currency (million)
|
Equivalent amount in € million
|
| 08/07/2013 |
09/07/2020 |
BRL |
1 |
0.2 |
| 24/09/2013 |
24/09/2020 |
JPY |
5,410 |
44 |
| 23/02/2015 |
24/02/2020 |
INR |
1,250 |
5 |
| 02/06/2016 |
02/06/2021 |
AUD |
64 |
40 |
| 24/06/2016 |
18/06/2020 |
AUD |
49 |
31 |
| 24/06/2016 |
18/06/2020 |
NZD |
36 |
22 |
| 28/06/2016 |
24/01/2020 |
BRL |
10 |
1 |
| 09/09/2016 |
09/09/2027 |
EUR |
12 |
12 |
| 13/10/2016 |
14/04/2020 |
INR |
65 |
1 |
| 17/11/2016 |
18/11/2020 |
INR |
65 |
1 |
| 18/11/2016 |
18/11/2027 |
EUR |
5 |
5 |
| 29/11/2016 |
29/11/2027 |
EUR |
5 |
5 |
| 14/12/2016 |
15/12/2020 |
INR |
65 |
1 |
| 16/12/2016 |
16/12/2027 |
EUR |
10 |
10 |
| 30/01/2017 |
30/01/2020 |
BRL |
4 |
1 |
| 30/01/2017 |
30/01/2020 |
RUB |
5,346 |
67 |
| 27/02/2017 |
28/02/2020 |
INR |
445 |
6 |
| 29/03/2017 |
29/03/2032 |
EUR |
8 |
8 |
| 27/04/2017 |
27/04/2027 |
EUR |
1 |
1 |
| 24/05/2017 |
24/05/2027 |
EUR |
1 |
1 |
| 29/06/2017 |
30/06/2022 |
IDR |
50,000 |
2 |
| 12/07/2017 |
12/07/2022 |
USD |
120 |
99 |
| 26/07/2017 |
27/07/2020 |
TRY |
6 |
1 |
| 27/07/2017 |
28/07/2021 |
BRL |
6 |
1 |
| 29/09/2017 |
29/09/2021 |
TRY |
322 |
48 |
| 29/09/2017 |
29/09/2021 |
MXN |
165 |
8 |
| 30/10/2017 |
30/10/2020 |
INR |
291 |
3 |
| 21/11/2017 |
21/11/2022 |
USD |
88 |
79 |
| 21/12/2017 |
22/12/2021 |
INR |
87 |
1 |
| 30/01/2018 |
29/01/2021 |
TRY |
290 |
43 |
| 26/02/2018 |
08/06/2026 |
EUR |
65 |
40 |
| 26/02/2018 |
08/06/2026 |
EUR |
65 |
40 |
| 26/02/2018 |
08/06/2026 |
EUR |
65 |
40 |
| 27/02/2018 |
01/03/2021 |
TRY |
10 |
1 |
| 27/02/2018 |
26/02/2021 |
INR |
440 |
6 |
| 28/02/2018 |
01/03/2021 |
TRY |
7 |
1 |
| 09/03/2018 |
09/03/2026 |
EUR |
1 |
1 |
| 13/03/2018 |
13/03/2028 |
EUR |
1 |
1 |
| 16/03/2018 |
16/03/2026 |
EUR |
1 |
1 |
| 20/03/2018 |
22/03/2021 |
INR |
180 |
2 |
| 05/04/2018 |
07/04/2026 |
EUR |
1 |
1 |
| 06/04/2018 |
06/04/2028 |
EUR |
1 |
1 |
| 11/06/2018 |
12/06/2028 |
EUR |
3 |
3 |
| 18/06/2018 |
18/06/2026 |
JPY |
2,000 |
16 |
| 21/06/2018 |
22/06/2021 |
INR |
440 |
6 |
| 21/06/2018 |
23/06/2025 |
SEK |
13 |
1 |
| 05/07/2018 |
05/07/2028 |
JPY |
3,000 |
25 |
| 11/07/2018 |
30/06/2023 |
EUR |
3 |
3 |
| 20/07/2018 |
20/07/2025 |
SEK |
10 |
1 |
| 08/08/2018 |
09/08/2021 |
INR |
354 |
4 |
| 10/08/2018 |
10/08/2028 |
EUR |
0 |
0.3 |
| 17/08/2018 |
17/08/2026 |
EUR |
1 |
1 |
| 17/08/2018 |
17/08/2023 |
EUR |
1 |
1 |
| 21/08/2018 |
21/08/2024 |
EUR |
1 |
1 |
| 25/09/2018 |
27/09/2021 |
USD |
90 |
81 |
| 27/09/2018 |
27/09/2021 |
NOK |
3 |
0.3 |
| 27/09/2018 |
27/09/2023 |
SEK |
31 |
3 |
| 27/09/2018 |
27/09/2023 |
SEK |
5 |
1 |
| 28/09/2018 |
29/09/2028 |
JPY |
1,500 |
12 |
| 28/09/2018 |
30/06/2023 |
GBP |
4 |
5 |
| 03/10/2018 |
03/10/2021 |
USD |
375 |
335 |
| 08/10/2018 |
09/10/2028 |
EUR |
1 |
1 |
| 31/10/2018 |
31/10/2025 |
USD |
18 |
11 |
| 01/11/2018 |
02/11/2022 |
IDR |
20,000 |
1 |
| 01/11/2018 |
04/11/2025 |
JPY |
50 |
0 |
| 01/11/2018 |
04/11/2025 |
JPY |
100 |
1 |
| 12/11/2018 |
13/11/2023 |
SEK |
69 |
7 |
| 12/11/2018 |
12/11/2024 |
SEK |
40 |
4 |
| 23/11/2018 |
23/11/2023 |
SEK |
10 |
1 |
| 11/12/2018 |
11/12/2030 |
EUR |
4 |
4 |
| 18/12/2018 |
18/12/2024 |
SEK |
31 |
3 |
| 18/12/2018 |
18/12/2023 |
SEK |
24 |
2 |
| 20/12/2018 |
10/01/2029 |
EUR |
1 |
1 |
| 20/12/2018 |
20/12/2023 |
AUD |
57 |
35 |
| 20/12/2018 |
20/12/2023 |
USD |
17 |
15 |
| 21/12/2018 |
22/12/2025 |
SEK |
30 |
3 |
| 27/12/2018 |
27/12/2030 |
EUR |
85 |
85 |
| 09/01/2019 |
23/01/2023 |
PLN |
69 |
16 |
| 22/01/2019 |
22/01/2031 |
EUR |
4 |
4 |
| 13/02/2019 |
13/02/2025 |
SEK |
19 |
2 |
| 19/02/2019 |
20/02/2024 |
AUD |
84 |
52 |
| 19/02/2019 |
20/02/2024 |
NZD |
53 |
32 |
| 21/02/2019 |
22/02/2023 |
IDR |
19,000 |
1 |
| 26/02/2019 |
25/02/2022 |
INR |
286 |
4 |
| 15/03/2019 |
15/03/2029 |
EUR |
1 |
1 |
| 20/03/2019 |
21/06/2027 |
EUR |
30 |
28 |
| 20/03/2019 |
21/06/2027 |
EUR |
30 |
28 |
| 21/03/2019 |
21/03/2025 |
SEK |
13 |
1 |
| 21/03/2019 |
21/03/2024 |
SEK |
20 |
2 |
| 27/03/2019 |
26/04/2023 |
PLN |
35 |
8 |
| 04/04/2019 |
04/04/2024 |
USD |
1 |
1 |
| 23/04/2019 |
19/04/2024 |
EUR |
1 |
1 |
| 25/04/2019 |
25/04/2031 |
EUR |
210 |
210 |
| 25/04/2019 |
25/04/2020 |
HKD |
200 |
23 |
| 06/05/2019 |
06/05/2026 |
SEK |
10 |
1 |
| 07/05/2019 |
07/05/2025 |
SEK |
13 |
1 |
| 07/05/2019 |
07/05/2024 |
SEK |
10 |
1 |
| 07/05/2019 |
07/05/2024 |
SEK |
5 |
0.5 |
| 27/05/2019 |
26/04/2027 |
EUR |
1 |
1 |
| 03/06/2019 |
03/06/2025 |
SEK |
13 |
1 |
| 03/06/2019 |
03/06/2024 |
SEK |
5 |
0.5 |
| 07/06/2019 |
30/06/2029 |
EUR |
1 |
1 |
| 14/06/2019 |
14/06/2027 |
EUR |
30 |
4 |
| 20/06/2019 |
20/06/2025 |
EUR |
4 |
4 |
| 10/07/2019 |
25/10/2029 |
EUR |
30 |
2 |
| 10/07/2019 |
25/10/2029 |
EUR |
30 |
2 |
| 17/07/2019 |
17/07/2025 |
SEK |
5 |
1 |
| 17/07/2019 |
17/07/2024 |
SEK |
6 |
1 |
| 19/07/2019 |
16/08/2022 |
PLN |
30 |
7 |
| 30/07/2019 |
30/07/2021 |
TRY |
17 |
3 |
| 30/07/2019 |
31/07/2024 |
TRY |
15 |
2 |
| 02/08/2019 |
02/08/2027 |
EUR |
30 |
1 |
| 06/08/2019 |
06/08/2024 |
JPY |
50 |
0.4 |
| 07/08/2019 |
08/08/2024 |
ZAR |
20 |
1 |
| 08/08/2019 |
09/08/2024 |
MXN |
17 |
1 |
| 13/09/2019 |
06/09/2024 |
EUR |
0 |
0.3 |
| 26/09/2019 |
26/09/2029 |
USD |
10 |
9 |
| 03/10/2019 |
03/10/2024 |
EUR |
0 |
0.3 |
| 07/10/2019 |
13/12/2029 |
EUR |
30 |
30 |
| 07/10/2019 |
13/12/2029 |
EUR |
30 |
30 |
| 08/10/2019 |
23/09/2024 |
EUR |
1 |
1 |
| 11/10/2019 |
11/10/2027 |
EUR |
2 |
2 |
| 18/10/2019 |
18/10/2024 |
EUR |
1 |
1 |
| 24/10/2019 |
24/10/2024 |
USD |
1 |
0.4 |
| 24/10/2019 |
23/10/2024 |
JPY |
100 |
1 |
| 25/10/2019 |
08/11/2027 |
EUR |
1 |
1 |
| 29/10/2019 |
29/10/2024 |
SEK |
15 |
1 |
| 31/10/2019 |
15/10/2026 |
EUR |
1 |
1 |
| 31/10/2019 |
30/10/2029 |
EUR |
1 |
1 |
| 31/10/2019 |
30/10/2029 |
EUR |
0 |
0.3 |
| 31/10/2019 |
30/10/2029 |
EUR |
0 |
0.3 |
| 04/11/2019 |
29/12/2023 |
EUR |
30 |
30 |
| 14/11/2019 |
17/11/2025 |
TRY |
9 |
1 |
| 14/11/2019 |
17/11/2025 |
TRY |
12 |
2 |
| 15/11/2019 |
29/10/2029 |
EUR |
2 |
2 |
| 20/11/2019 |
12/11/2024 |
EUR |
0 |
0.3 |
| 20/11/2019 |
22/11/2027 |
EUR |
3 |
3 |
| 20/11/2019 |
10/01/2030 |
EUR |
1 |
1 |
| 20/11/2019 |
10/01/2030 |
EUR |
1 |
1 |
| 25/11/2019 |
30/12/2029 |
EUR |
1 |
1 |
| 25/11/2019 |
25/11/2024 |
JPY |
70 |
1 |
| 26/11/2019 |
25/11/2024 |
SEK |
10 |
1 |
| 04/12/2019 |
05/12/2022 |
USD |
2 |
2 |
| 05/12/2019 |
05/12/2022 |
USD |
16 |
14 |
| 06/12/2019 |
06/12/2024 |
EUR |
1 |
1 |
| 10/12/2019 |
12/12/2022 |
EUR |
2 |
2 |
| 11/12/2019 |
12/12/2022 |
USD |
7 |
6 |
| 12/12/2019 |
13/12/2027 |
TRY |
8 |
1 |
| 12/12/2019 |
13/12/2029 |
TRY |
23 |
3 |
| 12/12/2019 |
13/12/2034 |
ZAR |
75 |
5 |
| 12/12/2019 |
12/12/2022 |
EUR |
20 |
12 |
| 12/12/2019 |
12/12/2022 |
USD |
20 |
4 |
| 12/12/2019 |
12/12/2022 |
EUR |
3 |
3 |
| 12/12/2019 |
12/12/2034 |
AUD |
25 |
16 |
| 13/12/2019 |
13/12/2024 |
EUR |
1 |
1 |
| 13/12/2019 |
13/12/2021 |
EUR |
2 |
2 |
| 13/12/2019 |
13/12/2022 |
EUR |
1 |
1 |
| 16/12/2019 |
16/12/2022 |
EUR |
1 |
1 |
| 17/12/2019 |
17/12/2024 |
SEK |
10 |
1 |
| 17/12/2019 |
17/12/2024 |
EUR |
1 |
1 |
| 18/12/2019 |
15/04/2030 |
EUR |
30 |
30 |
| 18/12/2019 |
15/04/2030 |
EUR |
30 |
30 |
| 18/12/2019 |
18/12/2024 |
EUR |
4 |
4 |
| 19/12/2019 |
04/12/2026 |
EUR |
1 |
1 |
| 19/12/2019 |
19/12/2024 |
EUR |
20 |
1 |
| 19/12/2019 |
19/12/2022 |
EUR |
20 |
1 |
| 19/12/2019 |
19/12/2022 |
USD |
1 |
1 |
| 20/12/2019 |
21/12/2026 |
EUR |
1 |
1 |
| 23/12/2019 |
22/12/2025 |
EUR |
1 |
1 |
| 23/12/2019 |
23/12/2024 |
EUR |
1 |
1 |
| 23/12/2019 |
23/12/2022 |
USD |
20 |
1 |
| 24/12/2019 |
27/12/2021 |
USD |
3 |
2 |
| 27/12/2019 |
27/12/2023 |
MXN |
70 |
3 |
| 27/12/2019 |
28/12/2022 |
USD |
2 |
2 |
| 30/12/2019 |
29/12/2020 |
USD |
2 |
2 |
| 30/12/2019 |
03/01/2022 |
EUR |
12 |
12 |
BREAKDOWN OF THE
PORTFOLIO
As of 31 December 2019, the breakdown of the green portfolio is as follows. It
is
well diversified, both geographically and sectorially, in line with Crédit Agricole
CIB's conviction that the transition to a greener economy will involve numerous industrial
sectors, around the world.
► Breakdown by
region
► Breakdown by
sector
4.2 ADVISING OUR
CUSTOMERS ON SOCIAL AND ENVIRONMENTAL PROJECTS
Since 2010, the Sustainable Banking team has been supporting customers with social
or environmental projects in line with the four areas of excellence selected by Crédit
Agricole Group: farming and food production, housing, health and the ageing population
and the energy and environment economy.
Crédit Agricole CIB has thus supported, during the course of 2019, some of its
customers
in the financing of their environmental and/ or social projects thanks to a new offer
of dedicated loans, Green Loans and Sustainability-Indexed Loans. Green Loans are
loans used to finance environmental projects based on the same principles as Green
Bonds.
Crédit Agricole CIB has also developed Sustainability-Indexed Loans which are loans
whose margin is indexed on the issuer's environmental performance.
4.3 PROMOTING
SOCIALLY RESPONSIBLE INVESTMENT (SRI) IN PRIVATE BANKING
In line with its Private Banking CSR policy more generally, Indosuez Wealth Management
has drawn up an action plan aimed essentially at meeting the following targets:
| ― |
CSR awareness for clients;
|
| ― |
introduction of a range of ESG mandates and funds;
|
| ― |
creation of a socially responsible financing and investment offering;
|
| ― |
inclusion of an ISR rating in eligible client portfolios.
|
Indosuez Wealth Management supports the commitment to combat global warming made
by
the Crédit Agricole Group, which has put in place action plans aimed at limiting greenhouse
gas (GHG) emissions linked to both the operation of the company (direct impacts) and
business lines (indirect impacts). Green Finance is one of its business priorities.
One of its aims is to offer its clients a bona fide "green offering", i.e. a range
of financial income/financial products which really does invest in projects which
support the growth of opportunities in worthy areas such as the environment, society,
development and solidarity.
Work has begun on the launch of an ESG mandate. The Indosuez Objectif Terre fund,
managed by Indosuez Gestion, to combat global warming and preserve natural resources,
has been launched.
At the end of 2019, eight "green" products were added to Indosuez's range of structured
products, most issued by Crédit Agricole CIB.
The aim is to create and enhance a catalogue of common, standardised products for
all entities.
4.4 ASSESSING
AND MANAGING THE RISKS ARISING FROM THE ENVIRONMENTAL AND SOCIAL IMPACTS
OF OUR FINANCING
Crédit Agricole CIB has developed a system to assess and manage the risks arising
from the environmental and social impacts relating to both transactions and customers,
by factoring in the main sustainable development issues, i.e. combating climate change,
biodiversity protection and respect for human rights.
Consideration
of sustainable development issues
CLIMATE CHANGE
Please refer to section 3: "Incorporating climate change issues" for details of
how
this issue is factored in.
BIODIVERSITY PROTECTION
Since it exercises a services activity and is located in urban environments, the
Bank
does not have a significant direct impact on biodiversity.
However, the activities it finances may in some cases affect biodiversity. In its
CSR sectoral policies, Crédit Agricole CIB therefore introduced analytical and exclusionary
criteria based on biodiversity protection, with particular attention paid to important
areas based on this criterion. Critical adverse impacts on the most sensitive protected
areas, such as and wetlands covered by the Ramsar Convention, constitute exclusionary
criteria under these policies, for example.
Since 2016, Crédit Agricole CIB has been mapping the sectors and geographical regions
which are most exposed to water access and pollution issues. Crédit Agricole CIB has
included this new criterion of analysis in its CSR scoring system described below.
OTHER ACTIONS
TO PROMOTE HUMAN RIGHTS
Crédit Agricole CIB fully endorses the values of the United Nations Global Compact,
of which Crédit Agricole is a signatory. This particularly concerns human rights and
labour standards. Crédit Agricole S.A. has signed several specific charters in addition
to these general principles, including the Diversity Charter in 2008, the Human Rights
Charter in 2009 and the Responsible Purchasing Charter in 2010.
Actions concerning employees are covered in "Developing people and the social ecosystem"
and those concerning sub-contractors and suppliers are discussed in "Promoting an
ethical culture".
As with climate and biodiversity matters, however, the indirect impacts involving
the financed activities appear as most significant. They are assessed and managed
as shown below. The Bank's CSR sector policies refer specifically to the International
Labour Organisation (ILO) fundamental conventions, and the International Finance Corporation
(IFC) performance standards. Since 2016, Crédit Agricole CIB maps the sectors and
geographical regions which are most exposed to risks of human rights violations in
both their own operations and within their supply chains. Crédit Agricole CIB has
included this new criterion of analysis in its CSR scoring system described below.
In 2019 Crédit Agricole CIB continued to play an active part in the review of the
Equator Principles (a continuation of work started in 2017) and the new version of
the principles was approved by the association's General Meeting in November 2019.
Assessing and
managing the risks arising from the environmental and social impacts
of financing
The environmental and social impacts resulting from the financing activity appear
to be substantially greater than the Bank's direct environmental footprint. Taking
these indirect impacts into account is one of the main sustainable development challenges
for Crédit Agricole CIB. The system which manages these environmental and social business
risks is based on three pillars:
| ― |
applying the Equator Principles to transactions which are directly
related to a project;
|
| ― |
CSR sector policies;
|
| ― |
assessment of the environmental and social aspects of the transactions.
|
From 2013, Crédit Agricole CIB also introduced a scoring system for all its corporate
clients.
Environmental and social risks are first assessed and managed by the account manager.
Account managers are backed by a network of local correspondents, who provide the
necessary support in each regional Project Finance structuring centre and remain in
constant communication with a coordination unit. It comprises operating staff from
the Project Finance business line and coordinates the practical aspects of the implementation
of the Equator Principles. It manages the network of local correspondents and implements
specialised training for participants.
Group Economic Research (ECO) is an integral part of Crédit Agricole S.A. and provides
additional support and clarification for all types of transactions and customers by
contributing its expertise on environmental and technical issues, thereby making it
possible to finetune the analysis and identify the risks for each business sector.
Even though its corporate client base comprises mostly SMEs, Private Banking integrates
environmental and social components into its risk analysis based on the sector policies
defined by Crédit Agricole CIB and the Group. The compliance risk grid for credit
transactions covers these issues, supported by a special opinion if necessary.
The Equator Principles
The Equator Principles were developed in response to limitations and triggers related
to project financing, as defined by the Basel Committee on Banking Supervision. Although
they cannot always be applied in their current state to other types of financing,
they nevertheless represent a useful and globally recognised methodological framework
for recognising and preventing environmental and social impacts in cases where the
financing appears to be linked to the construction of a specific industrial asset
(plant, transport infrastructure, etc.).
The implementation of the Equator Principles is described in detail on the Bank's
website.
Statistics
30 finance project loans have been signed (1) in 2019 and were ranked
into category A, B and C of the International Finance Corporation.
At 31 December 2019, 411 projects in the portfolio had been ranked. The classification
of projects breaks down as follow
| ― |
38 projects classified as A, 8 of them in 2019;
|
| ― |
317 were classified as B, 22 of them in 2019;
|
| ― |
and 56 projects classified as C, none of them in 2019.
|
The 2019 breakdown by sector and region is as follows:
|
Category A |
Category B |
Category C |
| Total |
8 |
22 |
|
| Sector |
|
|
|
| Mining |
|
|
|
| Infrastructure |
1 |
7 |
|
| Oil & Gas |
5 |
2 |
|
| Energy |
2 |
13 |
|
| Of which renewable energies |
1 |
10 |
|
| Others |
|
|
|
| Region |
|
|
|
| North America |
1 |
8 |
|
| Latin America |
2 |
2 |
|
| Asia & Pacific |
2 |
5 |
|
| Europe |
1 |
6 |
|
| Middle East & Africa |
2 |
1 |
|
| Country designation |
|
|
|
| Designated |
1 |
18 |
|
| Non-Designated |
7 |
4 |
|
| Independent review |
|
|
|
| Yes |
8 |
22 |
|
| No |
|
|
|
NB: Countries classified as Designated are high-income OECD countries as per the
World
Bank indicators. Independent Review means that the environmental and social information
has been reviewed by a consultant not related to the customer.
At 31 December 2019, there were 24 Project-Related Corporate Loans (PRCL) in the
portfolio.
Four PRCLs were signed (1) in 2019 and ranked as category A, B or C, as
follows:
| ― |
no projects were classified as A;
|
| ― |
4 were classified as B;
|
| ― |
no projects were classified as C.
|
The sector-specific and geographic distributions are as follows:
|
Category A |
Category B |
Category C |
| Total |
|
4 |
|
| Sector |
|
|
|
| Mining |
|
|
|
| Infrastructure |
|
|
|
| Oil & Gas |
|
1 |
|
| Energy |
|
|
|
| Others |
|
3 |
|
| Region |
|
|
|
| North America |
|
|
|
| Latin America |
|
4 |
|
| Asia & Pacific |
|
|
|
| Europe/Middle East/Africa |
|
|
|
| Country designation |
|
|
|
| Designated |
|
|
|
| Non-Designated |
|
4 |
|
| Independent review |
|
|
|
| Yes |
|
4 |
|
| No |
|
|
|
CSR sector policies
The CSR sector policies published by Crédit Agricole CIB explain the social and
environmental
criteria included in its financing policies. These criteria mainly reflect the issues
of concern to civil society that appear to be the most relevant for a corporate and
investment bank, particularly those relating to human rights, fighting climate change
and preserving biodiversity. The goal of the CSR sector policies is therefore to clarify
the non-financial principles and rules relating to financing and investments in the
corresponding sectors, in accordance with the Crédit Agricole S.A. Group policy.
The current sector policies and their implementation are des cribbed on the website.
Sensitivity analysis
Crédit Agricole CIB has been assessing the environmental and social impacts of
transactions
since 2009. They reflect either questions on managing environmental or social impacts
that are deemed critical, or controversy related to transactions or customers.
Customer CSR scoring
From 2013, Crédit Agricole CIB introduced a CSR scoring system for all corporate
clients
designed to complement its system for assessing and managing the environmental and
social risks of transactions. Clients are rated each year on a scale that includes
three levels (Advanced, Compliance and Sensitive), with these ratings based on:
| ― |
compliance with existing sector policies;
|
| ― |
existence of reputational risk for the Bank (Sensitive rating);
|
| ― |
customer's inclusion in leading global CSR indexes (Advanced
rating).
|
This scoring system is evolving following the service contract signed with a non-financial
rating agency. The tests conducted in 2016 and 2017 on the use of ratings from this
agency led to a CSR scoring system being introduced in 2018 with three due diligence
levels: light, standard and reinforced. These three levels of due diligence are described
on the Bank's website.
(1)
In accordance with the agreement entered into by the Equator Principles association
(project closed).
5. DEVELOPING
PEOPLE AND THE SOCIAL ECOSYSTEM
5.1 SOCIAL RESPONSIBILITY
Social indicators
METHODS
Each company of the Crédit Agricole S.A. Group has its own employee relations policy,
under the responsibility of a Human Resources Director. The overall consistency is
managed by the Human Resources Department of Crédit Agricole S.A. Group. Concerned
entities are those with employees that are consolidated within Crédit Agricole CIB.
Unless otherwise stated, the population in question is that of "active" employees.
Being "active" implies:
| ― |
a legal component in the form of a "standard" permanent or temporary
contract of employment
(or similar for foreign entities);
|
| ― |
being on the payroll and at work on the last day of the period
concerned;
|
| ― |
the scope of the employees covered (as a percentage of "Fulltime
Equivalent" or FTE
at the end of the year) is presented for each table below.
|
KEY FIGURES
► Headcount by
area of activity (FTE: Full-Time Equivalent)
► Headcount by
region
► Headcount by
type of contract (in FTE: Full-time equivalent)
|
2019 |
2018 |
|
France |
Outside France |
Total |
France |
Outside France |
Total |
| Permanent staff |
4,902 |
6,373 |
11,275 |
4,943 |
6,383 |
11,326 |
| Contractors |
36 |
213 |
249 |
46 |
172 |
218 |
| Total active staff |
4,938 |
6,586 |
11,524 |
4,989 |
6,555 |
11,544 |
| Permanent staff on extended leave of absence |
62 |
24 |
86 |
66 |
16 |
82 |
| Total |
5,000 |
6,610 |
11,610 |
5,055 |
6,571 |
11,626 |
► Breakdown of
permanent staff in France by gender
|
2019 |
2018 |
| In % |
Women |
Men |
Women |
Men |
| Staff in France |
48.1 |
51.9 |
46.8 |
53.2 |
| Business scope in France |
|
100% |
|
100% |
► Breakdown of
permanent staff in France by gender and status
|
2019 |
2018 |
| In % |
Managers |
Non-managers |
Managers |
Non-managers |
| Staff in France |
93.6 |
6.4 |
92.4 |
7.6 |
| Of which women (in %) |
89.4 |
10.6 |
87.7 |
12.3 |
| Of which men (in %) |
97.4 |
2.6 |
96.6 |
3.4 |
| Business scope in France |
|
100% |
|
100% |
► Age structure
at 31 December 2019
► Breakdown by
age
|
2019 |
2018 |
|
France |
Foreign |
Total |
France |
Foreign |
Total |
| Average age |
43 years and 1 month |
43 years and 2 months |
43 years and 2 months |
43 years and 1 month |
43 years and 2 months |
43 years and 2 months |
The average age of Crédit Agricole CIB Group employees is 43 years and 2 months
old,
43 years and 1 month old for France and 43 years and 2 months old for the international
business.
► Forecasts of
employees reaching the age of 65 in France over the next 10 years
|
2019 |
|
Number |
% |
| 65 years old in "n" |
17 |
0.3 |
| 65 years old in "n"+1 |
17 |
0.3 |
| 65 years old in "n"+2 |
27 |
0.5 |
| 65 years old in "n"+3 |
44 |
0.9 |
| 65 years old in "n"+4 |
79 |
1.6 |
| 65 years old in "n"+5 |
82 |
1.6 |
| 65 years old in "n"+6 |
111 |
2.2 |
| 65 years old in "n"+7 |
109 |
2.2 |
| 65 years old in "n"+8 |
91 |
1.8 |
| 65 years old in "n"+9 |
120 |
2.4 |
| 65 years old in "n"+10 |
122 |
2.4 |
| Total |
819 |
16.3 |
► Promotions in
France
|
2019 |
2018 |
|
Women |
Men |
Total |
Women |
Men |
Total |
| Promotion in the non-manager category |
5 |
6 |
11 |
14 |
7 |
21 |
| Promotion from non-manager to Manager |
30 |
11 |
41 |
44 |
14 |
58 |
| Promotion in the manager category |
68 |
120 |
188 |
124 |
171 |
295 |
| Total |
103 |
137 |
240 |
182 |
192 |
374 |
| % |
42.9 |
57.1 |
100.0 |
48.7 |
51.3 |
100.0 |
| Business scope in France |
|
|
99% |
|
|
99% |
► Number of permanent
staff recruited by geographical region
|
Number of permanent
staff recruit1 |
2019 |
2018 |
| In number |
Wealth Management |
CIB |
Total |
Total |
| France |
46 |
319 |
365 |
387 |
| Western Europe |
168 |
127 |
295 |
406 |
| Central & Eastern Europe |
|
17 |
17 |
21 |
| Africa |
|
1 |
1 |
8 |
| Asia & Pacific |
64 |
253 |
317 |
315 |
| Middle East |
|
10 |
10 |
9 |
| Americas |
17 |
101 |
118 |
123 |
| Total 2018 |
295 |
828 |
1,123 |
|
| Total 2017 |
391 |
879 |
|
1,270 |
| Business scope |
|
|
99% |
100% |
1
Including trainees, work-study trainees and temporary and temporary staff.
► Proportion of
part-time staff
|
2019 |
2018 |
|
Managers |
Non-managers |
Total |
Managers |
Non-managers |
Total |
| Part-time staff |
394 |
76 |
470 |
395 |
93 |
489 |
| Part-time staff as % of total |
8.4 |
23.7 |
9.4 |
8.5 |
24.2 |
9.7 |
| Women as % of part-time staff |
|
|
91.3 |
|
|
90.8 |
| Business scope in France |
|
|
99% |
|
|
100% |
PRIORITY 1: ENCOURAGING
AND
PROMOTING EMPLOYEE
DEVELOPMENT AND EMPLOYABILITY
The Human Resources policy of the Group and Crédit Agricole CIB is to ensure that
each position in the organisation is held by a motivated employee whose skills and
performance meet the requirements and challenges of his or her position, but also
to prepare for the future. Thus, Crédit Agricole CIB deploys a policy of career management
to enable each employee, regardless of its level in the organisation, to expand its
professional experience in a constructive manner, but also to develop skills that
will be necessary in the future.
This approach is harmonised and globally shared to reflect the international nature
of Crédit Agricole CIB's operations and its corporate culture.
Employee induction
and integration
In 2016, Crédit Agricole CIB rolled out its Global Induction Programme, to help
new
employees integrate into the Company. The programme introduces them to the different
Crédit Agricole CIB business lines and the Bank's culture.
The Crédit Agricole CIB intranet has a dedicated area wherein a large number of
documents
aiding in the integration process are available. Digital resources are also available
on the Bank's international training portal, HRE-Learning. An individual programme
of mandatory training courses is in place to develop and promote the compliance and
risks culture, helping new employees to adopt the correct conduct expected of them
in regulatory matters. This step is vital to limit the Bank's risk exposure. Depending
on the business line, new employees may also follow additional training courses linked
to their activity. Optional modules are also available on the portal to help them
successfully take up their new position.
During their first year within the Bank, new arrivals are also invited to take
part
in an induction event to gain a better understanding of the interaction between the
Bank's different business lines and to meet their peers who have recently joined Crédit
Agricole CIB teams. Three Induction Days were organised in 2019, once in Paris for
340 employees of the European, African & Middle East region and twice in Asia-Pacific,
in Hong Kong and Singapore for 230 new hires of the region. Since its inception in
2016, more than 1,800 participants have taken part in this integration event. Depending
on their location and business line, new hires may also be required to participate
in specific integration programmes. As part of its digitisation policy, Crédit Agricole
CIB offers a new onboarding procedure giving employees online access to their digital
HR documents from both personal and professional computers. And in order to facilitate
the search for information, the HR intranet in France has a chatbot which answers
questions on leave, absences and withholding tax.
Develop and value
employees by offering them a professional pathway which they put
together with their manager and HR manager
REINFORCING THE
ROLE OF THE ANNUAL ASSESSMENT IN THE EMPLOYEES' CAREER MANAGEMENT
Each year, the appraisal and objectives meetings provide an opportunity to take
stock
of individual and collective performance and the employees' achievements and development
needs.
Within the framework of this worldwide campaign in 2019, 99% of the annual assessments
between employees and managers have been realised. In 2019 all employees in France
with at least six years' service with Crédit Agricole CIB were given a Recap Professional
Interview to take stock of how they were progressing, with a focus on training and
career development.
Two other systems complete these campaigns at Crédit Agricole CIB:
| ― |
the Cross-Feedback tool, an effective assessment tool for the
most cross functional
positions by providing objective feedback from the people with whom the employee is
in daily contact. This tool helps to promote better cooperation between the Bank's
teams and to develop a culture based on feedback. This is a constructive approach
which focuses on the work of an employee during the past year. In 2019, 1,372 employees
received individual Cross Feedback;
|
| ― |
the 360° questionnaire, an evaluation tool for senior executives,
allows the members
of the Executive Committee and their N-1 to be appraised by their N+1, their peers
and their N-1.
|
ENCOURAGING EMPLOYEES
TO TAKE CONTROL OF THEIR TRAINING
Crédit Agricole CIB employs an active training policy to meet its current and future
strategic challenges. The Bank encourages all employees to continuously adapt their
skills to the fast and complex changes in the economic, regulatory and technological
environment.
The HRE-Learning global training portal, launched in 2016 and accessible to all
employees
throughout the year, currently offers over 4,000 digital modules. This portal encourages
employees to take ownership of their training and represents a veritable invitation
to curiosity. In order to promote this digital training offer, in June 2019 Crédit
Agricole CIB organised a second Learning Week in France. Some 550 employees came to
meet up with the Training teams. It was an opportunity to promote the new portal offering
launched in 2019, which includes 7Speaking for language learning, the change management
module and the Vodeclic Windows 10 training courses. In the wake of this success,
this event was deployed in other locations. 100 employees attended a Learning Day
in Hong Kong in February. In 2019 Crédit Agricole CIB also took advantage of the summer
break to invite employees to Escales Digitales (literally digital stopovers) to improve
their behavioural skills. 969 employees were educated about their professional relationships
and network in a connected world.
This digital offering, focusing on vital business skills and the knowledge expected
of employees, is offered in addition to the classroom sessions also offered.
This approach targets the following objectives, as part of the forward planning
of
employment and skills:
| ― |
meet the needs and challenges of the business lines in order
to develop the skills
of their employees;
|
| ― |
meet the Bank's regulatory and safety requirements;
|
| ― |
support retraining and transfers through dedicated training plans;
|
| ― |
implement the training and awareness raising measures required
under the various agreements
signed;
|
| ― |
use available new technologies and educational methods to promote
access to training;
|
| ― |
incorporate training reform into the Crédit Agricole CIB training
policy.
|
To meet business line challenges, two changes were made in 2019. The Coverage Academy:
the 10 days training is no longer available only to corporate bankers but also to
financial institution bankers to encourage exchange and cross-selling. The general
inspection training now offers the same programme to all teams in all locations to
ensure better integration of new hires and offer the inspectors professional training
in new skills areas.
Moreover, in 2019 Crédit Agricole CIB rolled out an antiharassment and anti-discrimination
model to step up its mutual respect, dignity and well-being commitments. This digital
course has educated 9,237 Bank employees about these topics. In the United Kingdom
and Taiwan, classroom sessions were held to prevent unacceptable behaviour.
As part of its new 2022 Medium Term Plan, in 2019 Indosuez Wealth Management launched
its Digital Academy, one of the drivers of its "Tous acteurs de la transformation"
ambition to get everyone involved in the digital transformation. It aims to make employees
responsible for their own training by offering them a new experience and new ways
of learning using online training tools.
► Training policy
|
2019 |
2018 |
| Number of employees trained |
|
|
| France |
6,000 |
5,143 |
| International |
6,828 |
7,232 |
| Total |
12,828 |
12,375 |
| Business scope |
97% |
94% |
| Number of training hours |
|
|
| France |
141,345 |
114,634 |
| International |
146,722 |
128,610 |
| Total |
288,067 |
243,244 |
| Business scope |
97% |
94% |
► Training themes
| Number of hours |
2019 |
2018 |
| Themes |
Total |
% |
Of which France |
Of which international |
Total |
% |
| Knowledge of Crédit Agricole S.A. |
5,400 |
1.9 |
916 |
4,484 |
4,395 |
1.8 |
| Personnel and business management |
16,478 |
5.7 |
10,267 |
6,211 |
16,705 |
6.9 |
| Banking, law, economics |
33,746 |
11.7 |
15,320 |
18,426 |
32,306 |
13.3 |
| Insurance |
2,153 |
0.7 |
1,875 |
278 |
158 |
0.1 |
| Financial management (accounting, tax, etc.) |
14,719 |
5.1 |
11,948 |
2,771 |
17,962 |
7.4 |
| Risks |
6,340 |
2.2 |
4,303 |
2,037 |
10,891 |
4.5 |
| Compliance |
81,131 |
28.2 |
27,874 |
53,257 |
40,522 |
16.7 |
| Method, organisation and quality |
12,254 |
4.3 |
9,534 |
2,720 |
9,743 |
4.0 |
| Purchasing, Marketing, Distribution |
1,361 |
0.4 |
751 |
610 |
2,293 |
0.8 |
| IT, Networks, Telecommunications |
8,270 |
2.9 |
4,441 |
3,829 |
7,582 |
3.1 |
| Foreign languages |
46,753 |
16.2 |
14,259 |
32,494 |
43,505 |
17.9 |
| Office systems, business-specific software, new technology |
8,487 |
2.9 |
3,168 |
5,319 |
7,279 |
3.0 |
| Personal development and communication |
35,603 |
12.4 |
25,193 |
10,410 |
38,261 |
15.7 |
| Health and safety |
11,246 |
3.9 |
9,174 |
2,072 |
8,485 |
3.5 |
| Human rights and the environment |
2,171 |
0.8 |
1,612 |
559 |
949 |
0.4 |
| Human resources |
1,955 |
0.7 |
710 |
1,245 |
2,208 |
0.9 |
| Total |
288,067 |
100.0 |
141,345 |
146,722 |
243,244 |
100.0 |
| Business scope in France |
|
|
97% |
|
|
94% |
The most common training areas within the Crédit Agricole CIB Group:
| ― |
compliance training takes first place with 28.2% of the training
plan hours;
|
| ― |
language training is second with 16.2% of the hours;
|
| ― |
personal development and communication training are third place
with 12.4% of the
plan.
|
PROMOTING MOBILITY
AND CROSS DISCIPLINARY APPROACH TO ENHANCE CAREER PROSPECTS FOR
EMPLOYEES
Crédit Agricole CIB encourages internal mobility to enable all its employees to
progress
in the Bank and Crédit Agricole Group, thereby giving them an advantage over external
candidates.
MyJobs is a dedicated internal mobility portal which is available to Crédit Agricole
CIB in France and worldwide. It lists all of the job vacancies in corporate and investment
banking and the Crédit Agricole S.A. Group. In addition, Crédit Agricole CIB uses
different systems to support employees in their mobility approaches: mobility Committees,
events and workshops, individual support and digital pathways. These initiatives also
create a more cross disciplinary approach and develop the mobility culture.
In October 2019 Crédit Agricole CIB held a second edition of its Mobility Week
in
France. This event centred on a conference, a workshop on the art of pitching and
the opportunity to talk with HR and operational staff at the stands. During the Mobility
Week, tools were presented to over 400 employees who benefited from customised advice
on their professional plans and CV.
The Declic Mobilite programme, launched in 2017 with a consultancy specialising
in
professional support, continued in 2019. Since its inception it has offered 115 employees
the opportunity to discuss their mobility plans and to get them underway. The system
combines an individual interview with group sessions encouraging people to share their
experiences. In 2019 at its international sites Crédit Agricole CIB also deployed
a digital pathway created in partnership with the startup Jobmaker. This 7-stage procedure
suggests work to do and video advice. Its flexible format allows employees to progress
at their own pace as they reflect on and build their professional plans. At the end
of this course, the employee can share the summary of their thoughts with their HR
manager during a dedicated interview.
To promote its cross-disciplinary approach and skills development, the Bank launched
the Startup Mission programme which offers employees a one-month immersion in a Village
by CA startup to share their expertise and discover new working methods. There is
a system in place to match the skills of the volunteer employees with the needs of
the startups. Already 20 employees have had a taste of the Startup Mission since its
launch late 2018. The results are very positive for the participants, who are immersed
in an agile, cutting-edge environment, for the startups who benefit from the skills-based
sponsorship and for Crédit Agricole CIB who also gains from the exchange.
IDENTIFYING AND
DEVELOPING TALENTS TO PREPARE FOR THE FUTURE
At Crédit Agricole CIB, the members of the Management Committee, managers and Human
Resources have been working to identify and manage talent for several years now. Part
of the Crédit Agricole S.A. Group policy, it aims to retain and develop the capabilities
of employees with potential and to ensure succession plans for strategic positions
at the Bank.
Since 2015, Crédit Agricole CIB Talent Management policy has been structured around
three categories based on identification criteria approved by Executive Management:
Rising Talents, Advanced Talents and Future Leaders. Each year, the Executive Committees
of the business lines work with Human Resources to review the talent lists worldwide.
Diversity is a particularly important factor in this review.
The Bank talents are offered special development opportunities which combine Groupwide
programmes and specific Crédit Agricole CIB programmes.
In 2019, 53 Rising Talents took part in the fourth My Way programme in France and
worldwide. This programme brings together the employee, his or her manager and HR
manager to discuss the employee's development plan and career path. The Global Development
Programme, a leadership development programme launched in 2018, held its third day
in June 2019. It gathered around 100 employees in Paris for a day of negotiation training
given by subject experts, some of them former RAID members. The Global Development
Programme also aims to promote exchange and networking among the participants who
came from 14 different countries.
Crédit Agricole CIB also continued to roll out its Strategic Leadership programme
for Circle 2 employees. This training is structured in 3 one-day modules: "Authentic
Leadership", "Coaching master-class" and "5 conversations". In total, 24 managers
participated in the programme this year.
Initiatives for high-potential employees are also offered locally, by region or
country.
In May 2019, 50 employees from 9 countries in Asia-Pacific came together for two training
days in Hong Kong as part of the Moving Beyond Leadership Development programme. In
Germany an inter-entity talent programme was also created in 2019 to strengthen collaboration
at Crédit Agricole Group level.
Promoting and
embracing respectful management methods that develop employee responsibility
In a complex and constantly changing environment, it is vital that the Crédit Agricole
CIB strategy is properly disseminated. The managers play a key role in implementing
the strategy at all levels of the Bank, mobilising the teams and developing the skills
of their employees. Since 2012, Crédit Agricole CIB has therefore deployed the Management
Academy, a training programme for all managers in France and worldwide, which aims
to develop a shared managerial culture. Since 2017, a new concept of the Management
Academy, structured around three levels of expertise, has been proposed to the managers
of Crédit Agricole CIB. The first level, Novice Learner is open to all employees who
then have free access to digital modules on managerial topics via the Bank's international
training portal. The second and third levels, Expert Learners and Master Learners,
combine digital and classroom training modules focused on four skill sets: relational
intelligence, mobilising people, implementing strategy and steering action. These
levels are addressed respectively to new managers, operational managers, experienced
managers and senior managers.
In France in 2019, 50 sessions were held and over 430 managers attended a Management
Academy training session. Similar sessions have also been rolled out at Crédit Agricole
CIB's main locations abroad.
PRIORITY 2: GUARANTEEING
EQUALITY AND PROMOTING DIVERSITY
As a committed and responsible employer, Crédit Agricole CIB wants its organisation
to reflect the rich diversity of society and therefore makes every effort to treat
every employee fairly.
To ensure its employees are properly equipped to understand diversity issues, Crédit
Agricole CIB set up a Diversity Academy, open to all in France and worldwide, on its
HRE-Learning training portal. The Diversity Academy develops employees' openness,
listening skills, self-awareness and awareness of others through digital modules on
topics such as interculturality, gender and disability.
Crédit Agricole CIB also holds mandatory training courses in some of its locations
to promote diversity and prevent discrimination, such as in Germany and India.
Gender equality
at work
PROPORTION OF
WOMEN
|
2019 |
2018 |
| In % |
% |
Business scope |
% |
Business scope |
| Among all employees |
44.5 |
100% |
43.8 |
100% |
| Among permanent contract staff |
45.4 |
99% |
42.1 |
100% |
| Of the Executive Committee of CACIB |
1 on 8 |
100% |
4 on 16 |
100% |
| Of management Circles 1 and 2 * of CACIB
|
17.9 |
100% |
18.1 |
100% |
| Of the top 10% highest-earning employees in each subsidiary
(fixed compensation) |
20.8 |
98% |
19.3 |
98% |
1
The managerial Circles group the members of the Executive Committees and the members
of the Management Committees at each entity into two levels.
DEVELOPING GENDER
EQUALITY AT WORK
Convinced that diversity is the key to promoting performance and innovation, for
several
years now the Bank has been implementing a proactive diversity policy. In order to
identify the main issues and measure the effectiveness of its actions, Crédit Agricole
CIB monitors gender distribution indicators throughout the year.
As part of its career management and diversity policy, in September 2019 the Bank
launched the 3rd edition of its global mentoring programme in France and worldwide.
This aims to support 53 employees, the mentees, identified by the business lines,
in their professional development and to help them to become more visible. This programme
allows mentees to exchange and benefit from the experience of mentors, members of
the Executive Committees and Business Line Management Committees, in a confidential
and caring environment. This year the programme became more international with 25
mentor/ mentee duos from outside France compared with 20 in 2018 and 10 in 2017. A
digital training and a classroom workshop were offered in France to support the mentors.
In 2020, participants selected will be asked to share their feedback in mid-programme
workshops.
Crédit Agricole CIB also supports the networks created by female employees, such
as
CWEEN launched in 2008 in India, Potentielles in France, Crédit Agricole CIB Women's
Network (CWN) in New York in 2010, SPRING in London in 2015, RISE in Hong Kong in
2016, WING in Tokyo in 2017, CARE in South Korea, MORE in Taiwan and Gulf Women's
Network launched in Dubai in 2018. This year has also seen diversity networks launch
voluntary mentoring initiatives.
Crédit Agricole CIB also implements at its various locations leadership programmes
for its female employees. In 2019, 48 women took part in the "Leadership au feminin"
(Feminine Leadership) training in France. Worldwide, the 3rd edition of the Women
Leadership Programme, which took place over two days, brought together 13 female employees
from the EMEA region. A third day was also offered to the women who had taken part
in the first two editions of the programme bringing together 19 employees in November
2019 in Paris. The Eve seminar, offering the opportunity to meet attendees from other
major companies and share experiences, was offered to 16 Crédit Agricole CIB employees
in France and Asia. To foster gender equality and equal opportunities issues, in 2019
the market activities department continued to roll out its Ellevate Programme to give
some 20 female employees tips on how to grow their potential and make a bigger impact.
In Italy a seven-day assertiveness and efficiency course for women was run in 2019.
Finally, as every year, Diversity Week was held in France and abroad. This event allowed
employees to attend conferences and awareness workshops. The 2019 edition saw initiatives
proposed in Paris, New York, Hong Kong, Tokyo, Dubai, London, Frankfurt, Madrid and
Milan.
In 2019 Indosuez Wealth Management launched a global gender equality action plan
centred
around several topics: developing feminine potential and the networks, giving women
a voice, career and succession planning and compensation. Indicators were identified
to measure the impact of these initiatives.
HELPING EMPLOYEES
FIND A BETTER WORK/LIFE BALANCE
To help its employees find a good work/life balance following the move of the headquarter
in France, the Bank provided support measures, such as moving grants, travel grants
and new work organisation options, mainly through a number of collective agreements.
The teleworking agreement signed in France in late 2015 has enabled Crédit Agricole
CIB to offer this new working practice. At 31 December 2019, almost 1,000 employees
were teleworking one day a week, even two days in some cases.
Teleworking is gradually being introduced worldwide, with London, New York and
Frankfurt
coming on board in 2019. Other sites are going to consider how they can introduce
it in 2020.
As part of its policy to promote gender equality, Crédit Agricole CIB is also running
parenting initiatives in France and worldwide. In France in 2019 some 36 female employees
attended workshops on the topic of finding a balance between work and motherhood.
Maternity leave increased from 14 to 16 weeks in Japan and the paternity and adoption
leave conditions were improved in Japan, Hong Kong and Dubai.
Convinced that the donation of rest days is deeply embedded in the Bank's values
and
social issues, Crédit Agricole CIB has set up a system for donating rest days to colleagues
in France. A collective agreement was concluded in mid-2017, unanimously signed by
the unions. While the legal scheme is currently authorised only to provide care for
a child who is seriously ill, Crédit Agricole CIB plans to extend the donation of
rest days to the employee's spouse or partner in a civil partnership and also considers
the situation of employees' dependent parents. In 2019, 20 days were allocated to
employees under this programme and the "Solidarity Days Bank" (for collecting donations)
had 113 days available at 31 December.
In France, Crédit Agricole CIB also offers its employees, 40 nursery places in
partnership
with the Babilou network of nurseries, and 30 nursery places in the Petits Chaperons
Rouges nursery near the SQY Park campus. All these nursery places are allocated according
to social criteria. Crédit Agricole CIB also offers its employees casual childcare
arrangements in over 220 creches for children from four months to three years, still
run in partnership with the Babilou network.
Equality of backgrounds
and origins
YOUTH RECRUITMENT
POLICY
In 2019 Crédit Agricole CIB continued to grow its employer brand and online presence,
targeting mainly students and young graduates. After LinkedIn and Twitter, Crédit
Agricole CIB now has career pages on the JobTeaser and Dogfinance social media to
post news and illustrations of what life is like at the company.
The Bank has an active policy to promote the professional integration of young
people
in France and worldwide. This is reflected in the work placements at its different
locations and by the ongoing work-study training offered in France.
In 2019, Crédit Agricole CIB welcomed 392 new interns and 203 new work-study trainees
in France, as well as 102 VIEs in its international subsidiaries. It also took part
in the Crédit Agricole trainee programme for school pupils in the " troisième" grade
(14/15 years olds), welcoming 25 to the Evergreen and SQY Park campuses in 2019. Almost
all the business lines got tutors on board to support the pupils who spent one week
finding out about financing and investment activities and the day-to-day life of the
departments.
All job offers are published on the Crédit Agricole CIB and Crédit Agricole Group
job sites. They are also published on specialist recruitment sites and on JobTeaser,
a recruitment platform in schools and universities. After having applied online, the
candidates for internships, work-study contracts, VIEs or permanent contracts for
young graduates must sit and pass online logic tests before being invited for interview.
In some of its locations, Crédit Agricole CIB offers students the possibility of
joining
the Bank through dedicated pathways which may involve internships lasting from 10
weeks to 2 years. This is the case for example in New York, Hong Kong and Frankfurt.
Through its internships, work-study placements and VIE positions, Crédit Agricole
CIB identifies the best potential employees. In 2019, almost 50% of the junior permanent
staff positions in France were filled by young people from this pool.
In addition, in accordance with Group policy, Crédit Agricole CIB participates
in
numerous activities promoting the diversity of the recruited profiles. In this context,
the Bank has renewed its partnership with Handiformafinance, initiated by the French
Management Association (AFG), which offers disabled people the chance to train for
back-office jobs in markets, whilst also studying for a degree from Universite Paris
Ouest Nanterre in "Back & Middle Office Financial Asset Management". Also this
year
Crédit Agricole CIB joined forces with the HEC and ESCP finance clubs to launch a
"Women in finance" mentoring programme whereby the mentors (Bank employees) help the
students from these schools to think about their future career.
EMPLOYEE INVOLVEMENT
IN SCHOOLS AND UNIVERSITIES
The Bank ensures a strong presence in schools and universities to promote its business
lines and global network of expertise and to meet future employees. In 2019, more
than one hundred initiatives were deployed in France and internationally. Beyond the
career fairs, Crédit Agricole CIB holds more targeted events such as conferences,
case studies, after works and trading rooms visits. Close to 100 managers and employees
join the HR teams during these events to share their experience with students and
to receive applications for the various positions to be filled. In 2019, the Bank
continued to promote its employer brand abroad by stepping up its presence at schools
and universities in Europe, Asia and the United States.
The Bank is setting up educational partnerships both in France and worldwide. In
2019
Crédit Agricole CIB entered a new partnership with HEC to create the first Corporate
Initiative in mergers-acquisitions: the M&A certificate. The Bank also continued
its
efforts to support the financial associations of engineering and business schools
as well as universities, particularly by financing some of their events and projects.
► Trainees and
workstudy trainees in France
| Trainees and work-study trainees
in France (average monthly Full-Time Equivalent) |
2019 |
2018 |
| Work-study trainees |
277 |
262 |
| Trainees |
182 |
153 |
| % of scope covered |
100% |
100% |
Employment and
integration of people with disabilities
Since 2005, the Crédit Agricole S.A. Group in France has been actively promoting
the
employment of people with disabilities through job retention and awareness initiatives
and also through recruitment from the sheltered and disability friendly sectors. The
fifth agreement, signed in January 2017, is a logical continuation of the efforts
made over the previous twelve years and covers all of the Group's entities.
To help retain employees with disabilities, Crédit Agricole CIB plans to adjust
workstations
and the working environment: ergonomics studies, specially adapted computer equipment
(screens, special software for employees with visual impairment), use of the Tadéo
telephone aid for hearing-impaired employees, introduction of working from home and
developing the use of sign language translation for conferences and training courses.
This individual support can also take the form of tailored training, psychological
monitoring, or coaching.
Preventative health and disability awareness events are organised throughout the
year.
They aim to inform employees about the different illnesses and to offer better support
for employees with disabilities. The theme of the Disability Employment Week, organised
this year in conjunction with the Crédit Agricole Group at the Bank's offices in France
from 18 to 22 November 2019, was "Invisible Disability". On this occasion, diabetes
screening was offered to over 350 Crédit Agricole CIB employees who also received
dietary advice from the occupational health department. Twenty employees were invited
to challenge their preconceptions about disability at two performances by the actors
from La Belle Boîte company.
In addition to its direct initiatives to raise awareness about the employment of
people
with disabilities, Crédit Agricole CIB delegates services to the sheltered and disability
friendly employment sector ("Entreprises Adaptées" and "Établissements et Services
d'Aide par le Travail") in particular for the maintenance of printers.
A compensation
policy based on equality
GENERAL PRINCIPLES
The wage policy is key to Crédit Agricole Group's strategic human resources management.
Crédit Agricole CIB's remuneration policy is based on principles of fairness, performance
incentives in line with risk management and the sharing of the Company's values. This
policy is deployed taking into account the economic, social and competitive context
of the markets in which the Bank operates, as well as applicable legal and regulatory
obligations. Crédit Agricole CIB places a great importance on the principle of equal
treatment at work. Provisions can be made locally to reduce possible gender wage gaps,
for example as in France under the agreement on gender equality at work.
EMPLOYEE BENEFITS
As a responsible employer that cares about the well-being of its employees, Crédit
Agricole CIB promotes a large range of employee benefits worldwide. The Bank takes
particular care to ensure that its employee benefits are:
| ― |
ethical and reflect the Group's values;
|
| ― |
attractive and reasonable in terms of local practices in the
banking sector;
|
| ― |
appropriate for the targeted recipients.
|
The Bank contributes to the funding of health cover programmes in many countries
in
order to offer its employees access to health care. Crédit Agricole CIB also places
significant importance on protecting the families of employees who die or are absent
from work, and fully funds the schemes implemented by its entities. In 2019 the medical
expenses system was expanded to cover opposite-sex and same-sex partners in Hong Kong.
In Japan some employee benefits were also opened up to employees' partners, both same
sex and opposite sex.
Crédit Agricole CIB was a forerunner for retirement planning in many countries
with
its employer assisted savings plan. In France, Spain, Italy, the United Kingdom and
the United States, this type of scheme has been in place for over 20 years.
Through its employee savings schemes, employees share in the Bank's results and
performance.
Worldwide, employees are regularly offered the opportunity to share in capital increase
operations. In 2019, this programme covered 8 countries in which Crédit Agricole CIB
is located.
Employees on international positions are granted special company benefits appropriate
to the particular origin/host country combination.
Since 2016, the profit sharing agreement in France has incorporated the Bank's
CSR
indicator, FReD, to take account of the joint commitment of the Bank and its employees
to the success of the CSR policy.
► Permanent staff
by age in the Crédit Agricole CIB Group
► Permanent staff
by length of service in the Crédit Agricole CIB Group
► Departures of
permanent staff by reason
|
2019 |
2018 |
|
France |
International |
Total |
% |
France |
International |
| Resignation |
122 |
456 |
578 |
57.5 |
106 |
569 |
| Retirement and early retirement |
62 |
102 |
164 |
16.3 |
33 |
63 |
| Redundancy |
12 |
147 |
159 |
15.8 |
7 |
91 |
| Death |
0 |
5 |
5 |
0.5 |
2 |
4 |
| Other reasons |
48 |
51 |
99 |
9.9 |
37 |
20 |
| Total |
244 |
761 |
1,005 |
100.0 |
185 |
747 |
| Business scope |
|
|
|
99% |
|
|
|
2018 |
|
Total |
% |
| Resignation |
675 |
72.4 |
| Retirement and early retirement |
96 |
10.4 |
| Redundancy |
98 |
10.5 |
| Death |
6 |
0.6 |
| Other reasons |
57 |
6.1 |
| Total |
932 |
100.0 |
| Business scope |
|
100% |
► Collective variable
compensation paid during the year on the basis of the previous
year's results in France
|
2019 |
2018 |
|
Total amount (in thousands of euros) |
Number of beneficiairies |
Average amount (euros) |
Total amount (in thousands of
euros) |
Number of beneficiairies |
Average amount (euros) |
| Employee profit sharing |
1,699 |
537 |
3,163 |
833 |
362 |
2,301 |
| Incentive plans |
29,809 |
5,962 |
5,000 |
28,261 |
5,344 |
5,288 |
| Employees savings plan top-up |
16,094 |
5,620 |
2,864 |
13,367 |
5,359 |
2,494 |
| Total |
47,602 |
|
|
42,461 |
|
|
| Business scope in France |
|
|
99% |
|
|
99% |
► Annual fixed
salary grid in France
► Average monthly
salary of permanent staff active in France (gross salary)
| In euros |
2019 |
2018 |
| Managers |
|
|
| Men |
6,637 |
6,620 |
| Women |
5,055 |
5,014 |
| Overall |
5,910 |
5,906 |
| Non-managers |
|
|
| Men |
2,908 |
2,829 |
| Women |
2,949 |
2,897 |
| Overall |
2,940 |
2,881 |
| Total |
|
|
| Men |
6,539 |
6,490 |
| Women |
4,834 |
4,753 |
| Overall |
5,719 |
5,676 |
| Business scope in France |
99% |
99% |
► Absenteeism
in France, in calendar days
|
2019 |
|
Managers |
Non-managers |
Total |
|
Women |
Men |
Women |
Men |
Number of days |
% |
| Illness |
17,793 |
7,691 |
3,805 |
954 |
30,243 |
46.4 |
| Accident in the workplace and during travel |
784 |
224 |
51 |
0 |
1,059 |
1.6 |
| Maternity/Paternity/Breastfeeding |
19,811 |
1,534 |
3,463 |
19 |
24,827 |
38.1 |
| Authorised leave |
3,890 |
2,661 |
611 |
83 |
7,245 |
11.1 |
| Other |
693 |
1,067 |
91 |
10 |
1,861 |
2.8 |
| Total |
42,971 |
13,177 |
8,021 |
1,066 |
65,235 |
100.0 |
| Business scope in France |
|
|
|
|
|
|
|
2019 |
2018 |
|
Average number of absence days
per employee |
Total |
Average number of absence days
per employee |
|
|
Number of days |
% |
|
| Illness |
6.1 |
29,872 |
40.7 |
6.0 |
| Accident in the workplace and during travel |
0.2 |
1,379 |
1.9 |
0.3 |
| Maternity/Paternity/Breastfeeding |
5.0 |
30,402 |
41.4 |
6.1 |
| Authorised leave |
1.5 |
8,469 |
11.5 |
1.7 |
| Other |
0.4 |
3,285 |
4.5 |
0.7 |
| Total |
13.2 |
73,407 |
100.0 |
14.8 |
| Business scope in France |
99% |
|
|
99% |
PRIORITY 3: IMPROVING
THE QUALITY OF LIFE IN THE WORKPLACE
Providing employees
with a working environment and working conditions that ensure
their health and safety
Crédit Agricole CIB considers quality of life in the workplace as a driver of fulfilment
and performance and as being essential to its effectiveness. In 2019 Crédit Agricole
CIB adopted a work behaviour charter to raise awareness prevent and combat unacceptable
behaviour such as discrimination, sexist behaviour, moral or sexual harassment and
violence at work. The charter is also intended to provide a common framework for identifying
and handling these situations in the different locations. There was also an initiative
to raise employee awareness of these matters with 9,237 employees taking a digital
training course.
The Bank provides employees in France and abroad with training in stress prevention,
including on its HRE-Learning portal into the Management Academy and Diversity Academy.
In France, any courses in this area requested during appraisal sessions or at other
times of the year by employees and managers are systematically approved. In 2019,
49 employees took part in the training on "Finding the balance between pressure and
efficiency" and 32 managers took part in the training on "Your and your employees'
stress".
To fight against psychosocial risks, Crédit Agricole CIB provides an anonymous
and
confidential psychological support service to employees in France with a tollfree
number. The Bank has also been offering the services of Responsage, an organisation
which specialises in supporting family members who are carers, by providing advice
and guidance on all procedures related to the status of family-member carer. Offered
in the form of a confidential and free telephone platform, Responsage helps more generally
with all social issues that every employee may encounter in their personal life. The
employees may also share any observations they have with the Human Resources Department,
including their own HR manager. As part of the efforts to prevent psychosocial risks,
Crédit Agricole CIB encourages all those concerned within the company to play an active
role and report any difficulties that might be encountered by employees (senior management,
managers, workplace health unit, social workers, human resources, employee representatives
and employees).
Throughout the year, Crédit Agricole CIB also holds events on health-related issues
at its various locations: medical check-ups, free screening, blood donating, advice
on ergonomics, nutrition workshops and relaxation sessions. The Health Days in the
United States and Germany were attended by 150 employees. In France and the United
States 800 employees took advantage of the flu vaccination programme and 149 attended
free first-aid courses.
PRIORITY 4: PROMOTING
EMPLOYEE
COMMITMENT AND
SOCIAL DIALOGUE
The Group promotes dynamic and constructive social dialogue with its employees
and
their representatives. This commitment, which plays a vital role in the smooth running
of the Bank, can take several different forms: direct discussions, social surveys
and questionnaires, information disseminated continuously on Group news and its strategy
in France and worldwide, the use of collaborative tools and responsible social dialogue.
The social climate within the Group is the result of an ongoing dialogue between
management,
employees and their representatives, when in place locally, while respecting the values
fostered by the Group.
Encouraging schemes
to increase participation and self-expression by employees
In parallel to these regular occasions, a number of other activities encouraging
the
participation of employees were implemented at Crédit Agricole CIB in 2019.
Crédit Agricole CIB and Indosuez Wealth Management participated in the Crédit Agricole
Group's Engagement and Recommendation Index survey, sent to all their employees worldwide,
from 17 September to 8 October 2019. At Crédit Agricole CIB, this initiative fits
in with commitment surveys continued since 2015 and allows to assess the positive
development of results. In 2019 Crédit Agricole CIB achieved its highest response
rate since 2015, 67%. The results of the 2019 long-form survey show that Crédit Agricole
CIB's Engagement and Recommendation index remains stable with 73% favourable. The
employees were asked to respond to six new questions linked to the 2022 Medium-Term
Plan, specifically its Human Project. The results will enable the Bank to identify
the initiatives which further increase company performance and commitment to help
it attain the ambitions of its new strategic plan.
Maintaining an
active and responsible social dialogue with employee representatives
On 31 July 2019 the Crédit Agricole S.A. Group entered into an international framework
agreement with the UNI Global Union which lays the foundations of the social pact
which recognises at global level the right to freedom of association and collective
bargaining and the prioritisation of social dialogue which supports the Group's growth
and performance.
In France, the Crédit Agricole S.A. Group sealed its commitment to its social pact
through an agreement mapping out the employee representative path to create an environment
that is likely to encourage employee engagement and investment in the role.
Fully subscribing to the Group approach, Crédit Agricole CIB is keen on maintaining
effective and constructive social dialogue so that each year it can enter collective
agreements that contain genuine commitments which reflect the Bank's social policy.
Taking advantage of the creation of the Social and Economic Committee (CSE) in
France,
which brings together the employee representative bodies, senior management and the
unions decided to build a new social architecture to reflect the Bank's organisation
and promote effective, constructive and responsible exchange. The aim is to improve
the quality of social dialogue through a shared vision of the strategic topics debated
by this single body, which in turn has been clarified in advance by work undertaken
by the commissions.
To foster better exchange and facilitate the sharing of information, Crédit Agricole
CIB offers elected representatives training on the banking environment and has provided
all the unions with access to a new dedicated social dialogue digital platform.
Alongside the creation and establishment of this new body, collective agreements
were
entered into with employee representatives encompassing the dynamic of the social
dialogue and the desire to align the interests of the Bank with those of its employees.
In 2019 most of the collective agreements were on the topic of compensation and employee
benefits and brought improvements to the current systems (wage agreements, employee
savings scheme, the change of PERCO to PERCOL, etc.).
► Number of agreements
signed during the year in France by subject
|
2019 |
2018 |
| Salary and related |
12 |
5 |
| Training |
0 |
0 |
| Staff representation bodies |
4 |
1 |
| Employment |
0 |
2 |
| Working time |
0 |
6 |
| Diversity and professional equality |
0 |
0 |
| Other |
5 |
4 |
| Total |
21 |
18 |
| Business scope in France |
99% |
99% |
Disseminating
and sharing information with employees to enable debate and endorsement
Conference calls and management meetings are held regularly in France and simultaneously
broadcast abroad to enable managers to meet the members of Crédit Agricole CIB's Executive
Committee. Some 1,000 executives are invited to these meetings and conference calls,
which are organised for every quarterly publication of results and throughout the
year for strategic topics. Participants are invited to ask questions in advance on
an anonymous basis, and Executive Committee then answers them during its presentations.
A dedicated space, the "Managers' corner", on the InsideLive global intranet also
enables managers to find all of the information that they need to convey to their
teams.
Furthermore, conferences called InsideMeeting are regularly held for all employees
in France and cover a broad range of topics: strategy, news, company culture, sponsorship
actions, the challenges of sustainable development, etc. These events provide an opportunity
to learn more and to share information during the question and answer sessions at
the end of the presentations.
6. PROMOTING THE
ECONOMIC, CULTURAL AND SOCIAL DEVELOPMENT OF THE HOST COUNTRY
6.1 DIRECT AND
INDIRECT IMPACTS
Crédit Agricole CIB's main economic and social impacts on local areas (both positive
and negative) are indirect, through its financing activity, and do not come directly
from its sites. Its business services do not therefore have a significant impact on
neighbouring and local populations.
Crédit Agricole CIB's indirect impacts reflect its role as a major financer of
the
global economy and major player in debt markets. The principles listed under the "General
environmental policy" heading are therefore intended to maximise the positive effects
and minimise the negative impacts of Crédit Agricole CIB's business by:
| ― |
implementing its system to assess and manage environmental or
social customer and
transaction related risks;
|
| ― |
promoting so-called "responsible" financing transactions, in
which issuers and investors
factor social and environmental considerations into their investment decisions.
|
Offering customers a diversified range of socially responsible investments is also
one of the objectives set by Wealth Management.
6.2 EMPLOYEES'
INVOLVEMENT IN SOLIDARITY INITIATIVES
Crédit Agricole CIB actively encourages the commitment of its employees to social
causes in the fields of social solidarity and inclusion. To this end, in 2019 the
Bank renewed its "Solidaires by Crédit Agricole CIB programme".
"Coups de pouce"
["Giving a helping hand"] programmes
Through its "Coups de pouce" programmes, the Bank provides financial support for
charitable
projects to which employees are personally committed. The designated fields of activity
are social solidarity, social inclusion, the environment, education and health in
France and abroad. In 2019, the "Coups de pouce" supported 20 projects in France,
8 in the United Kingdom and 3 in Singapore. In total, since 2013, 258 charitable projects
supported by employees have been supported by the Bank (including 85 outside France).
Volunteer work
with the bank's partner charities
During regular events or one-off assignments, employees shared some very rewarding
moments in the service of the cause of public interest. These experiences, organised
in a number of countries where Crédit Agricole CIB operates, give employees opportunities
to engage with and help charities to present their projects to other Bank employees.
In 2019, the events focused on various areas of activity: assisting charities working
in the fields of education or combating illness, activities to preserve the environment,
solidarity activities for the underprivileged (humanitarian, reconstruction, etc.)
and, in particular:
| ― |
in France, employees who gave their time to hold sporting events
such as the Financial
Community Telethon. The 2019 edition brought together 12 entities of the Crédit Agricole
S.A. Group who did sponsored runs or walks for the AFM-Téléthon; runners from the
Group did a total of 3,275 laps of the stadium and some 30 volunteers joined forces
for the Téléthon during an evening marked by effort and solidarity;
|
| ― |
in 2019, for the second time, Crédit Agricole CIB and the Crédit
Agricole S.A. entities
at the Montrouge and Saint-Quentin-en-Yvelines campuses joined forces for "Giving
Tuesday", a day dedicated to generosity, celebrating giving in all its forms. Collections
and sales were organised on behalf of the bank's partner charities;
|
| ― |
in the United Kingdom, as part of the partnership with Enfants
du Mékong, the Global
Markets Division (GMD) continued its scholarship programme in London, enabling two
deserving students from Centre Christophe Mérieux to improve their English language
skills and discover the world of finance as part of "job shadowing" with volunteer
GMD employees;
|
| ― |
in the United States, in partnership with the New York Cares
Association, New York
employees once again donated their time this year for two community action days. On
"New York Cares Day" they joined the movement to spruce up a community park in Upper
West Side and on "New York Cares Day for Schools" employees joined forces with friends
and families to smarten up an elementary school in Chinatown;
|
| ― |
Crédit Agricole CIB New York also organised a series of volunteer
missions to support
The Bowery Mission Soup Kitchen, an organisation which has for generations been providing
food, beds, clothing and medical care to the needy of New York;
|
| ― |
in Hong Kong, Crédit Agricole CIB has been supporting the "Goodman
Interlink Magic
Mile Charity Ramp Run" since it launched in 2011. This year again bank employees trained
teams to take part in the run which involves walking or running the 15-floor cargo
ramp (1 mile). The money raised was donated to the Fred Hollows Foundation to help
fund a major eye care project in western China's Gansu region.
|
For Indosuez Wealth Management, 2019 was also very eventful:
| ― |
in Monaco, CFM Indosuez Wealth Management signed the national
energy transition agreement
and entered into a partnership with the Oceanographic museum;
|
| ― |
since 2012 the Fondation Indosuez in France, under the auspices
of the Fondation de
France, has been involved in concrete charitable initiatives to support vulnerable
people. Almost 70 associations have thus benefited from skills sponsorship and donations
of professional time by one third of staff. If they wish, employees can donate two
days per year to the public good;
|
| ― |
Indosuez Wealth Management will fund 'Congé Solidaire ®
› [solidarity leave] to allow its employees to offer their knowledge to further a
mission run by its partner the Planète Urgence association;
|
| ― |
for eight years in Switzerland and three in Monaco, Indosuez
Wealth Management employees
have been giving their time and skills to partner charities working in environmental
and social sectors as part of the CITIZEN DAYS volunteer programme. In 2019, 180 Swiss
employees helped to support 17 projects and almost 20% of Monaco employees worked
on the 15 projects selected in that country;
|
| ― |
since 2016 CFM Indosuez has worked alongside AMADE Mondiale to
support access to education
in Burundi;
|
| ― |
on World Children's Day on 20 November 2019, Indosuez Luxembourg
employees collected
toys for vulnerable, poor and disabled children.
|
6.3 CULTURAL SPONSORSHIP
Crédit Agricole CIB France continues to actively pursue a policy of cultural sponsorship
supporting projects that encourage artistic creation, the discovery of the world's
cultures and the transmission of cultural heritage:
| ― |
a sponsor of the Grand Palais, Crédit Agricole CIB supported
the 2019 Moon exhibition
"La Lune, un voyage réel aux voyages imaginaires" (The Moon, from real trip to imaginary
trips). A conference was held at the Bank's head office and more than 150 employees
visited the exhibition at an evening opening. During the Paris Air show, a private
viewing was laid on for clients in the aeronautical industry;
|
| ― |
in 2019 Crédit Agricole CIB sponsored the international tour
of the Paris Opera, inviting
its clients to the ballet when it toured Abu Dhabi, Singapore and Shanghai. In France
the Bank sponsored the new production of Verdi's La Traviata directed by Simon Stone.
In order to mark this partnership, 200 invitations for a backstage visit to the Paris
opera-house (masterclass, sessions, dress rehearsals, etc.) for various performances
were offered to employees. The Bank also held a private performance of La Traviata
for its key clients;
|
| ― |
as part of its support of the Abbaye aux Dames, employees were
given the opportunity
to visit a photographic exhibition of the work of violin and viola maker Yann Besson
and to attend a concert by In Bocca al Lupo during the Fête de la Musique;
|
| ― |
in Hong Kong, Crédit Agricole CIB has for many years supported
the festival run by
"Le French May", a not-for-profit organisation which promotes cultural exchanges between
Hong Kong and France. The festival has made its name as one of the largest cultural
events in Asia. In 2019 the bank supported a concert by Philippe Entremont & the
City
Chamber Orchestra of Hong Kong, organising for the occasion a reception for its clients;
|
| ― |
in London Crédit Agricole CIB is a Corporate Member of the National
Gallery, registered
as a charitable organisation. The museum houses one of the most important collections
of painting in the world. Through our partnership with the National Gallery our employees
can visit major exhibitions and we can arrange private visits for our clients.
|
6.4 LINKS WITH
SCHOOLS AND SUPPORT FOR UNIVERSITY RESEARCH
| ― |
Crédit Agricole CIB ensures a strong presence in schools, particularly
through the
"Capitaines d'école" system led by Crédit Agricole S.A. (see the "Developing people
and the societal ecosystem" section in the social report).
|
| ― |
Since 2006, Crédit Agricole CIB has also been a partner of the
Chair of Quantitative
Finance and Sustainable Development at Paris Dauphine University and École Polytechnique.
This multidisciplinary project, supported from its inception by Crédit Agricole CIB,
is unique in that it brings together specialists in quantitative finance, mathematics
and sustainable development. One research area studied by this Chair since 2010 involves
the quantification of indirect impacts of the financing and investment activities,
particularly greenhouse gas emissions induced by the activities of the Bank's clients.
|
| ― |
One of the solid achievements of this research is the P9XCA methodology
referred to
previously. Crédit Agricole CIB has played an important role in disseminating this
work to other financial institutions. In 2014, the Bank took an active role in the
sector approach recommended by French organisations promoting corporate social responsibility
(ORSE, ADEME and ABC). This approach seeks to produce a practical guide listing the
methodologies and tools to help the various financial stakeholders (banks, insurance
companies, asset managers) assess their direct and indirect GHG emissions.
|
| ― |
A new PhD, overseen by the Chair, was undertaken in 2018 on the
subject of the climate
risks which could affect banks, particularly in relation to the assessment of scenarios
and country risk.
|
7. LIMITING OUR
DIRECT ENVIRONMENTAL IMPACT
7.1 BUILDINGS
AND CARBON FOOTPRINT MANAGEMENT PROCESS
Certification
of buildings
The buildings on the Montrouge campus have "HQE Exploitation" (High environmental
quality - operations) certification and at Saint-Quentin-en-Yvelines, the Champagne
and Provence buildings are certified as "BBC (low consumption building) Renovation".
Several of our international sites have certification. Jakarta "BCA Green Mark", Montreal
"BOMA" and Bruxelles "Valideo", for instance.
Reducing greenhouse
gas emissions in the fight against climate change
The Crédit Agricole Group's Medium-term 2020 Plan set the objective of reducing
greenhouse
gas (GHG) emissions by 15%, measured by the carbon totals at 2020 and covering the
13 entities involved in the Group's FReD approach. Crédit Agricole CIB was therefore
logically part of this commitment. The baseline year selected was 2014. To achieve
the objective, the reductions included all items related to energy, transport, inputs,
and fixed assets.
In 2018 and 2019 we were able to focus considerations and even take action on the
most energy intense key items which are business travel, energy and fixed assets.
In addition to the quantitative actions chosen, regular actions to raise awareness
of both good day-to-day habits and better use of work tools should help to consolidate
the reduction objective.
Assessment of
operational greenhouse gas emissions and offsetting
Lastly, Crédit Agricole CIB offset 29,205 tonnes of CO2 equivalent by
cancelling Verified Carbon Units (VCU) certificates corresponding to
dividends received in 2019 in connection with its investment in the Livelihoods Fund.
The Carbon Investment Fund Livelihoods gives investors carbon credits which have a
major social impact and help to promote biodiversity. The Fund also finances largescale
projects in the areas of reforestation, sustainable agriculture and clean energy generation.
These projects are implemented for and by deprived rural agricultural communities
in developing countries in Asia, Africa and Latin America.
The certificates received with respect to 2019 relate to five projects: Hifadhi
(which
means maintain in Swahili) in Kenya (manufacture and distribution of stoves reducing
the consumption of wood, 60,000 stoves distributed, 300,000 beneficiaries expected
and 1,600,000 tonnes of CO2 saved over ten years), Tiipaalga in Burkina
Faso (combating desertification and increasing
food security by training women in the manufacture of stoves enabling a reduction
of up to 60% in the consumption of wood in a region threatened by desertification,
with ten year objectives of 30,000 families equipped with 150,000 beneficiaries and
689,000 tonnes of CO2 prevented over 10 years), VI Agroforestry in Kenya
(a sustainable milk cycle with
30,000 farmers on Mount Elgon with the objective of doubling farmers' revenue whilst
avoiding a million tonnes of CO2) and finally Yagasu in Indonesia's North
Sumatra (restoration of the mangroves to
revitalise coastal villages and encourage new mangrove-based activities, 18 million
trees planted, 5,000 hectares restored, 20,000 beneficiaries and 2 million tonnes
of CO2 prevented over 20 years).
Indosuez group has adopted a number of different measures to reduce its environmental
footprint and its CO2 emissions. For example CFM Indosuez has committed
to reducing the CO2 emissions of its company cars and has created an awareness
campaign to help make
this happen. 2019 also saw the 10th voluntary carbon offsetting campaign.
In 2018 CFM Indosuez Wealth Management implemented its ninth voluntary carbon compensation
campaign following the renewal of its carbon compensation contract which consists
of financing a project which helps prevent greenhouse gas emissions. This finance
is carried out through the purchase of carbon credits. Employees were invited to vote
for the project of their choice and the 62% participation rate reflects employee interest
in the issues and impacts of this transaction. The CLEAN WATER project aiming to provide
access to drinking water for local people in Malawi garnered the majority of votes.
7.2 POLLUTION
AND WASTE MANAGEMENT
Crédit Agricole CIB does not generate significant pollution directly. The Bank
nevertheless
devotes substantial effort to waste recycling.
Several actions have been implemented to reduce environmental impacts on the campuses
of Montrouge and Saint-Quentin-en-Yvelines: zero phytosanitary products, sorting and
recycling of waste (paper/card, tins, plastic, ordinary industrial waste and maintenance
waste), eco-products for interior maintenance, and limitation of food waste (display,
self-service for fruit and vegetables). Actions to raise awareness amongst employees
are also regularly organised (energy saving, waste management). Action taken over
the last three years has reduced global waste production by more than 25%.
On a worldwide scale, data collection on recycling could still be improved. In
addition,
action plans have been implemented in the various Crédit Agricole CIB entities, particularly
in Europe and Asia (e.g. restricting single-use plastic).
Crédit Agricole CIB subscribes to the Group's "2022 Ambitions" strategic plan which
aims to completely eradicate the use of plastic cups, bottles and containers at the
Saint-Quentin-en-Yvelines and Montrouge campuses:
plastic cups were banned on 1 January 2020 and employees have been supplied with
reusable
mugs and glasses;
in the first six months of 2020 this will extend to plastic bottles and containers
in the cafeterias, which will be replaced by returnable glass bottles and containers.
The Indosuez Wealth Management Group is also determined to reduce its direct impact
on the environment and continues to take action to raise the awareness of its employees
of eco-friendly behaviour and the implementation of resource management activities
and recycling (paper, ink cartridges, batteries, computer equipment).
In addition, Indosuez Wealth Management in France has also chosen to strengthen
the
"Green IT" policy by including energy performance criteria in the choice of photocopying
equipment. This process will be incorporated into the purchasing procedure and extended
to other places.
7.3 SUSTAINABLE
USE OF RESOURCES
Energy
The indicators relate to consumption of electricity and gas:
► Electricity
in Kwh
ELECTRICITY
Crédit Agricole CIB has been tracking the electricity consumption of all Crédit
Agricole
CIB Group entities, including Indosuez Wealth Management entities, data centres and
remote sites in the Paris region. Over a total surface area of 304,000 m 2
, electricity consumption was reported on for almost 297,000 m 2 , constituting
a 97.50% coverage ratio.
For Crédit Agricole CIB in the Paris region, the buildings in Montrouge and Saint-Quentin-en-Yvelines
consume 100% "green" electricity, meaning that it is generated by renewable sources
of energy. Almost 18% of electricity consumption worldwide is "green" (London, Madrid,
Brazil, Nordic countries, etc.) and regular action is taken to limit consumption.
For example, in Russia mercury light bulbs have been replaced by LEDs. In Austria
power to computers and servers is switched off each evening and the heating is turned
off outside working hours.
► Gas in Kwh
GAS
Crédit Agricole CIB reports on the consumption of gas of all Crédit Agricole CIB
Group
entities, including those of Indosuez Wealth Management.
For Crédit Agricole CIB Ile-de-France, regular action is taken to reduce consumption
which fell by almost 30% compared to 2018.
HEAT OR STEAM
NETWORKS AND URBAN NETWORK
This source of heating is mainly used in North America, Russia and Luxembourg.
On
a like-for-like basis, consumption fell by 7%.
Water consumption
With regard to Crédit Agricole CIB in Montrouge, the Eole and Terra buildings are
equipped with a rainwater recovery system and use water saving machines for cleaning
the floors. In London, an environmental charter was established at the end of 2018
in order to minimise water use.
Paper
Crédit Agricole CIB is continuing actions which aim to reduce paper consumption.
These
include the sending of electronic greetings cards, encouraging printing on both sides
or the use of digital documents. In 2019 consumption fell by around 20% to almost
32 tonnes of paper. At our international offices (Singapore for example) action was
taken to promote paperless transactions. Indosuez Wealth Management produces paper
consumption reports and some of the results are circulated to employees as part of
an awareness mission.
Action taken includes the digitisation of CFM Indosuez secondment orders and expenses,
replacement of photocopiers and printers to reduce paper consumption and printing
in France.
7.4 TRAVEL FOOTPRINT
Given the considerable weighting of personal travel in Crédit Agricole CIB's global
carbon audit, business travel and commuting measures constitute the main mitigating
factors in the Company's direct footprint.
Company Travel
Plan
Despite continuing efforts to control the travel footprint in 2019, there was a
significant
decrease of around 20% of the miles covered for business travel by train and plane
between 2018 and 2019.
On the campuses in Montrouge and Saint-Quentin-en-Yvelines, actions taken to raise
the awareness of employees include, among others: replacement of electric bicycles,
incentives for carpooling with reserved parking spaces and video-conference equipment
to reduce travel.
Mobility Plan
In compliance with its obligations, on the one hand, under the Energy Transition
Act
and the filing of a Mobility Plan and, on the other hand, under the objectives set
by the Crédit Agricole Group to reduce its greenhouse gas emissions, Crédit Agricole
CIB actively participated in the launching, monitoring and completion of work covered
in the Mobility Plan.
Efforts continued in 2019, including the introduction of a car share app.
In addition, Indosuez Wealth Management in Luxembourg has implemented various initiatives:
| ― |
Indosuez Luxembourg launched its Mobility Plan covering parking
space allocation and
the reimbursement of public transport season tickets;
|
| ― |
Azqore increased its number of subscriptions to city bikes (provided
by the Bank)
and ran a season ticket campaign for Luxembourg public transport (40% contribution
by the Bank).
|
The group encourages the use of videoconferencing.
3 CORPORATE GOVERNANCE
Executive Committee
of Crédit Agricole CIB on 31 December 2019
1 CHIEF EXECUTIVE OFFICER
1 DEPUTY CHIEF EXECUTIVE OFFICER
1 DEPUTY GENERAL MANAGER
5 HEADS OF BUSINESS LINES AND SUPPORT FUNCTIONS
The board of Directors
6 BOARD MEETINGS in 2019
4 SPECIALISED COMMITTEES
| ― |
Audit Committee
|
| ― |
Risks Committee
|
| ― |
Compensation Committee
|
| ― |
Appointments and Governance Committee
|
91.7% ATTENDANCE at the meetings in 2019
1. BOARD OF DIRECTORS'
REPORT ON CORPORATE GOVERNANCE
To the shareholders,
Pursuant to the last paragraph of Article L. 225-37 of the French Commercial Code,
this report was prepared by the Board of Directors as a supplement to the management
report. It presents notably the information which is required under Articles L. 225-37,
L. 225-37-4 and L. 225-37-5 of the French Commercial Code and the article L.621-18-3
of the French Monetary and Financial Code, in particular, the information concerning
the composition of the management bodies (Executive Management and Board of Directors),
the conditions for preparing and organising the work of the Board and its Committees
and compensation.
It was prepared on the basis of the work of the Board of Directors and its committees,
the Secretary to the Board of Directors, the Human Resources Department and the procedures
and documentation on internal governance existing inside the Company.
This report was previously presented to the Appointments and governance Committee
and to the Compensation Committee with respect to the sections which are covered by
their respective areas of expertise. It was approved by the Board of Directors at
its meeting on 12 February 2020.
As a preliminary, you are reminded that Crédit Agricole Corporate and Investment
Bank
(Crédit Agricole CIB) applies the AFEP-MEDEF Corporate Governance Code, in June 2018
revised in January 2020 (1) .
This document is available online on the following sites: http://www.afep.com or
http://www.medef.com/fr/
(1)
References to the AFEP-MEDEF Code in this document, refer to the revised version
in January 2020.
1.1 ORGANISATION
OF THE CORPORATE GOVERNANCE BODIES
1.1.1 Separation
of the functions of Chairman of the Board of Directors and Chief
Executive Officer
The function of Chairman of the Board of Directors is separate from that of Chief
Executive Officer.
The Board of Directors decided to separate these functions in May 2002, in accordance
with Article 13, paragraph 5, of the Company's Articles of Association (see Section
8 of the Universal Registration Document) and in accordance with the provisions of
French Law No. 2001-420 of 15 May 2001 on new economic regulations. The decision followed
the decision of the May 2002 General Meeting to change the Company from a French société
anonyme (public limited company) governed by a Supervisory Board and Management Board
to a French société anonyme governed by a Board of Directors.
The separation of these functions is in accordance with the provisions of Article
L. 511-58 of the French Monetary and Financial Code, which stipulates that the position
of Chairman of the Board of Directors of a credit institution may not be held by the
Chief Executive Officer.
Mr Philippe Brassac was appointed as the Chairman of the Board of Directors from
20
May 2015. The Board of Directors meeting on 7 May 2019 renewed his mandate for his
term of office as a Director, i.e. up to the end of the Ordinary General Meeting which
rules on the financial statements for the 2021 financial year.
In accordance with Article 15 of the Company's Articles of Association (see Section
8 of the Universal Registration Document), the Chairman of the Board of Directors
organises and directs the Board's work and ensures that the Company's bodies function
correctly and, in particular, that the Directors are able to perform their missions.
In general, the Chairman possesses all the powers attributed to him by the legislation
in force.
Information on the composition of the Executive Management is available at point
1.1.4
of this report.
1.1.2 Composition
of the Board of Directors
PROVISIONS OF
THE ARTICLES OF ASSOCIATION
The Company's Articles of Association (see Section 8 of the Universal Registration
Document) stipulate that the Board of Directors must consist of between six and twenty
Directors: at least six appointed by the General Meeting of Shareholders and two elected
by the employees in accordance with Articles L. 225-27 to L. 225-34 of the French
Commercial Code.
The term of office of the Directors appointed by the General Meeting is three years
(Article 9 of the Articles of Association). Any Director reaching the age of sixty-five
is deemed to have retired from office at the end of the Annual General Meeting that
follows the date of the birthday in question. However, as an exceptional measure,
the term of office of a Director appointed by the General Meeting who has reached
the age limit may be renewed for a maximum of five subsequent one-year periods, provided
the total number of Directors aged 65 or over does not exceed one third of the total
number of Directors in office (Article 10 of the Articles of Association).
The two Directors representing the employees are elected for a period that expires
the same day: either at the end of the Annual General Meeting of Shareholders held
in the third calendar year following that of their election, or at the end of the
electoral process organised during this third calendar year if the process occurs
after the Shareholders' Meeting (Article 9 of the Articles of Association).
The following individuals may also attend meetings of the Board of Directors in
an
advisory capacity:
| ― |
the non-voting Director(s) designated by the Board of Directors
in accordance with
Article 17 of the Articles of Association;
|
| ― |
one member of the Social and Economic Committee designated by
said committee.
|
► Changes to the
composition of the Board in 2019
| Directors |
Term of office ended on |
Renewal |
Appointment |
| Philippe BRASSAC |
|
GM 7 May 2019 |
|
| Jacques BOYER |
|
GM 7 May 2019 |
|
| Paul CARITE |
|
|
GM 7 May 2019 |
| Claire DORLAND CLAUZEL |
|
GM 7 May 2019 |
|
| Olivier GAVALDA |
|
GM 7 May 2019 |
|
| Nicole GOURMELON |
GM 7 May 2019 |
|
|
| Laurence RENOULT |
|
|
GM 7 May 2019 |
| François THIBAULT |
|
GM 7 May 2019 |
|
| Jean-Pierre VAUZANGES |
GM 7 May 2019 * |
|
|
*
Resigned effective 7 May 2019
At 31 December 2019, the average age of Directors on the Crédit Agricole CIB Board
of Directors was 57.
► Directors and
Non-voting Directors at 31 December 2019
| Directors/Non-voting Directors at
31 December 2019 |
Date of first appointment |
Date of last appointment |
End of the current term of office |
Chairman or Member of a Committee |
| Philippe BRASSAC (Chairman of the Board of Directors) |
23 February 2010 1 |
7 May 2019 |
GM 2022 |
|
| Jean de Dieu BATINA 5 |
8 November 2017 |
|
2020 |
Member of the Compensation Committee |
| Jacques BOYER |
4 May 2018 |
7 May 2019 |
GM 2020 3 |
Member of the Audit Committee |
| Paul CARITE |
7 May 2019 4 |
|
GM 2020 |
Member of the Risks Committee |
| Audrey CONTAUT5 6 |
8 November 2017 |
|
2020 |
|
| Bertrand CORBEAU |
9 May 2016 1 |
4 May 2018 |
GM 2021 |
|
| Marie-Claire DAVEU |
30 April 2014 |
4 May 2017 |
GM 2020 |
Chairwoman of the Risks Committee Member of the Audit
Committee and of the Appointments
and governance Committee
|
| Claire DORLAND CLAUZEL 3 |
9 May 2016 |
7 May 2019 |
GM 2022 |
Chairwoman of the Appointments and governance Committee
Member of the Audit and Compensation
Committees
|
| Olivier GAVALDA |
4 May 2018 |
7 May 2019 |
GM 2022 |
Member of the Audit Committee |
| Françoise GRI |
4 May 2017 |
|
GM 2020 |
Member of the Risks Committee |
| Luc JEANNEAU |
4 May 2017 |
|
GM 2020 |
Member of the Compensation Committee and of the Appointments
and governance Committee |
| Anne-Laure NOAT |
30 April 2014 |
4 May 2017 |
GM 2020 |
Chairwoman of the Audit and Compensation Committees Member
of the Risks Committee |
| Laurence RENOULT |
7 May 2019 |
|
GM 2022 |
|
| Catherine POURRE |
4 May 2017 |
4 May 2018 |
GM 2021 |
Member of the Audit Committee and Risks Committee |
| François THIBAULT |
11 May 2010 |
7 May 2019 |
GM 2022 |
Member of the Risks Committee |
| Odet TRIQUET |
4 May 2018 |
|
GM 2021 |
|
| Jacques DUCERF (Non-voting Director) |
9 May 2016 2 |
7 May 2019 |
2022 |
|
| Christian ROUCHON (Non-voting Director) |
7 May 2019 2 |
|
2022 |
|
1
Co-opted by the Board of Directors.
2
Appointed by the Board of Directors in accordance with Article 17 of the Articles
of Association.
3
Given that Mrs Claire Dorland Clauzel and Mr Jacques Boyer have reached the age limit
for Directors (Article 10 paragraph 2 of the Articles of Association), their term
as directors will expire at the 2020 General Meeting.
4
The General Meeting of 7 May 2019 decided, in application of Article 9 of the Articles
of Association, to appoint Mr Paul Carite as a Director for the remainder of the term
of office of Mr Jean-Pierre Vauzanges, i.e. up to the end of the General Meeting called
to rule on the financial statements for the year closed on 31 December 2019.
5
Director elected by the employees.
6
In application of Article L. 225-34 of the French Commercial Code and given the results
of the 2017 electoral process, Mr Lahouari Naceur succeeds Mrs Audrey Contaut as a
Director elected by the non-management salaried employee body as at 1 January 2020.
INDEPENDENT DIRECTORS
ON THE BOARD OF DIRECTORS (IN ACCORDANCE WITH THE RECOMMENDATIONS
OF THE AFEP-MEDEF CODE)
*
Percentage calculated according to Recommendation 9.3 of the AFEP-MEDEF Code.
Upon recommendations of the Appointments and governance Committee, the Board of
Directors
reviewed the list of Independent Directors at its meeting of 12 February 2020. Following
the appointments, there were five Independent Directors on 31 December 2019: Mesdames
Daveu, Dorland Clauzel, Gri, Noat and Pourre.
The proportion of Independent Directors on the Board of Directors on 31 December
2019
amounted to more than a third of the Directors appointed by the General Meeting of
Shareholders. It conforms with the Recommendation No. 9.3 of the AFEP-MEDEF Code which
states that at least one third of the Directors appointed by the General Meeting of
Shareholders in companies, whose capital is held by a majority shareholder, must be
Independent Directors.
The composition of the Board of Directors reflects the Crédit Agricole Group's
wish
for chairmen or chief executive officers of regional branches of Crédit Agricole to
be represented on the Boards of Directors of some of Crédit Agricole S.A.'s subsidiaries.
These Directors who come directly from the Crédit Agricole S.A. Group are not considered
to be independent because of their functions inside the Group.
► Table of Independent
Directors (AFEP-MEDEF criteria)
NB:
✓ indicates that the criterion was met,
x indicates that the criterion was not met
| 31 December 2019 (revised on 12 February
2020) |
Criterion1 |
Criterion2 |
Criterion3 |
Criterion4 |
Criterion5 |
Criterion6 |
| Mrs DAVEAU |
✓ |
✓ |
✓ |
✓ |
✓ |
✓ |
| Mrs DORLAND CLAUZEL |
✓ |
✓ |
✓ |
✓ |
✓ |
✓ |
| Mrs GRI |
x * |
✓ |
✓ |
✓ |
✓ |
✓ |
| Mrs NOAT |
✓ |
✓ |
✓ |
✓ |
✓ |
✓ |
| Mrs POURRE |
x * |
✓ |
✓ |
✓ |
✓ |
✓ |
| 31 December 2019 (revised on 12 February
2020) |
Criterion7 |
Possibilities(8) b |
| Mrs DAVEAU |
✓ |
|
| Mrs DORLAND CLAUZEL |
✓ |
|
| Mrs GRI |
✓ |
(*) Criterion 1: Mrs Gri is also: An Independent
Director of Crédit Agricole S.A.. Her
position was examined by the Appointments and governance Committee and the Board of
Directors which, pursuant to 8 b) below decided that Mrs Gri could be considered as
independent.
|
| Mrs NOAT |
✓ |
|
| Mrs POURRE |
✓ |
(*) Criterion 1: Mrs Pourre is also: An Independent
Director of Crédit Agricole S.A.
Her position was examined by the Appointments and governance Committee and the Board
of Directors which, pursuant to 8 b) below decided that Mrs Pourre could be considered
as independent.
|
1
see § 9.5.1 of the AFEP-MEDEF Code
Is not currently nor has been in the last five years:
- an employee or Executive Corporate Officer of the Company;
- an employee, Executive Corporate Officer or Director of a company consolidated
by the Company;
- an employee, Executive Corporate Officer or Director of the parent company of the
Company or of a company consolidated by that parent company.
2
see § 9.5.2 of the AFEP-MEDEF Code
Is not an Executive Corporate Officer of a company in which the Company, directly
or indirectly, acts as a Director or in which an employee designated as such or an
Executive Corporate Officer of the Company (currently or in the last five years) is
a Director.
3
see § 9.5.3 of the AFEP-MEDEF Code
- Is not a client, supplier, corporate banker, investment banker or advisor:
- who plays a significant role in the Company or its Group;
- or for whom the Company or its Group represents a significant proportion of business.
4
see § 9.5.4 of the AFEP-MEDEF Code
Has no close family relationship with a Corporate Officer.
5
see § 9.5.5 of the AFEP-MEDEF Code
Has not been a Statutory Auditor of the Company in the last five years.
6
see § 9.5.6 of the AFEP-MEDEF Code
Has not been a Director of the Company for more than 12 years. Loss of Independent
Director status occurs on the 12th anniversary.
7
see § 9.6 of the AFEP-MEDEF Code
A Non-Executive Corporate Officer may not be deemed an independent if he or she receives
variable compensation in cash or in the form of shares or any other compensation related
to the performance of the Company or Group.
(8)
Possibilities:
a
Directors representing major shareholders in the Company or its parent company may
be deemed independents providing that the shareholders do not participate in the control
of the Company. However, should the shareholder own more than 10% of the capital or
voting rights, the Board, based on a report by the Appointments and governance Committee,
must systematically query the Director's independence, taking into account the Company's
ownership structure and the existence of a potential conflict of interest (cf §9.7
of the AFEP-MEDEF Code);
b
The Board of Directors may take the view that a Director who fulfils the aforementioned
criteria should not be deemed independent because of his or her particular situation
or that of the Company, given the Company's ownership structure or for any other reason.
Conversely the Board may consider that a Director although not satisfying the above
criteria is however independent (cf §9.4 last paragraph of the AFEP-MEDEF Code).
The situation of the two Independent Directors (Mrs Gri and Mrs Pourre) was examined
with respect to the first criterion.
Mrs Gri and Mrs Pourre are Directors of Crédit Agricole S.A. The Appointments and
governance Committee and the Board of Directors considered that this situation reflected
Crédit Agricole S.A.'s desire for the Chairwomen of its Audit Committee and Risks
Committee to play a special role vis-a-vis its subsidiaries to ensure continuity in
their mission and that this situation was unlikely to jeopardise their independence.
The situation of five Independent female Directors was examined with regards to
the
third criterion.
The Appointments and governance Committee and the Board of Directors noted that
the
companies in which the five Directors hold functions or corporate mandates do not
have any commercial dealings with the Company, are not considered to be suppliers
or significant advisers of the Company, or that the commercial NBI realised by Crédit
Agricole CIB with these entities is insignificant and unlikely to jeopardise their
independence. The review was performed for the Kering Group, Albioma and Compagnie
du Ponant (Mrs Daveu), for Eurogroup Consulting (Mrs Noat), for Edenred and WNS Services
(Mrs Gri) and for SEB and Bénéteau (Mrs Pourre).
The Appointments and Governance Committee and the Board of Directors also noted
that
their respective positions in these companies did not mean that they were involved
in, or had direct business dealings with, Crédit Agricole CIB during the 2019 financial
year.
1.1.3 Diversity
within the Board of Directors and the governing bodies of Crédit Agricole
CIB
1.1.3.1 DIVERSITY
WITHIN THE BOARD OF DIRECTORS
♦ Balanced representation
of men and women on the Board of Directors
At 31 December 2019, the Board of Directors had seven female members (43.75%),
six
of whom were appointed by the General Meeting, i.e. 42.85% of the Directors appointed
by the Shareholders' General Meeting.
In accordance with Article 435[2 c] of EU Regulation No. 575/2013 and Article L.
511-99
of the French Monetary and Financial Code, the Appointments and governance Committee
reviewed the objective of a balance between the genders on the Board of Directors,
and the policy required to achieve it.
Pursuant to Article L. 225-17 of the French Commercial Code, there must be a balanced
representation of women and men on the Board of Directors. In accordance with Article
L. 225-18-1 of the French Commercial Code, this balanced representation on the Board
of Directors of Crédit Agricole CIB must result in at least a 40% proportion for each
sex.
The Appointments and governance Committee also noted that the proportion of women
among the Directors appointed by the General Shareholders' Meeting of Crédit Agricole
Corporate and Investment Bank was 42.85%. The Bank has an objective of maintaining
this ratio at 40% minimum for each sex. The policy developed involves actively seeking
suitable high-quality candidates - both men and women - in order to ensure that this
ratio is respected if the members of the Board of Directors changes, whilst ensuring
complementarity between the Directors' careers, experiences and skills.
♦ Diversity policy
within the Board of Directors
In keeping with its Social Responsibility policy, Crédit Agricole CIB aims to promote
diversity at all levels, particularly among members of its Board of Directors.
To this end, when considering new appointments, the Board of Directors takes diversity
into account to ensure a sufficient range of qualities and skills allowing a variety
of points of view relevant to the decision-making process.
Priority is given to the candidate's ability to maintain a complementarity in career
paths, experiences and skills within the Board of Directors, in particular by taking
into account their knowledge of the banking sector as defined by the guidelines of
the EBA (EBA/GL/2017/12 of 21 March 2018), the ECB Guide dated May 2018 relative to
the fit and proper evaluation, or any other text which would replace or supplement
them.
The Appointments and governance Committee and the Board of Directors have no policy
concerning the age limit of the members of the Board since priority is given to examining
their experience and competence. For this reason, the legal and regulatory requirements
naturally lead to the selection of candidates with recognized skills and experience
in accordance with the applicable texts.
The search to find the best director candidates will be done in particular by gathering
suggestions from the members of the Board and the Crédit Agricole Group.
This approach aims to ensure that the composition of the Board of Directors reflects
the shareholding structure of Crédit Agricole CIB, which is 100% owned by Crédit Agricole
Group companies, as well as to attract directors with diversified and complementary
profiles in terms of training, skills and professional experience while respecting
the legal minimum proportions in terms of gender equality (40% representation for
each sex) and the number of Independent Directors (1/3 of board members) pursuant
to the AFEP-MEDEF Code.
Note that the Board of Directors of Crédit Agricole CIB, in accordance with the
provisions
of Articles L. 225-27 et seq. of the French Commercial Code, must have at least two
Directors elected by the employees and that Article 17 of the Articles of Association
(see Section 8 of the Universal Registration Document) of the Company allows for the
appointment of one or more Nonvoting Directors. These provisions help to enhance diversity
within the Board of Directors.
Mrs Audrey Contaut (1) and Mr Jean de Dieu Batina were elected as Directors
to represent the employees in
accordance with Articles L. 225-27 et seq. of the French Commercial Code and Article
9 of the Company's Articles of Association (see Section 8 of the Universal Registration
Document).
Messrs Jacques Ducerf and Christian Rouchon were appointed as Non-voting Directors
by the Board of Directors, respectively the first on May 9, 2016 and then renewed
as of May 7, 2019 and the second named on May 7, 2019 for a period of three years
each in accordance with the provisions of Article 17 of the Company's Articles of
Association (see Section 8 of the Universal Registration Document) to support the
development of Crédit Agricole CIB's relations with the Regional Banks, particularly
with regard to the monitoring of Intermediate Size Enterprises (ISE).
All Directors of the Company are of French nationality.
1.1.3.1 DIVERSITY
WITHIN THE DECISION-MAKING BODIES
Convinced that diversity is a real driver of performance and innovation, Crédit
Agricole
CIB has for several years now been following a proactive diversity policy.
In order to identify the main issues and measure the effectiveness of its diversity
policy, Crédit Agricole CIB monitors gender distribution indicators throughout the
year.
At 31 December 2019, women comprised 44.4% of the global workforce and 32.5% of
Crédit
Agricole CIB managers. Women accounted for 18% and 12.5%, respectively of members
of the managerial circles 1 and 2 (principal managers) and the Executive Committee
of the Bank. Moreover, in terms of gender diversity within the top 10% of high-level
positions of responsibility, the results show that the feminization of circle 1, comprising
25 people, is around 8%.
In addition, the three main areas of the professional gender equality agreement
renewed
in France in 2016 for a period of 3 years are: to ensure balanced job recruitment
and equal pay, train employees in, and raise their awareness of, the principles of
professional equality and non-discrimination, support women in the promotion of their
careers particularly on their return to work after maternity leave. Negotiations for
a new agreement are in progress.
Crédit Agricole CIB also deploys several awareness-raising and support initiatives
at its various locations (Diversity Week, dedicated training courses, mentoring programme,
return from maternity leave workshops, etc.), which can be found on page 49. Finally,
under the terms of Article L. 225-37-1 of the French Commercial Code, the Board of
Directors deliberates annually on Crédit Agricole CIB's policy in the area of equal
pay and opportunity and the implementation of the gender equality plan. During these
deliberations it examines the results achieved in the Bank's various businesses, particularly
in management circles.
1.1.4 Composition
of the Executive Management and limitations on the Chief Executive
Officer's powers
► Composition
of Executive Management at 31 December 2019
|
1st Appointment |
Last renewal |
End of the term of office |
| Jacques RIPOLL Chief Executive Officer |
1 November 2018 |
|
Indefinite |
| François MARION Deputy Chief Executive Officer |
18 May 2016 |
1 November 2018 |
Indefinite |
The Chief Executive Officer and Deputy Chief Executive Officer are also the effective
senior corporate executives within the meaning of the French Monetary and Financial
code and the regulations which apply to credit institutions.
LIMITATIONS ON
THE POWERS OF THE CHIEF EXECUTIVE OFFICER
The limitations on the Chief Executive Officer's powers are specified below, as
well
as in the presentation of the powers of the Board of Directors at point 1.2.2.
The rules of procedures of the Board of Directors stipulate that, in the performance
of his duties, the Chief Executive Officer is required to comply with the internal
control rules that apply within the Crédit Agricole Group and the strategies defined
and decisions taken, which under the law or according to the aforementioned rules
are the responsibility of the Board of Directors or the General Meeting.
These rules of procedures also stipulate that the Chief Executive Officer is required
to refer all significant projects concerning the Company's strategic decisions, or
that may affect or alter its financial structure or scope of activity, to the Board
of Directors, requesting instructions. In addition, as mentioned in the "Powers of
the Board of Directors" at point 1.2.2, as a purely internal limitation that is not
binding on third parties, the Chief Executive Officer is required to obtain prior
authorisation from the Board of Directors or its Chairman before entering into certain
types of transactions.
(1)
In application of Article L. 225-34 of the French Commercial Code and given the results
of the 2017 electoral process, Mr Lahouari Naceur will succeed Mrs Audrey Contaut
as a Director elected by the non-management salaried employee body as of 1 January
2020.
1.2 FUNCTIONING
AND PREPARATION AND ORGANISATION OF THE WORK OF THE BOARD OF DIRECTORS
The functioning and preparation and organisation of the work of the Board of Directors
comply with the laws and regulations currently in force, the Company's Articles of
Association (see Section 8 of the Universal Registration Document), the rules of procedure
applicable to the Board of Directors and internal directives.
1.2.1 Mode and
frequency of the Board of Directors
The Articles of Association (see Section 8 of the Universal Registration Document)
state that the Board shall meet as often as the interests of the Company require,
at the request of the Chairman or at least one third of the Directors. The Board's
rules of procedure state that, unless otherwise decided by the Chairman, the Board
may hold its meeting by means of telecommunication that allow for the identification
of Directors and ensure their full participation (Article 11 of the Articles of Association
- see Section 8 of the Universal Registration Document) and that, in accordance with
the law, the proceedings do not concern the preparation and approval of the annual
separate and consolidated financial statements or the management reports.
1.2.2 Powers of
the Board of Directors
The powers of the Board of Directors are listed in Article L. 225-35 of the French
Commercial Code and are detailed in the Board's rules of procedures. Within the framework
of the mission entrusted to it by law and by banking regulations, and in view of the
powers vested in the Executive Management, the Board of Directors defines strategy
and the Company's general policies. It approves, as necessary and as proposed by the
Chief Executive Officer and/ or the Deputy Chief Executive Officer, the resources,
structures and plans allocated for the implementation of the general strategies and
policies it has defined. The Board rules all the questions connected with the Company's
administration submitted to it by the Chairman and the Chief Executive and by its
specialised committees or on any other question which is submitted to it.
In addition to the aforementioned powers and those conferred upon it by law and
the
rules of procedures, it decides on the proposal of the Chief Executive Officer and/or
the Deputy Chief Executive Officer:
| ― |
all external growth and downsizing operations by way of:
| ― |
the creation, acquisition or disposal of any subsidiaries or
equity investments (excluding
entities created for one or more specific transactions);
|
| ― |
the opening or closure of any branch abroad;
|
| ― |
the acquisition, disposal, exchange or integration of new businesses
or parts of businesses;
likely to lead to an investment or disposal that may amount to
more than €50 million;
|
|
| ― |
or the provision of collateral to guarantee the Company's commitments
(except for
financial market transactions), when the guarantee concerns Company assets with a
value of more than €50 million.
|
In addition, on the proposal by the Chief Executive Officer and/ or the Deputy
Chief
Executive Officer, the Board authorises the purchase or sale of real estate made in
the name or on behalf of the Company, when the amounts of these transactions exceed
€30 million.
The Board of Directors also has specific powers regarding other legal and regulatory
provisions applicable to credit institutions and companies whose securities are traded
in a regulated market in terms of corporate governance, compliance, risk management
and internal control.
1.2.3 Referral
procedure, information procedure and terms of the Board's intervention
- Conflicts of Interest
In order to enable the Secretary of the Board of Directors to prepare the Board
meetings,
an internal governance document sets out the conditions of intervention of, and the
means of referral to the Board. This document notably stipulates the conditions under
which the head office or branch departments must inform the Secretary, within the
scope of the schedule for the Board's meetings, of the points which are liable to
be added to the draft agenda for each meeting as well as the information documents.
The draft agenda is then sent for approval to the Chairman of the Board of Directors.
The Board of Directors' rules of procedures specify the roles of the Board's committees.
They also contain a reminder of the principles and best practices for corporate governance
that help to raise the quality of the work undertaken by the Board of Directors, including
the provision of the information necessary for the Directors to usefully contribute
to the issues entered into the agenda, the obligations of confidentiality, and the
obligations and recommendations regarding privileged information and conflicts of
interest, the details of which are restated in section 1.3.3 "Ethics, conflicts of
interest and privileged information".
The Board of Directors, in accordance with Articles L. 225-38 et seq. of the French
Commercial Code, authorises related party agreements prior to their signature. The
Directors and Managers directly or indirectly concerned by the agreement do not take
part in the deliberations and the voting. Information relating to the 2019 agreements
(new agreements, concluded and authorised, as well as those entered into previously
which continued in 2019) is sent to the Statutory Auditors, who will present their
special report to the General Meeting of Shareholders. This report is presented on
page 440 of the Universal Registration Document. At its meeting on 12 February 2020,
the Board reviewed the related-party agreements entered into previously and still
in force in 2019, in accordance with the provisions of Article L. 225-40-1 of the
French Commercial Code.
1.2.4 Activities
of the Board of Directors in 2019
The Board of Directors met six times during the 2019 financial year. For almost
all
items on the agenda of the Board meetings, supporting documentation is distributed
several days before the meeting.
The principal matters examined during these meetings, following any necessary initial
analysis by the specialised committees, were as follows.
CONCERNING BUSINESS
AND STRATEGY
The Board of Directors was given a quarterly presentation on the Company's commercial
activity, as well as presentations on the 2019 budget, the 2020 budget and the 2022
Medium-Term Plan.
CONCERNING THE
FINANCIAL STATEMENTS, THE FINANCIAL POSITION AND THE DEALINGS WITH
THE STATUTORY AUDITORS
In accordance with regulatory requirements, the Board of Directors approved the
corporate
and consolidated financial statements for the 2018 financial year and examined the
half-yearly and quarterly results during 2019. The Chairwoman of the Audit Committee
presented a report on the work of the Audit Committee each time the Board of Directors
examined these financial statements, and the Statutory Auditors informed the Board
of their observations.
CONCERNING RISKS
AND INTERNAL CONTROL
After hearing the Risks Committee, the Board of Directors examined the following
on
a quarterly basis:
| ― |
the position of the Company with regard to the different risks
to which it is exposed
(market risks, counterparty risks, operational risks, cost of risk and provisions,
broken down by country and by segment) and with regard to the previously approved
risk appetite;
|
| ― |
the position of the Company in terms of compliance with regular
updates on the implementation
of the OFAC remediation plan following the commitments given to US authorities;
|
| ― |
legal risks with the various ongoing lawsuits and disputes;
|
| ― |
the position regarding liquidity.
|
Half-yearly updates were also presented to the Board of Directors:
| ― |
on periodic control missions (Group Control and Audit);
|
| ― |
on the report on internal control (annual report and half-year
information, RACI).
|
The following were also presented to the Board of Directors:
| ― |
the annual report by the head of Compliance on Investment Services
(RCSI);
|
| ― |
a report on the implementation of the law regulating banking
activities (SRAB law)
and the Volcker rule;
|
| ― |
the 2020 audit plan;
|
| ― |
communications from the supervisory authorities, the answers
provided and the actions
implemented to address the observations made;
|
| ― |
the updating of the Anti-corruption Code.
|
The Board of Directors also approved:
| ― |
updates to the risk appetite and the related statement;
|
| ― |
the liquidity risk management and control system and the procedures,
systems and tools
for measuring this risk as well as the emergency liquidity plan;
|
| ― |
the list of major risks and the stress tests programme;
|
| ― |
on a quarterly basis, the Company's risk strategies approved
by the Strategy and Portfolio
Committee (CSP) and the Group Risks Committee (CRG);
|
| ― |
a review of the criteria and thresholds used to define significant
incidents detected
by the internal control procedures which remain unchanged compared to last year;
|
| ― |
the statement on the adequacy of the risk control mechanism and
the quality of information
given to the Board;
|
| ― |
the ICAAP and ILAAP statements;
|
| ― |
the declaration of the fight against modern slavery in the Modern
Slavery Act 2015;
|
| ― |
internal control reports (corporate and consolidated) dedicated
to the fight against
money laundering and the financing of terrorism.
|
CONCERNING GOVERNANCE,
COMPENSATION AND HUMAN RESOURCES
After hearing the Appointments and governance Committee, the Board of Directors
then:
| ― |
reviewed its composition as well as that of the specialised committees;
|
| ― |
put forward the appointments of new members of the Board and
the renewal of various
others at the Shareholders' Meeting;
|
| ― |
reviewed the qualification of Independent Directors within the
scope of the criteria
in the AFEP-MEDEF Code;
|
| ― |
performed a self-assessment of the functioning of the Board of
Directors and examined
the self-assessment of the individual and collective skills of the members of the
Board and the independence, potential conflicts of interest, reputation and good character
of the Directors;
|
| ― |
examined the readjustment of the estimated time required to carry
out various functions
within the Board and the time that each Director can devote to his duties;
|
| ― |
acknowledged the policy adopted by the Appointments and governance
Committee in terms
of the balanced representation of men and women within its membership;
|
| ― |
reviewed the reason for being and the Articles of Association
of the Crédit Agricole
Group;
|
| ― |
approved a diversity policy for the Board of Directors.
|
After hearing the Compensation Committee, the Board of Directors then:
| ― |
approved the compensation of the members of Executive Management;
|
| ― |
defined the principles and criteria for determining the compensation
of Executive
Corporate Officers for 2019 which is submitted to the General Meeting for its approval;
|
| ― |
examined the conditional rights the Executive Corporate Officers
have under the defined-benefit
pension commitments;
|
| ― |
approved the budget for the variable compensation of the employees;
|
| ― |
approved the Company's compensation policy;
|
| ― |
examined the report required by the French Prudential Supervision
Authority presenting
information regarding the Company's compensation policy and practices;
|
| ― |
acknowledged the social audit and the international workforce
statistics;
|
| ― |
reviewed the methodology for determining identified staff and
the results concerning
this group;
|
| ― |
deliberated on the Company's policies on gender equality and
equal pay;
|
It approved the terms of the Corporate Governance report, the terms of the management
report, in particular the information on CSR, approved the agenda and the resolutions
of the Annual Ordinary General Meeting and the terms of its report to this General
Meeting.
It was informed of the appointment of the new Director of Risk and Permanent Control
and of the new Compliance Director and the Anti-corruption referent.
It regularly reviewed the list of people authorised for bond issues and approved
the
arrangements for the training of the Directors elected by the employees.
CONCERNING RELATED-PARTY
AGREEMENTS
In accordance with the provisions of Article L. 225-38 of the French Commercial
Code,
the Board of Directors authorised related-party agreements concerning:
| ― |
an agreement on the disposal of Visa Inc Class C preferred shares
in light of the
grouping of the lines held by various entities of the Group at Crédit Agricole CIB;
|
| ― |
the regulated commitments taken by Crédit Agricole S.A. for the
benefit of Mr Philippe
Brassac, Chief Executive Officer of Crédit Agricole S.A. and Chairman of the Board
of Directors of Crédit Agricole CIB under Article L. 225-42-1 of the French Commercial
Code abrogated by the order 2019-1234 of 27 November 2019.
|
Details of regulated agreements falling within the scope of the new regulations
modified
by the Order 2019-1234 of 27 November 2019 is presented by the Statutory Auditors
in their special report in Chapter 8 of the Universal Registration Document.
In accordance with the provisions of Article L. 225-40-1 of the French Commercial
Code, the Board of Directors re-examined the agreements entered into and authorised
during previous financial years that continued to be executed in the course of the
financial year 2019.
1.2.5 Assessment
of the skills and functioning of the Board of Directors
ASSESSMENT OF
THE COLLECTIVE AND INDIVIDUAL SKILLS OF THE DIRECTORS
The Appointments and governance Committee carried out an assessment of the collective
and individual skills of Directors based on a self-assessment undertaken in October
2019. The findings of this assessment presented to the Board show that:
| ― |
all the skill areas, both banking and non-banking, are covered;
|
| ― |
the Board has extensive expertise in the following areas: banking
activities, financial
markets, legal and regulatory requirements, bank governance, risks management, corporate
management, human resources/compensation, interpretation of financial information,
strategic planning.
|
ASSESSMENT OF
THE FUNCTIONING OF THE BOARD OF DIRECTORS
A self-assessment of the performance of the Board of Directors was conducted during
2019, based on an individual questionnaire consisting of 62 questions sent to each
Board member. The questions concerned in particular: the organisation of the Board,
its operation, its composition and the quality of relationships within it, the work
of the various Board committees, and the training and information provided for the
Directors. The self-assessment was administered by the Appointments and governance
Committee and presented to the Board.
The responses helped to:
| ― |
establish a certain number of strong points:
| ― |
about the organisation of the Board (relevance of the agenda
and completeness of information);
|
| ― |
about the composition of the Board and the quality of relationships
(balanced relationship
between the Board, on the one hand, and the Chairman or the General Management on
the other hand, information transparency, collective effectiveness and spirit of collegiality);
|
| ― |
about the functioning of the Board (in terms of risk, internal
control, account preparation
and compensation);
|
| ― |
about the work done by the Board's different Committees (quality
of feedback on work
communicated to the Board, availability of contacts in particular);
|
|
| ― |
highlighting the progress made in 2019 on certain points such
as the response to requests
for additional information and the functioning of the Board in terms of strategy.
|
The guidelines adopted by the Board for 2020 following the self-assessment of the
functioning of the Board include the continuation of efforts undertaken in terms of
the knowledge and sharing of Crédit Agricole CIB's strategy, the training of new directors
and synthesis of topics to allow more time for discussion.
► Attendance rate
at Board of Directors' meetings
The average attendance rate of members at Board of Directors' meetings, including
members whose term of office expired during the year, was 91.7% for all Board meetings
in 2019.
► Attendance rate
of Directors comprising the Board
|
Number of Board meetings which
the Director should have attended in 2019 |
Number of Board meetings which
the Director attended in 2019 |
Attendance rate |
| Philippe BRASSAC |
6 |
6 |
100.00% |
| Jean de Dieu BATINA |
6 |
6 |
100.00% |
| Jacques BOYER |
6 |
6 |
100.00% |
| Paul CARITE |
4 |
4 |
100.00% |
| Audrey CONTAUT 3 |
6 |
6 |
100.00% |
| Bertrand CORBEAU |
6 |
3 |
50.00% |
| Marie-Claire DAVEU |
6 |
6 |
100.00% |
| Claire DORLAND CLAUZEL |
6 |
6 |
100.00% |
| Olivier GAVALDA |
6 |
6 |
100.00% |
| Nicole GOURMELON 1 |
2 |
2 |
100.00% |
| Françoise GRI |
6 |
6 |
100.00% |
| Luc JEANNEAU |
6 |
5 |
83.33% |
| Anne-Laure NOAT |
6 |
6 |
100.00% |
| Catherine POURRE |
6 |
5 |
83.33% |
| Laurence RENOULT 2 |
4 |
4 |
100.00% |
| François THIBAULT |
6 |
5 |
83.33% |
| Odet TRIQUET |
6 |
6 |
100.00% |
| Jean-Pierre VAUZANGES 1 |
2 |
1 |
50.00% |
1
The term of office of Mrs Gourmelon and Mr Vauxzanges ended on 7 May 2019.
2
Mrs Renoult was appointed as a Director by the Ordinary General Meeting of 7 May
2019.
3
In application of Article L. 225-34 of the French Commercial Code, Mr Lahouari Naceur
will succeed Mrs Audrey Contaut as a Director elected by the non-management salaried
employee body as of 1 January 2020.
1.2.6 Training
for Directors
A procedure established in 2013 to welcome new Directors consists of a welcome
booklet,
which includes the main documents covering the governance and social bodies of the
Company, its strategy and its budget, the Universal Registration Document and the
activity report of the previous year. When a new Director first joins the Board, meetings
can also be organised between the new Director and Executive Management members, the
Head of Risks and Permanent Control, the CFO and the Head of Compliance and the Head
of Human Resources.
In addition, newly appointed directors benefit from training organised by the Crédit
Agricole S.A. Group on governance and compliance issues.
In addition to the programme established for new Directors, training measures for
all Directors continued during financial year 2019. A seminar for Directors held in
November 2019 provided an opportunity to gain a better understanding of the expectations
of the Bank's customers by meeting the top management of two of Crédit Agricole CIB's
biggest customers and to improve knowledge of the Bank's activities and strategy,
in particular, within the context of the 2022 Medium-Term Plan. A technical training
session devoted to a presentation on the PACTE law, the ICAAP, recent regulatory changes
(focus on international sanctions) and the Repo market was held in October 2019. Directors
also benefit from permanent access to an e-learning programme offering various courses
on the theme of compliance.
In addition, in accordance with the provisions of Articles L. 22530-2 and R. 225-34-3
of the French Commercial Code, the Board of Directors, at its meeting on 13 December
2019, determined the training to be followed by the employee Directors in 2020.
Finally, if judged opportune, a Director can receive individual training especially
on taking up new functions on the Board or its committees.
1.2.7 Specialised
committees of the Board of Directors
The Board has four specialised Committees: an Audit Committee, a Risks Committee,
an Appointments and governance Committee, and a Compensation Committee.
The members of these committees are appointed by the Board of Directors in accordance
with its rules of procedures.
These specialised committees assist the Board of Directors in its duties and in
preparing
for discussions. They may, for example, conduct studies or submit opinions or recommendations
to the Board. The committees interact where appropriate to ensure consistency in their
work. Each committee reports on its work to the Board of Directors so that members
can be fully informed when participating in discussions.
Each committee carries out the missions that are assigned by the law and the regulations
in force, as well as by the rules of procedures of the Board of Directors and meets
periodically and as necessary, in order to review any subject within its jurisdiction.
The committee can request access to all the information it deems relevant to perform
its mission.
Each committee bases its work mainly on the summary information provided by the
departments
and on the interviews or meetings that it holds with Company people deemed useful
for the performance of its missions; if it so wishes, these interviews or meetings
can be held without the presence of the Executive Management. After informing the
Chairman of the Board of Directors, and in order to report to the Board of Directors,
the committee can have any studies required to assist the Board's deliberations drawn
up at the Company's costs, after verifying the objectivity of the expert selected.
AUDIT COMMITTEE
♦ Composition
of the Audit Committee at 31 December 2019
The rules of procedures of the Board of directors stipulate that the Audit Committee
is composed of at least four Directors.
MEMBERS AT 31
DECEMBER 2019
| ― |
Mrs Anne-Laure Noat, Independent Director, Chairwoman of the
committee;
|
| ― |
Mr Jacques Boyer, Director;
|
| ― |
Mrs Marie-Claire Daveu, Independent Director;
|
| ― |
Mrs Claire Dorland Clauzel, Independent Director;
|
| ― |
Mr Olivier Gavalda, Director;
|
| ― |
Mrs Catherine Pourre, Independent Director.
|
In accordance with the AFEP-MEDEF Code (§16.1), Independent Directors account for
two-thirds of members.
A short biography is available in section 1.3 of this Universal Registration Document.
♦ Missions of
the Audit Committee
The committee meets at least quarterly.
It liaises with the Statutory Auditors as often as required, and for the preparation
of the interim and annual financial statements.
EXTRACT FROM THE
RULES OF PROCEDURE OF THE BOARD OF DIRECTORS, ARTICLE 1.2.2.4
"The committee's primary purpose is to monitor management issues related to the
development
and review of the corporate and consolidated financial statements, the effectiveness
of the internal control and risk management systems with respect to the procedures
in the preparation and treatment of accounting and financial information, monitoring
the work of the Statutory Auditors on these issues and their independence.
Without prejudice to the powers of the Board of Directors, its powers are in particular:
To monitor the
process of compiling financial information:
It monitors the process for preparing the financial information and if necessary,
makes recommendations to guarantee the integrity of this information. It checks the
relevance and performance of the accounting principles adopted by the Company to prepare
the parent company's financial statements and the consolidated financial statements.
To review the
corporate and consolidated financial statements
It examines the draft corporate and consolidated annual, half-yearly and quarterly
financial statements, before submission to the Board of Directors.
To review and
monitor the effectiveness of the internal control and risk management
systems relating to financial and accounting information
It examines and monitors, without its independence being impaired, the effectiveness
of the internal control and risk management systems, regarding the procedures related
to the preparation and treatment of accounting and financial information. In this,
it makes an assessment of the quality of the internal control, proposes complementary
actions if and as necessary, monitors the work of the teams who are responsible for
internal control, including internal audit.
To monitor the
independence and objectivity of the Statutory Auditors - Approves the
provision by the Statutory Auditors of the services mentioned in Article L. 822-11-2
of the French Commercial Code
In accordance with the legal provisions and regulations applicable:
| ― |
to conduct the selection procedure when appointing the Statutory
Auditors and make
a recommendation for the attention of the Board of Directors on their renewal or appointment;
|
| ― |
to ensure compliance by the Statutory Auditors on the conditions
of independence defined
by the French Commercial Code and tracks all related issues. Where applicable, in
consultation with the former, it determines measures to preserve their independence;
|
| ― |
to approve the provision by the Statutory Auditors of the services
mentioned in Article
L. 822-11-2 of the French Commercial Code.
|
To monitor the
fulfilment of the Statutory Auditors' mission:
It monitors how the Statutory Auditors perform their mission, and in particular
examines
their work programme, their findings and recommendations; it receives their additional
annual report on the results of the statutory audit of the financial statements;
It takes account of the findings and conclusions of the Statutory Auditors Audit
Council
(Haut conseil du Commissariat aux comptes) if controls are carried out in accordance
with the provisions of the French Commercial Code.
The committee can make any recommendation concerning its missions and powers.
It may review all questions particularly of a financial or accounting nature that
are submitted to it by the Chairman of the Board of Directors or Chief Executive Officer.
It reports on the performance of its duties to the Board of Directors."
♦ Activities of
the Audit Committee during 2019
The Audit Committee met seven times during 2019, including three joint sessions
with
the Risks Committee.
Each committee meeting was preceded by a conference call with the Finance Department.
Certain situations relating to the financial statements or the missions of the Statutory
Auditors were able to be clarified during telephone discussions. Specific phone conversations
were held with the Statutory Auditors.
During these meetings, the committee examined:
| ― |
the quarterly, interim and yearly consolidated corporate financial
statements;
|
| ― |
the work of the Statutory Auditors as well as the missions "outside
financial audit"
they performed;
|
| ― |
the 2019 and 2020 budgets;
|
| ― |
the information published in the Universal Registration Document;
|
| ― |
the documents and information expected by the Committee in accordance
with Article
241 of the Decree of 3 November 2014 on internal control.
|
The minutes of each of these meeting were submitted to the Board of Directors.
The attendance rate of Audit Committee members was 91.16% in 2019.
► Attendance rate
of Audit Committee members
|
Number of Audit Committee meetings
which each number should have participate in 2019 |
Number of Audit Committee meetings
which each member attended in 2019 |
Attendance rate |
| Jacques BOYER |
7 |
7 |
100.00% |
| Marie-Claire DAVEU |
7 |
6 |
85.71% |
| Claire DORLAND CLAUZEL |
7 |
7 |
100.00% |
| Olivier GAVALDA 1 |
4 |
4 |
100.00% |
| Anne-Laure NOAT |
7 |
7 |
100.00% |
| Catherine POURRE |
7 |
6 |
85.71% |
| Jean-Pierre VAUZANGES 2 |
3 |
2 |
66.67% |
1
Mr Gavalda was appointed a member of the Committee by the Board on 7 May 2019.
2
Mr Vauzanges was not reappointed as a Director at the Ordinary General Meeting of
7 May 2019.
RISKS COMMITTEE
♦ Composition
of the Risks Committee at 31 December 2019
The rules of procedures of the Board of Directors stipulate that the Risks Committee
is composed of at least four Directors.
MEMBERS AT 31
DECEMBER 2019
| ― |
Mrs Marie-Claire Daveu, Independent Director, Chairwoman of the
committee;
|
| ― |
Mr Paul Carite, Director;
|
| ― |
Mrs Frangoise Gri, Independent Director;
|
| ― |
Mrs Anne-Laure Noat, Independent Director;
|
| ― |
Mrs Catherine Pourre, Independent Director;
|
| ― |
Mr Frangois Thibault, Director.
|
Mr Paul Carite was appointed a member of this Committee by the Board on 7 May 2019.
♦ Missions of
the Risks Committee
The Risks Committee meets whenever necessary, and at least once a quarter. It is
fully
informed about the Company's risks. If necessary, it may call on the services of the
head of risk management or external experts.
EXTRACT FROM THE
RULES OF PROCEDURES OF THE BOARD OF DIRECTORS, ARTICLE 1.2.2.3
"The main missions of the Risks Committee are the following:
To advise the Board of Directors on the overall strategy of the Bank and on risk
appetite
and to assist it with the implementation of the strategy by the Executive Managers
and the head of the Risk Management Department:
| ― |
to examine and review regularly the strategies and policies governing
decision-making,
management, monitoring, and reduction of the risks to which the Company is or could
be exposed;
|
| ― |
to review and monitor the risk management policy procedures and
systems in force within
the Bank and its consolidated group;
|
| ― |
to assess the consistency of measurement, monitoring and risk
management systems,
and propose related actions, as necessary;
|
| ― |
to monitor any incident, whether fraudulent or not, revealed
by the internal control
procedures, according to the criteria and significance thresholds set by the Board
of Directors or which presents a major risk to the Bank's reputation. The Chairman
of the committee must be informed of any incident, whether fraudulent or not, revealed
by the internal control procedures, which exceeds an amount set by the Board of Directors
or which presents a major risk to the Bank's reputation.
|
To consider whether the prices of the products and services offered to clients
are
in line with the risk strategy and, if this is not the case, to submit an action plan
to the Board of Directors to remedy the situation.
Without prejudice to the responsibilities of the Compensation Committee, to examine
whether the incentives offered by the Company's compensation policy and practices
are compatible with its situation with regard to the risks it is exposed to, its capital,
its liquidity and the probability and timing of the implementation of the benefits
expected.
To review the effectiveness of internal control systems, excluding the financial
reporting
and accounting information process covered by the Audit Committee:
| ― |
it examines the internal control system implemented within the
Company and its consolidated
group;
|
| ― |
it assesses the quality of internal control and proposes, as
necessary, complementary
actions;
|
| ― |
it monitors the work of the Statutory Auditors on the Company's
financial statements
and of the internal audit teams.
|
To examine issues relating to liquidity risk and solvency;
To examine issues relating to disputes and provisions."
♦ Activities of
the Risks Committee in 2019
The Risks Committee met seven times during 2019, including three joint sessions
with
the Audit Committee.
During these meetings, the committee examined:
| ― |
the risk position (quarterly review);
|
| ― |
liquidity (quarterly review);
|
| ― |
the emergency plan and the liquidity monitoring mechanism;
|
| ― |
the Company's risk appetite;
|
| ― |
risk strategies (quarterly review);
|
| ― |
the main legal issues (quarterly review);
|
| ― |
compliance reviews, including implementation of the OFAC remediation
plan (quarterly
review);
|
| ― |
the periodic control missions, including the 2020 audit plan;
|
| ― |
internal control review (half-yearly review);
|
| ― |
a report on the implementation of the law regulating banking
activities and the Volcker
rule;
|
| ― |
a summary of the work on the harmonised ICAAP and ILAAP and related
declarations;
|
| ― |
update on the implementation of MIFID 2;
|
| ― |
the declaration on the suitability of the risk management mechanisms
implemented.
|
In the course of preparing the work of the Risks Committees, several meetings were
held:
| ― |
twenty-four meetings with directors, executive management and
the other Bank departments;
|
| ― |
two meetings with the Executive Management of Crédit Agricole
CIB and one of the Bank's
subsidiaries.
|
The minutes of each of these meetings were submitted to the Board of Directors.
The attendance rate of the Risks Committee members in 2019 was 86.39%.
► Attendance rate
of the members comprising the Risks Committee
|
Number of Risks Committee meetings
which each member should have attended in 2019 |
Number of Risks Committee meetings
which each member attended in 2019 |
Attendance rate |
| Marie-Claire DAVEU |
7 |
6 |
85.71% |
| Paul CARITE 1 |
4 |
4 |
100.00% |
| Nicole GOURMELON 2 |
3 |
1 |
33.33% |
| Françoise GRI |
7 |
7 |
100.00% |
| Anne-Laure NOAT |
7 |
7 |
100.00% |
| Catherine POURRE |
7 |
6 |
85.71% |
| François THIBAULT |
7 |
7 |
100.00% |
1
Mr Paul Carite was appointed a member of this Committee by the Board on 7 May 2019.
2
Mrs Gourmelon was not reappointed as a Director at the Ordinary General Meeting of
7 May 2019.
During their joint sessions, the Audit Committee and the Risks Committee also examined:
| ― |
the 2018 annual report on internal control (RACI) and the 2019
half-year information
on internal control (ISCI);
|
| ― |
the 2019 stress-test programme and the list of major risks;
|
| ― |
the criteria and thresholds applicable to significant incidents;
|
| ― |
the regulatory provisions relative to ILAAP and ICAAP and risk
appetite;
|
| ― |
the 2020 budget;
|
| ― |
the risk appetite statement;
|
| ― |
the summary risk appetite statement;
|
| ― |
internal control reports (corporate and consolidated) dedicated
to the fight against
money laundering and the financing of terrorism.
|
APPOINTMENTS COMMITTEE
AND GOVERNANCE COMMITTEE
♦ Composition
of the Appointments Committee and Governance Committee at 31 December
2019
The Appointments and governance Committee is composed of at least two Directors.
MEMBERS AT 31
DECEMBER 2019
| ― |
Mrs Claire Dorland Clauzel, Independent Director, Chairwoman
of the committee;
|
| ― |
Mrs Marie-Claire Daveu, Independent Director;
|
| ― |
Mr Luc Jeanneau, Director.
|
The Appointments and governance Committee therefore has a majority of Independent
Directors in accordance with the provisions of the AFEP-MEDEF Code (§17.1).
The Chief Executive Officer and the Secretary of the Board are invited to the meetings
of this committee.
♦ Duties of the
Appointments and governance Committee
EXTRACT FROM THE
RULES OF PROCEDURES OF THE BOARD OF DIRECTORS, ARTICLE 1.2.2.1
"The main missions of the Appointments and governance Committee are:
| ― |
to assist the Board on matters relating to corporate governance
in order to maintain
a high level of requirements in this area;
|
| ― |
to identify and recommend suitable candidates, as Directors or
Non-voting Directors,
to the Board of Directors;
|
| ― |
to recommend to the Board of Directors candidates for the position
of Chairman of
the Board;
|
| ― |
to assess once a year the balance, diversity of knowledge, skills
and experiences
that the Directors possess individually and collectively and when recommendations
are made to the Board for the appointment or reappointment of Directors;
|
| ― |
to define the qualifications needed to serve on the Board and
estimate how much time
should be set aside for the associated duties;
|
| ― |
to assist the Board with regard the strategies and objectives
applicable to Directors;
|
| ― |
to set a diversity target for the Board and develop a diversity
policy. This objective,
the policy and the means implemented are made public;
|
| ― |
to evaluate the structure, size, composition and effectiveness
of the Board of Directors
at least once a year;
|
| ― |
to review periodically and make recommendations regarding the
policies of the Board
of Directors for selection and appointment of Executive Directors of the Company and
other members of Executive Management, as well as the head of the Risk Management
function;
|
| ― |
to ensure that the Board of Directors is not dominated by one
person or by a small
group of people in conditions that could be detrimental to the Bank's interests'".
|
♦ Actions of the
Appointments and governance Committee during 2019
The Appointments and governance Committee met six times during 2019.
At its meetings, the Committee:
| ― |
examined the candidatures and reappointments of Directors in
anticipation of the General
Meeting and the candidature for the new Risk and Permanent Control Officer and the
new head of Compliance;
|
| ― |
determined the objective and policy in terms of balanced representation
of men and
women on the Board of Directors as well as diversity;
|
| ― |
reviewed the qualifications of Independent Directors and changes
in the composition
of the Board of Directors and its Committees;
|
| ― |
examined the updates to the Articles of Association and to the
rules of procedure
of the Board of Directors;
|
| ― |
examined the Directors' training programme for 2019, the proposed
training courses
for employed Directors and the annual seminar program;
|
| ― |
organised the self-assessment of the Board for 2019 and of the
individual and collective
skills of Directors. He analysed and synthesised the results of the self-assessments
in order to determine and submit the actions to be taken to the Board of Directors;
|
| ― |
readjusted its proposal for assessing the time required to perform
the various functions
on the Board of Directors and made an annual assessment of the time spent by each
Director in the exercise of their mandate;
|
| ― |
checked, in accordance with Article L. 511-101 of the French
Monetary and Financial
Code, that the Board of Directors was not dominated by one person or by a group of
people in conditions that could be detrimental to the Company's interests.
|
The minutes of each of these meetings were submitted to the Board of Directors.
The attendance rate of the members of the Appointments and governance Committee
in
2019 was 94.44%.
► Attendance rate
of the members of the Appointments and governance Committee
|
Number of Appointments and governance
Committee meetings which each member should
have attended in 2019
|
Number of Appointments and governance
Committee meetings which each member attended
in 2019
|
Attendance rate |
| Marie-Claire DAVEU |
6 |
5 |
83.33% |
| Claire DORLAND CLAUZEL |
6 |
6 |
100.00% |
| Luc JEANNEAU |
6 |
6 |
100.00% |
COMPENSATION COMMITTEE
♦ Composition
of the Compensation Committee at 31 December 2019
The rules of procedures of the Board of Directors stipulate that the Compensation
Committee is composed of at least four Directors and includes a Director representing
the employees, and one Director in common with the Risks Committee.
MEMBERS AT 31
DECEMBER 2019
| ― |
Mrs Anne-Laure Noat, Independent Director, Chairwoman of the
committee;
|
| ― |
Mr Jean de Dieu Batina, Director elected by the employees;
|
| ― |
Mrs Claire Dorland Clauzel, Independent Director;
|
| ― |
Mr Luc Jeanneau, Director.
|
This Committee, chaired by an Independent Director, has a total of four Directors,
including two Independent Directors, a Director representing employees and a Director
of the Crédit Agricole Group. The Committee has a majority of Independent Directors
in accordance with the provisions of the AFEP-MEDEF Code (Recommendations No. 15.1
and 18.1).
The Compensation Committee's duties fall within the framework of the Group's compensation
policy. With a view to harmonising Crédit Agricole S.A.'s compensation policies, the
Group Human Resources Director or his or her representative, as well as the Chairman
of the Board of Directors and the Chief Executive Officer of Crédit Agricole S.A.,
are invited to the meetings of the Compensation Committee. An overall monitoring of
the compensation policy applicable across all Crédit Agricole Group S.A. entities
is carried out within Crédit Agricole S.A. This follow-up is presented to the Board
of Directors of Crédit Agricole S.A. and includes proposals for the principles used
to determine the amounts of variable compensation, the examination of the impact of
the risks and the capital requirements inherent to the activities concerned, as well
as an annual review, by the Compensation Committee of the Crédit Agricole S.A. Board,
of compliance with regulatory provisions and professional standards on compensation.
♦ Missions of
the Compensation Committee
EXTRACT FROM THE
RULES OF PROCEDURES OF THE BOARD OF DIRECTORS, ARTICLE 1.2.2.2
"The Compensation Committee prepares the decisions of the Board of Directors regarding
compensation, in particular those having an impact on risk and risk management in
the Company. It assists with the development of compensation policies and the supervision
of their implementation.
It makes recommendations
to the Board including:
| ― |
the total amount of Directors' fees allocated to the members
of the Board of Directors,
to be submitted to the General Meeting of Shareholders for approval;
|
| ― |
the distribution of these Directors' fees among the members of
the Board of Directors;
|
| ― |
ordinary and exceptional compensation, defined in Article 14
of the Articles of Association
as "Directors' compensation" paid to the members of the Board of Directors, its Chairman
and its Vice-Chairmen.
|
At least annually,
it reviews:
| ― |
the principles of the Company's compensation policy;
|
| ― |
the compensation, allowances, benefits in kind, pension commitments
and financial
entitlements granted to the Chief Executive Officer, and to the Deputy General Managers
on the proposal of the CEO;
|
| ― |
the principles of variable compensation of all employees of the
Company including
those identified personnel defined in compliance with European regulations, as well
as the members of Executive Management (composition, base, ceiling, conditions, form
and payment date) and the total amount allocated as part of this compensation. The
Compensation Committee is informed of the breakdown of this total at individual level,
beyond a threshold proposed by Executive Management and subject to approval by the
Board of Directors.
|
It also carries
out the following:
| ― |
it ensures that the compensation system takes account of all
types of risks and that
the levels of liquidity and equity and the overall compensation policy is consistent,
that it promotes healthy and effective risk management and that it conforms to the
financial strategy, to the goals, to Company values and to the long-term interests
of the Company;
|
| ― |
it prepares the work and decisions of the Board of Directors
to identify staff defined
in compliance with the European identification rules;
|
| ― |
it reports to the Board of Directors on its annual review of
the compensation policy
and principles, as well as the verification of their compliance with applicable regulations
and proposes changes as necessary;
|
| ― |
it controls the compensation of the risk management and compliance
officers as well
as that of the periodic control officer;
|
| ― |
regarding deferred variable compensation, it evaluates the achievement
of performance
targets and the need for an adjustment to the ex-post risk, including the application
of penalties and recovery plans, in compliance with the regulations in force;
|
| ― |
it ensures that the Company's policy and compensation practices
are subject to an
assessment by periodic control at least once per year, it reviews the results of this
evaluation and the corrective measures implemented and it makes any recommendation;
|
| ― |
it examines draft reports on compensation including Corporate
Officers and Executive
Directors, prior to their approval by the Board of Directors."
|
♦ Activities of
the Compensation Committee during 2019
The Compensation Committee met three times during 2019.
These meetings focused primarily on the following matters:
| ― |
determination of the overall variable compensation budget;
|
| ― |
examination of the compensation of Executive Corporate Officers,
setting the criteria
used to determine compensation and benefits in kind, review conditional rights and
performance conditions relating to the retirement plans for corporate offcers;
|
| ― |
examination of the compensation of managers of control functions;
|
| ― |
annual review of the Group's compensation policy;
|
| ― |
review of the reports required by law presenting the information
on the compensation
policy and practices inside the Company;
|
| ― |
review of the part of the management report and draft resolutions
concerning compensation
to be presented to the Shareholders' General Meeting.
|
The minutes of each of these meeting were submitted to the Board of Directors.
The attendance rate of the Compensation Committee members was 100% in 2019.
► Attendance rate
of members of the Compensation Committee
|
Number of Compensation Committee
meetings which each member should have attended in
2019
|
Number of Compensation Committee
meetings which each member attended in 2019 |
Attendance rate |
| Jean de Dieu BATINA |
3 |
3 |
100.00% |
| Claire DORLAND CLAUZEL |
3 |
3 |
100.00% |
| Luc JEANNEAU |
3 |
3 |
100.00% |
| Anne-Laure NOAT |
3 |
3 |
100.00% |
1.3 OTHER INFORMATION
ABOUT THE CORPORATE OFFICERS
1.3.1 List of
the functions and mandates held by the Executive Corporate Officers
at 31 December 2019
MEMBER OF THE
EXECUTIVE MANAGEMENT
Jacques RIPOLL
Main office held at Crédit Agricole CIB: Chief Executive Officer
Business address: 12, place des États-Unis - CS 70052 - 92547 Montrouge Cedex -
France
› BORN IN 1966
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of Ecole Polytechnique, Jacques Ripoll joined Société Générale in 1991
in the General Inspectorate, and moved to the Equity Derivatives department in 1998.
He became head of sales and trading for European equities in 2003, and Director of
Strategy for the bank between 2006 and 2009. He then joined the Executive Committee
of Société Générale in charge of four business lines: Asset Management, Private Banking,
Investor Services and Newedge.
In 2013, Jacques Ripoll moved to Banco Santander as Head of Investment Banking
for
the United Kingdom. In 2015, he was appointed Senior Executive Vice President of the
Santander Group in charge of investment banking worldwide.
On 1 November 2018 he was appointed Chief Executive Officer of Crédit Agricole
CIB,
and he also became Deputy General Manager of Crédit Agricole S.A. responsible for
the Large Customers division, for Corporate and Investment banking, Wealth Management
(CA Indosuez Wealth Group) and services for institutional investors and businesses
(CACEIS)
DATE OF FIRST
APPOINTMENT
2018
END OF TERM OF
OFFICE
Indefinite term of office
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Deputy General Manager: Crédit Agricole S.A. - Member of the
Management Committee
and the Executive Committee
|
| ― |
Chairman: CACEIS (Chairman of the Appointments Committee); CACEIS
Bank (Chairman of
the Appointments Committee)
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
| ― |
Groupe Santander:
| ― |
Senior Executive Vice President in charge of worldwide investment
bank (2015-2017)
|
| ― |
Head of investment banking in the United Kingdom (2013-2015)
|
| ― |
Director: Beyond Ratings (2019)
|
|
François MARION
Main office held at Crédit Agricole CIB: Deputy Chief Executive Officer
Business address: 12, place des États-Unis - CS 70052 - 92547 Montrouge Cedex -
France
› BORN IN 1958
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of HEC, François Marion spent a significant part of his career within
Crédit
Agricole Indosuez, first at Banque Indosuez, which he joined in 1983, in the Control
and Audit function, then in 1985 in New York, where he was responsible for all banking
support functions. In 1992, he was appointed Chief Operating Officer for all of the
Group's Asia-Pacific units. In 1997, he returned to Paris, where he was responsible
for all financial control, budgeting and strategic planning at Crédit Agricole Group
Indosuez, becoming a member of the Executive Committee and Director of Systems and
Operations in 1999. From June 2004, he was appointed Chief Executive Officer of Crédit
Agricole Investor Services. He became Chairman of the Management Committee of CACEIS
upon its creation in 2005, then its Chief Executive Officer in 2009. He has been Deputy
Chief Executive Officer of Crédit Agricole CIB since 18 May 2016.
DATE OF FIRST
APPOINTMENT
2016
END OF TERM OF
OFFICE
Indefinite term of office
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Permanent representative of Crédit Agricole CIB: Director of
LESICA (SAS)
|
| ― |
Non-voting Director: CA-GIP
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Chairman and Chief Executive Officer: SICOVAM Holding
|
| ― |
Director: Euroclear PLC
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Chief Executive Officer: CACEIS (2016)
|
In companies outside
Crédit Agricole Group
BOARD OF DIRECTORS
Philippe BRASSAC
Office held at Crédit Agricole CIB: Chairman of the Board of Directors Business
address:
12, place des États-Unis - 92127 Montrouge Cedex - France
› BORN IN 1959
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of the Paris Graduate School of Economics, Statistics and Finance (ENSAE),
Philippe Brassac joined Crédit Agricole du Gard in 1982. He held several executive
offices there before being appointed, in 1994, Deputy General Manager of Crédit Agricole
des Alpes-Maritimes, now Crédit Agricole Provence Côte d'Azur. In 1999, he joined
Caisse Nationale de Crédit Agricole as Director of relations with Regional Banks.
In 2001, he was appointed Chief Executive Officer of Crédit Agricole Provence Côte
d'Azur. In 2010, he also became Secretary General of the Fédération Nationale du Crédit
Agricole (FNCA) and Deputy Chairman of the Board of Directors of Crédit Agricole S.A.
In May 2015, he was appointed Chief Executive Officer of Crédit Agricole S.A..
DATE OF FIRST
APPOINTMENT
2010
END OF TERM OF
OFFICE
2022
SENIORITY ON THE
BOARD OF DIRECTORS
> 9 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chief Executive Officer of Crédit Agricole S.A.
|
| ― |
Chairman: LCL
|
| ― |
Director: Fondation du Crédit Agricole Pays de France
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Vice-chairman and member the Executive Committee of the French
Banking Federation
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Corporate Secretary: FNCA (2015)
|
| ― |
Board member: FNCA (2015)
|
| ― |
Director and Deputy Chairman: Crédit Agricole S.A. (2015), SAS
Rue La Boétie (2015)
|
| ― |
Director: LCL (2015), Fédération régionale du CAM (2015), ADICAM
(2015)
|
| ― |
Chairman: Sofipaca Gestion and Sofipaca (2015), SACAM Développement
(2015)
|
| ― |
Chief Executive Officer: SACAM International (2015), Caisse régionale
Provence Côte
d'Azur (2015)
|
| ― |
Chief Executive Officer and Director: SACAM Participations (2015)
|
| ― |
Non-voting Director: SCI CAM
|
In companies outside
Crédit Agricole Group
Jean de Dieu BATINA
Office held at Crédit Agricole CIB: Director
(Director representing the employees)
Member of the Compensation Committee
Business address: 12, place des États-Unis - CS 70052 - 92547 Montrouge Cedex -
France
› BORN IN 1962
NATIONALITY
French
› BRIEF BIOGRAPHY
With a PhD in Economics from the University of Paris 2, a post-graduate degree
(DEA)
in Econometrics and Finance, a degree from ESSEC (Strategic Marketing Certificate),
Jean de Dieu Batina began his career within the Crédit Agricole Group at Crédit Agricole
Assurances-Prédica, as head of Economic, Statistical and Commercial Research, then
at Indosuez at the Corporate Secretary Information Centre, and in the Banking Operations
Department. He joined Crédit Agricole CIB in Cash Management, then moved to the Foreign
Delegations Network, before moving to International Business Solutions.
DATE OF FIRST
APPOINTMENT
2017
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 2 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
Jacques BOYER
Office held at Crédit Agricole CIB: Director
Member of the Audit Committee
Business address: CRCAM du Languedoc - avenue de Montpelliéret - Maurin - 34977
LATTES
- France
› BORN IN 1953
NATIONALITY
French
› BRIEF BIOGRAPHY
Manager of a wine producing company in the Languedoc for many years, Jacques Boyer
joined the Crédit Agricole S.A Group since 1977.
After serving as Vice-Chairman of the Caisse Regional du Midi, Jacques Boyer became
Chairman of the Crédit Agricole Regional Bank in Languedoc in 2011. At the same time,
he has numerous responsibilities and positions within the Crédit Agricole Group and
holds several offices within Group subsidiaries.
DATE OF FIRST
APPOINTMENT
2018
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 1 year
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chairman: CRCAM du Languedoc
|
| ― |
Director: CA Consumer Finance;
|
Crédit Agricole
Immobilier; SACAM Participations; SAS Rue la Boétie
| ― |
Member of the Management Committee: GIE GECAM
|
| ― |
Member of the Board of Directors: SCI CAM
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Director: Groupe AGRICA; AGRICA Gestion; CCPMA Prévoyance; CAMARCA
|
| ― |
Manager: SARL Jacques Boyer, SCEA Jacques et Francoise Boyer,
JBH Holding
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
Paul CARITE
Office held at Crédit Agricole CIB: Director
Member of the Risk Committee
Business address: CRCAM Sud Méditerranée - 30, rue Pierre Bretonneau - 66832 Perpignan
- France
› BORN IN 1961
NATIONALITY
French
› BRIEF BIOGRAPHY
Paul Carite graduated from Toulouse Business School and began his career in 1986
at
Société Générale. He joined the Crédit Agricole du Lot et Garonne in 1991 where he
was appointed Head of Corporate Market Services, IAA and Public Corporations. He then
moved to the Crédit Agricole Regional Bank of Gironde as Director of the Corporate
Market Services, Public Bodies, Agriculture and Professionals. Between 2001 and 2005,
Paul Carite was Director of Business and Private Management and then Director of Distribution
for Crédit Agricole Regional Bank of Aquitaine. In 2006, he became Director of the
Corporate Bank for LCL, then became a member of the Executive Committee responsible
for the Corporate Bank and its cash management businesses. In 2011, he became Chief
Executive Officer of the Guadeloupe Regional Bank. Since 2016, Paul Carite has been
the Chief Executive Officer of the Crédit Agricole Mutuel Sud Méditerranée Regional
Bank.
DATE OF FIRST
APPOINTMENT
2019
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
< 1 year
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chief Executive Officer: CRCAM Sud Méditerranée
|
| ― |
Director: FONCARIS (Member of the Commitments Committee), Crédit
Agricole d'Égypte
(Chairman of the Audit Committee and Risk Committee), NEXECUR SAS, CACIF
|
| ― |
Member of the Supervisory Committee: SOFILARO
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market In other companies outside Crédit Agricole Group
| ― |
Director: S.A. Indépendant du Midi
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Director: CAAGIS (Chairman of the Audit Committee) (2017), IFCAM
(2019))
|
In companies outside
Crédit Agricole Group
Audrey CONTAUT
*
Office held at Crédit Agricole CIB: Director
(Director representing employees)
Business address: 12, place des États-Unis - CS 70052 - 92547 Montrouge Cedex -
France
› BORN IN 1992
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of the ESC School of Commerce, Troyes, Audrey Contaut began her career
at Crédit Agricole CIB in March 2015, when she joined OPC (Operation & Country
COOs),
first as a Back-Office Derivatives and Payments manager then as a Back-Office Equity
Division & Collateral Derivatives Payments manager. Audrey Contaut has been a
KYC
analyst within the GRM (Global Referential Management) group since 2018.
DATE OF FIRST
APPOINTMENT
2017
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 2 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
*
Mrs Audrey Contaut resigned from her position as a salaried director with effect
1 January 2020. She was replaced by Mr Lahouari Naceur as of that date.
Bertrand CORBEAU
Office held at Crédit Agricole CIB: Director
Business address: 12, place des États-Unis - 92127 Montrouge Cedex - France
› BORN IN 1959
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of the Institut Technique de Banque, the Institut national de Marketing
and the INSEAD business school, Bertrand Corbeau has spent his entire career at Crédit
Agricole, first at Crédit Agricole de la Mayenne in 1981, then at the Anjou-Mayenne
and the Anjou and Maine Regional Banks, as Commercial Director. In 2003, he joined
Crédit Agricole in Franche-Comté as Deputy General Manager. In 2006, he was called
to take up the same position at Crédit Agricole de Val-de-France. He became Chief
Executive Officer of Crédit Agricole in Franche-Comté in 2007. In 2010, he was appointed
Chief Executive Officer of the Fédération national du Crédit Agricole where he remained
until 2016. He was appointed Deputy General Manager of Crédit Agricole S.A. responsible
for the Development, Client and Innovation business, on 4 April 2016 and is a member
of the Executive Committee.
DATE OF FIRST
APPOINTMENT
2016
END OF TERM OF
OFFICE
2021
SENIORITY ON THE
BOARD OF DIRECTORS
> 3 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Deputy General Manager: Crédit Agricole S.A.
|
| ― |
Chairman: UNI-MEDIAS, CRCAM Corse; La Fabrique by CA
|
| ― |
Director: FIRECA, PACIFICA, PREDICA, CA payment Services
|
| ― |
Member of the Supervisory Board: CARD, CAIT
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Chief Executive Officer of FNCA, SACAM Participations, CA village
de l'innovation
|
| ― |
Director: ACBA CA, GEFOCAM, BFORBANK, SACAM Participations, CA
Indosuez Wealth (France)
(2017), CA Indosuez Wealth (Group) (2017), CA Immobilier (2017), IFCAM (2018)
|
| ― |
Non-voting Director: PACIFICA, PREDICA
|
| ― |
Permanent representative of FNCA Director: Crédit Agricole Store,
GECAM (GIE)
|
| ― |
Non-voting Director: SCI CAM
|
In companies outside
Crédit Agricole Group
Marie-Claire DAVEU
Office held at Crédit Agricole CIB: Director
Chairwoman of the Risk Committee-Member of the Audit Committee and of the Appointments
and Governance Committee
Business address: 40, rue de Sèvres 75007 Paris France
› BORN IN 1971
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of Institut National Agronomique Paris-Grignon (1995), École Nationale
de Génie Rural des Eaux et Forêts (1997) with a Master of Advanced Studies (DESS)
in Public Administration (Université Paris-Dauphine 1997), Marie-Claire Daveu began
her career as a high-ranking civil servant within the Departmental Directorate for
agriculture and forestry of La Manche, before moving to the Ministry of Urban Planning
and Environment. In 2004, she became Cabinet Director at the Ministry for Ecology
and Sustainable Development. From 2005 to 2007, she was head of Sustainability at
the Sanofi-Aventis Group. She was Cabinet Director from 2007 to 2012, first with the
Ministry of State in charge of Ecology, then the Ministry of State in charge of strategic
studies and the digital economy before joining the Ministry of Ecology, Sustainable
Development, Transport and Housing. Since 2012, she has been head of Sustainability
and International Institutional Affairs at the Kering Group and a member of the Executive
Committee.
DATE OF FIRST
APPOINTMENT
2014
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 5 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
| ― |
Member of the Executive Committee (Director of Sustainable Development
and international
institutional business): Kering
|
| ― |
Director: ALBIOMA S.A.; Compagnie du Ponant
|
In other companies outside Crédit Agricole Group
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
| ― |
Member of the Supervisory Board: SAFT Groupe S.A. (2018)
|
Claire DORLAND
CLAUZEL
Office held at Crédit Agricole CIB: Director
Chairwoman of the Appointments Committee and Governance Committee - Member of the
Audit Committee and the Compensation Committee
Business address: 12, place des États-Unis - CS 70052 - 92547 Montrouge Cedex -
France
› BORN IN 1954
NATIONALITY
French
› BRIEF BIOGRAPHY
A holder of a Master's degree in history from Université Paris Sorbonne and a Doctorate
from the Institut de Géographie, and a graduate of the École Nationale d'Administration
(1988 "Montaigne" cohort), Claire Dorland Clauzel joined the Ministry of Economy and
Finance, Treasury Department, in 1988. She was appointed Deputy head of Finance for
the Usinor Group from 1993 to 1995 and became Cabinet Director of the Director of
the Treasury in 1995. In 1998, she joined AXA as head of Audit and Control of AXA
France, where she was also a member of the Executive Committee. She was appointed
Chief Executive Officer of AXA France support in 2000 before becoming head of Communication,
Branding and Sustainability of the AXA Group and a member of the Executive Committee
in 2003. In 2008, she joined the Michelin Group as head of Communications and Branding.
From 2014 to 2018, she was Head of Brands, External Relations and Maps and Guides
of the Michelin Group; she was also Head of Sustainable Development from 2017 to 2018
and member of the Executive Committee. Since 2018, she has been joint director of
a vineyard.
DATE OF FIRST
APPOINTMENT
2016
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 3 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Manager: SCI La Tuilière
|
| ― |
Chairwoman: CEI (Centre Echange Internationaux)
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
| ― |
Member of the Executive Committee: (Director of Branding and
External Relations):
Michelin group (2018)
|
| ― |
Director: Union des annonceurs, Union des fabricants (2018)
|
Olivier GAVALDA
Office held at Crédit Agricole CIB: Director
Member of the Audit Committee
Business address: CRCAM Paris Ile de France - 26, quai de la Rapée - 75596 Paris
Cedex
- France
› BORN IN 1963
NATIONALITY
French
› BRIEF BIOGRAPHY
Olivier Gavalda holds a Master's degree in Econometrics and a DESS Arts and Métiers
in organisation/ computer science. He has spent his entire career at Crédit Agricole.
In 1988 he joined Crédit Agricole du Midi where he was Organisation Project Manager,
then Branch Manager, then Training Manager and finally Head of Marketing. In 1998,
he joined Crédit Agricole in Ile-de-France as Regional Manager. In 2002, he was appointed
Deputy General Manager of Crédit Agricole Sud Rhône-Alpes responsible for Development
and Human Resources. On 1 January 2007, he was appointed Chief Executive Officer of
Crédit Agricole in Champagne Bourgogne. In March 2010, Olivier Gavalda became Head
of the Regional Banks Division within Crédit Agricole S.A. In 2015, he was appointed
Deputy General Manager responsible for the Development, Client and Innovation Division
of Crédit Agricole S.A. Since 4 April 2016, he has been Chief Executive Officer of
the Crédit Agricole Paris and Paris Region Regional Bank division.
DATE OF FIRST
APPOINTMENT
2018
END OF TERM OF
OFFICE
2022
SENIORITY ON THE
BOARD OF DIRECTORS
> 1 year
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chief Executive Officer: CRCAM Paris Ile-de-France.
|
| ― |
Chairman: Crédit Agricole SRBIJA
|
| ― |
Director: CA Payment Services; Crédit Agricole Capital Investissement
et Finances;
CAMCA; Crédit Agricole Technologie et Service; CAGIP; CA Cards and Payments
|
In companies outside
Crédit Agricole
Group
and whose shares
are admitted for trading on a regulated market
In other companies
outside
Crédit Agricole
Group
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Deputy General Manager: Crédit Agricole S.A. (2016)
|
| ― |
Chairman: GIE Cartes bancaires (2016)
|
| ― |
Director: Prédica (2015); Pacifica (2015) GIE Coopernic
|
In companies outside
Crédit Agricole Group
Françoise GRI
Office held at Crédit Agricole CIB: Director
Member of the Risk Committee
Business address: 12, place des États-Unis - 92127 Montrouge Cedex - France
› BORN IN 1957
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of the National School of Computer Science and Applied Mathematics of
Grenoble,
Françoise Gri began her career with the IBM Group in 1981 and became Chair and Chief
Executive Officer of IBM France in 2001. In 2007, she joined Manpower and held the
position of Chairwoman and Chief Executive Officer of the French subsidiary, before
becoming Executive Vice President of the Southern Europe area of ManpowerGroup (2011).
An accomplished leader with extensive international experience, she then joined the
Pierre & Vacances-Center Parcs Group as Chief Executive Officer (2012-2014). She
is
an Independent Director with expertise in the fields of IT and corporate social responsibility.
DATE OF FIRST
APPOINTMENT
2017
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 2 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Independent Director: Crédit Agricole S.A. (Chairwoman of the
Risk Committee and of
the Risk Comittee in the United States) Member: Audit Committee, Strategic and CSR
Committee, Compensation Committee)
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
| ― |
Independent Director: Edenred S.A., WNS Services
|
In other companies
outside Crédit Agricole Group
| ― |
Manager Gri Conseil
|
| ― |
Chairwoman of the Supervisory Board: INSEEC U
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
| ― |
Chairwoman of the Board of Directors: Viadeo (2016)
|
| ― |
Deputy Chairwoman: Institut de l'entreprise (2015)
|
| ― |
Member: High Committee for Corporate Governance; MEDEF Ethics
Committee (2016);
|
Institut français
du tourisme (2015)
| ― |
Independent Director: 21 centrale Partners (2019)
|
| ― |
Director: Ecole Audencia (2019)
|
Luc JEANNEAU
Office held at Crédit Agricole CIB: Director
Member of the Compensation Committee and the Appointments and Governance Committee
Business address: CRCAM Atlantique Vendée - Route de Paris la Garde 44949 - Nantes
Cedex 9 - France
› BORN IN 1961
NATIONALITY
French
› BRIEF BIOGRAPHY
Luc Jeanneau has been at the head of a farming business on the island of Noirmoutier
since 1985. In 1990, he became Director of the Crédit Agricole Local Bank in Noirmoutier,
then, in 1993, Director of Caisse Régionale de la Vendée, and Director of Caisse Régionale
Atlantique Vendée, where he has acted as Deputy Chairman in 2010. He has been its
Chairman since 1 April 2011. At the same time he holds various positions and responsibilities
within the Crédit Agricole Group, in particular as a member of the Group's commissions
or committees, and holds several offices within the Group's subsidiaries.
DATE OF FIRST
APPOINTMENT
2017
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 2 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chairman: CRCAM Atlantique-Vendée;
|
| ― |
Vice-Chairman: CAMCA Mutuelle; CAMCA Assurance Réassurance;
|
| ― |
Director: Caisse locale de Noirmoutier; SAS Rue la Boétie; SACAM
Participations; ADICAM,
|
| ― |
Member of the Supervisory Board: CAMCA Courtage
|
| ― |
Member of the Executive Committee: GIE GECAM
|
| ― |
Member of the Management Board: SACAM Mutualisation
|
| ― |
Member of the Board of Directors: SCI CAM
|
| ― |
Office member: FNCA
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Manager: EARL Les Lions
|
| ― |
Director: Coopérative des producteurs de Noirmoutier; Comité
interprofessionnel de
la pomme de terre; Felcoop Coopérative;
|
| ― |
Chairman: Association des Saveurs de l'Ile de Noirmoutier
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Director: CAMCA Vie (2016), Amundi (Member of the Audit Committee)
(2015), SACAM Assurances
Caution
|
In companies outside
Crédit Agricole Group
Anne-Laure NOAT
Office held at Crédit Agricole CIB: Director
Chairwoman of the Audit Committee and the Compensation Committee and member of
the
Risk Committee
Business address: Eurogroup Consulting - Tour Vista - 52/54 quai de Dion Bouton
-
92800 Puteaux - France
› BORN IN 1964
NATIONALITY
French
› BRIEF BIOGRAPHY
An agronomic engineer and graduate of the Institut National Agronomique Paris Grignon
(1983) and the ESSEC business school (1988), Anne-Laure Noat began her career at Crédit
Lyonnais in Japan in 1988. She joined Eurogroup Consulting in 1990 where she has been
a partner since 2000, head of development of the Transportation sector, and associate
HRD since September 2012 and a member of the EXCOM since 2018. She develops Eurogroup
Consulting's business in the transport and logistics sectors, notably as regards industry
policy, strategic projects and industrial and managerial performance. She also specialises
in corporate governance consulting (corporate-function performance (legal, communication,
HR), business strategy, change management and corporate project deployment) and is
in charge of the Responsible Company and Economy practice.
DATE OF FIRST
APPOINTMENT
2014
END OF TERM OF
OFFICE
2020
SENIORITY ON THE
BOARD OF DIRECTORS
> 5 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Partner and member of EXCOM: Eurogroup Consulting France
|
| ― |
Chairwoman: NEW DDS SAS (Eurogroup Consulting subsidiary)
|
| ― |
Chairwoman of the HR and Business Committee of Union Internationale
des Transports
Publics and a member of the Policy Board
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
| ― |
Chairwoman: DDS SAS (Eurogroup Consulting subsidiary) (2019)
|
| ― |
La maison des ingénieurs agronomes (2018))
|
Catherine POURRE
Office held at Crédit Agricole CIB: Director
Member of the Audit Committee and the Risk Committee
Business address: 12, place des États-Unis - 92127 Montrouge Cedex - France
› BORN IN 1957
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of the ESSEC business school and a Certified Accountant, with a degree
in business law from the Catholic University of Paris, Catherine Pourre has extensive
experience in audit and organisation consulting, particularly as a partner at PricewaterhouseCoopers
(1989-1999), then at Cap Gemini Ernst & Young France, where she became Executive
Director
in 2000. She joined Unibail-Rodamco from 2002 as Deputy General Manager. She carried
out various executive management functions as member of the Executive Committee then
member of the Management Board. She is currently a corporate officer within various
companies in France and Luxembourg.
DATE OF FIRST
APPOINTMENT
2017
END OF TERM OF
OFFICE
2021
SENIORITY ON THE
BOARD OF DIRECTORS
> 2 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Director: Crédit Agricole S.A. (Chairwoman of the Audit Committee,
Member of the Risk
Committee)
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
| ― |
Permanent representative of Fonds Stratégique de Participation:
Director SEB (Chairwoman
of the Control Committee)
|
| ― |
Member of the Supervisory Board (member of Audit Committee and
the Compensation Committee):
Bénéteau
|
In other companies
outside Crédit Agricole Group
| ― |
Manager of CPO Services (Lux)
|
| ― |
Member: Royal Ocean Racing Club, Class 40 Association (Treasurer)
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
| ― |
Director: Neopost (member of the Audit Committee and Chairwoman
of Compensation Committee)
(2018)
|
| ― |
Chairwoman: Union Nationale pour la Course au Large (UNCL) (2015)
|
| ― |
Member of the Board of Directors: Unibail-Rodamco Management
BV (2015)
|
| ― |
Member/Board Women Partners (2019)
|
Laurence RENOULT
Office held at Crédit Agricole CIB: Director
Business address: CRCAM Val de France - 1, rue Daniel Boutet - 28002 Chartres Cedex
- France
› BORN IN 1968
NATIONALITY
French
› BRIEF BIOGRAPHY
Laurence Renoult is a graduate of the Institut National Agronomique Paris Grignon
and of the l'Institut Technique de Banque. She joined Crédit Agricole Pyrénées-Gascogne
in 1993, where she held a number of different management positions in several areas,
then became head of Sales, Marketing & Communication and a member of the Executive
Committee of the Caisse régionale. In 2007, she was in charge of developing retail
and mutualists at the FNCA. She continued her career at the Banque de Gestion Privée
Indosuez in 2009 as Deputy General Manager. Laurence Renoult was also Deputy General
Manager, then Chief Executive officer of the Caisse régionale Provence Côte-d'Azur
in 2011. She has held a number of positions at Groupe Crédit Agricole and was, notably,
a member of the Finance & Risk Commission and of the Agriculture & Agribusiness
Committee
of the Fédération Nationale du Crédit Agricole. Laurence Renoult has been Chief Executive
Officer of the Caisse régionale de Crédit Agricole Val de France since 2015.
DATE OF FIRST
APPOINTMENT
2019
END OF TERM OF
OFFICE
2022
SENIORITY ON THE
BOARD OF DIRECTORS
< 1 year
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chief Executive Officer: CRCAM Val de France
|
| ― |
Director: CAF (Chairwoman of the Audit and Accounts Committee,
Member of the Risk
Committee); LCL (Member of the Appointments Committee); GIE Carcentre; Crédit Agricole
Home Loan SFH (Member of the Risk Committee);
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Member of the Chamber of Commerce and Industry Loire et Cher
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Chairwoman: SAS PCA IMMO (2015)
|
| ― |
Director: Deltager (2015)
|
| ― |
Chief Executive Officer: Créazur SAS (2015);
|
| ― |
Interim Chief Executive Officer: Caisse Provence Cote d'Azur
(2015)
|
| ― |
Deputy General Manager: Caisse Provence Cote d'Azur (2015)
|
In companies outside
Crédit Agricole Group
François THIBAULT
Office held at Crédit Agricole CIB: Director
Member of the Risk Committee
Business address: CRCAM Centre Loire - 8 allée des Collèges - 18000 Bourges - France
› BORN IN 1955
NATIONALITY
French
› BRIEF BIOGRAPHY
An agricultural engineer, farmer and viticulturist by profession, François Thibault
is a long-standing elected member of Crédit Agricole's working bodies. Chairman of
the Cosne-sur-Loire (Nièvre) Local Bank from 1991 to 1996, when he became Director,
later Chairman, of Caisse régionale Centre Loire. He also holds several responsibilities
within the Group's national bodies in particular, as the Chairman of Federal Committees
and within specialised subsidiaries.
DATE OF FIRST
APPOINTMENT
2010
END OF TERM OF
OFFICE
2022
SENIORITY ON THE
BOARD OF DIRECTORS
> 9 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chairman: CRCAM Centre Loire; CAMCA, CAMCA Courtage, SAS Centre
Loire Expansion;
|
| ― |
Director: Crédit Agricole S.A. (Member: Strategic and CSR Committee,
Risk Committee),
Car Centre, SACAM Centre;
|
| ― |
Bureau member: FNCA
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Shareholder: Gaec Thibault, GFA Villargeau d'en Haut, GFA de
Montour, SCI Loire et
Fontbout
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Chairman: SAS Pleinchamp (2016), Foncaris (2016)
|
| ― |
Director: CA Bank Polska (2016); CNMCCA (2019)
|
In companies outside
Crédit Agricole Group
Odet TRIQUET
Office held at Crédit Agricole CIB: Director
Business address: CRCAM Touraine Poitou - 18 rue Salvador Allende - 86008 Poitiers
Cedex - France
› BORN IN 1962
NATIONALITY
French
› BRIEF BIOGRAPHY
Odet Triquet has been running a farm specialising in cereals and goat farming since
1989. He joined the Crédit Agricole Group in 1992 as a director of the Crédit Agricole
regional bank in Civray. He became its Chairman in 1997. The same year he became a
director of the Crédit Agricole regional banks in Touraine and Poitou. He was appointed
Vice-Chairman of the Regional bank in 2000 and then Chairman in March 2012. He also
holds several responsibilities within the Group's national bodies in particular, on
Federal Committees and within Group subsidiaries.
DATE OF FIRST
APPOINTMENT
2018
END OF TERM OF
OFFICE
2021
SENIORITY ON THE
BOARD OF DIRECTORS
> 1 year
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chairman: CRCAM Touraine Poitou
|
| ― |
Director: GIE CAR Centre, BFORBANK (Member of the Audit Committee),
FIRECA.
|
| ― |
Member of the Management Board: CA Titres
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Director: CCPMA Prévoyance; Réunion d'information commune (Groupe
AGRICA and AGRICA
Gestion)
|
| ― |
Co-manager: GAEC des Panelières
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
In companies outside
Crédit Agricole Group
Jacques DUCERF
Office held at Crédit Agricole CIB: Non-voting Director
Business address: CRCAM Centre Est - 1 rue Pierre de Truchis de Lays - 69410 Champagne
au Mont d'Or - France
› BORN IN 1952
NATIONALITY
French
› BRIEF BIOGRAPHY
A graduate of the ESLSCA business school (1974), Jacques Ducerf has been Chairman
of the Ducerf Group, a family-run business specialising in timber, since 1993. In
2000, he became Director of the Crédit Agricole Local Bank in Charolles, then, in
2011, Chairman of the Saône-et-Loire delegation. He has been the Chairman of Caisse
régionale de Crédit Agricole Centre Est since 2013. He also holds several responsibilities
within the Group's national bodies in particular, on Federal Committees and within
Group subsidiaries.
DATE OF FIRST
APPOINTMENT
2016
END OF TERM OF
OFFICE
2022
SENIORITY ON THE
BOARD OF DIRECTORS
> 3 years
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chairman: CRACM Centre-Est, Délégation de Saône et Loire, FONCARIS
|
| ― |
Director: Caisse locale de Charolles, BFT Investment Managers,
Crédit Agricole ITALIA
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
| ― |
Chairman: Groupe Ducerf,
|
| ― |
Banque de France advisor in Mâcon
|
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Chairman: Fédération des Caisses régionales de Bourgogne-Franche
Comté (2016)
|
In companies outside
Crédit Agricole Group
| ― |
Chairman: Euroforest (2016)
|
Christian ROUCHON
Office held at Crédit Agricole CIB: Non-voting Director
Business address: CRCAM Sud Rhône Alpes - 15/17 rue Paul Claudel - 38100 Grenoble
- France
› BORN IN 1960
NATIONALITY
French
› BRIEF BIOGRAPHY
Christian Rouchon joined the Crédit Agricole Group in 1988 as head of Accounting
and
Finance at the Caisse Régionale de la Loire, then at the Caisse Régionale Loire Haute-Loire
in 1991, before becoming Financial Director in 1994. He was appointed Information
Systems Director of the Caisse Régionale Loire Haute-Loire in 1997. In 2003, he was
appointed Deputy General Manager responsible for operations at the Caisse Régionale
des Savoie before joining the Caisse Régionale Sud Rhône-Alpes in September 2006 as
the Deputy General Manager responsible for development. He became Chief Executive
Officer six months later, i.e. in April 2007. He also holds several responsibilities
within the Group's national bodies in particular, on Federal Committees and within
Group subsidiaries
DATE OF FIRST
APPOINTMENT
2019
END OF TERM OF
OFFICE
2022
SENIORITY ON THE
BOARD OF DIRECTORS
< 1 year
Does not hold any shares in the Company
› OFFICES HELD
AT 31 DECEMBER 2019
In companies of
Crédit Agricole Group
| ― |
Chief Executive Officer: Caisse régionale du Crédit Agricole
Sud Rhône Alpes
|
| ― |
Director: Square Habitat Sud Rhône Alpes; BforBank; Crédit Agricole
Home Loan SFH;
Amundi (Chairman of the Risk Committee and Audit Committee)
|
| ― |
Non-voting member: Sep Sud Rhône Alpes société du CA
|
In companies outside
Crédit Agricole Group and whose shares are admitted for trading
on a regulated market
In other companies
outside Crédit Agricole Group
› OFFICES HELD
DURING THE PAST FIVE YEARS
In companies of
Crédit Agricole Group
| ― |
Director: CA-Chèques (2018)
|
| ― |
Chairman: COPIL OFI (2017)
|
| ― |
Chairman of the Board of Directors: SAS Capida (2015); BforBank
(2017); Crédit Agricole
Home Loan SFH (2017)
|
| ― |
Chairman of the Financial Organisation Committee, Rapporteur
of the Finance and Risk
Committee, Member of the Projet Entreprise et Patrimonial Committee and of the Rates
Committee (2018): FNCA
|
In companies outside
Crédit Agricole Group
| ― |
Vice-Chairman: ANCD (2016)
|
1.3.2 Shares held
by the Directors
The Directors appointed by the General Meeting of Shareholders do not hold any
shares
in Crédit Agricole CIB
1.3.3 Ethics,
conflicts of interest, and privileged information
In accordance with the Rules of Procedure of the Board of Directors, in the performance
of their duties, Directors and members of Executive Management are bound by a number
of rules, including the Rules of Procedure of the Board (see Article 3 partially reproduced
below).
EXTRACT FROM THE
RULES OF PROCEDURES OF THE BOARD OF DIRECTORS, ARTICLE 3
"Directors ensure that the principles and best corporate governance practices set
out in this article are complied with, in particular to promote the quality of the
Board of Directors' work.
[..]
Directors endeavour to preserve, in all circumstances, their independence and freedom
of judgement, decision and action. They must remain impartial and not let themselves
be influenced by any element outside the corporate interest, which it is their duty
to defend.
They undertake to inform the Board of any change in their personal or professional
situation that could call into question the conditions of their appointment relating
in particular to their reputation, availability or independence of mind.
Directors make all recommendations they believe could improve the operating procedures
of the Board. They endeavour, collectively with the other members of the Board, to
ensure that the tasks of the Board of Directors are carried out efficiently and smoothly.
They act in good faith and do not take any initiative that could harm the interests
of the Company or other group entities.
They alert the Board to any information in their possession that would not be in
the
interests of the Company. They are bound by a duty to express their questions and
opinions. In the event of disagreement, they ensure that these are explicitly recorded
in the minutes of the deliberations.
In addition, they inform the Board of any potential conflict of interest situation,
including potential ones, in which they could be exposed directly or indirectly. They
abstain from participating in decision-making on such matters.
In general, directors are bound by the obligations applicable to them in accordance
with the French Monetary and Financial Code and the General Regulation of the French
Financial Markets Authority (Autorité des Marchés Financiers, AMF), notably regarding
the use and disclosure of confidential and/ or privileged information and conflicts
of interest.
Directors respect the total confidentiality of the information they receive, or
which
is exchanged during the discussions in which they participate within the framework
of the Board of Directors or its Committees, as well as the confidentiality of the
decisions taken.
For the record, members of the Board of Directors must abstain from using privileged
information, on their own behalf or on behalf of others, either directly or indirectly,
to acquire or sell, or attempt to acquire or sell financial instruments to which this
information relates as long as the information has not been made public.
In particular, if in the exercise of their office as director they obtain privileged
information about the Company, they are prohibited from using such information to
carry out, or have a third party carry out, any transactions on the Company's financial
instruments.
Since Directors hold information on the financial results of the Company and, consequently,
indirectly on Crédit Agricole S.A., in accordance with the rules of the Crédit Agricole
Group SA, they must limit any transactions in Crédit Agricole S.A. securities to each
six-week period following the publication of the annual, half-yearly and quarterly
results, as long as they are not privy to any inside information during these periods.
In addition, the Company can prohibit trading in any Crédit Agricole S.A. financial
instruments, including during authorised periods, as well as in any financial instruments
that would be the subject of privileged information within the framework of the meetings
of the Board of Directors or one of its Committees (strategic operations, acquisition
operations, creation of joint ventures, etc.).
Directors are required to declare to the Conflicts Management Group within the
Compliance
Department of the Company, on behalf of themselves and all persons closely related
to them, all transactions carried out on any financial instruments, except those issued
by or linked to the Company or to Crédit Agricole S.A., that they believe may create
a potential conflict of interest or contain confidential information that may be qualified
as privileged and acquired in the course of their duties as a Director of the Company.
Moreover, when Directors are no longer in a position to perform their duties in
accordance
with the provisions of this article due to their own action or for any other reason
including the rules of the Company in which they carry out their duties, they must
inform the Chairman of the Board of Directors, seek solutions to remedy the situation
and, failing that, take the personal consequences from carrying out their duties."
EXCERPT OF BOARD
RULES AND REGULATIONS, ARTICLE 4
"[...] Members of Executive management and Non-voting directors commit to complying
the provisions of CACIB rules and regulations that are applicable to them, including
the provisions related to conflicts of interest or privileged / confidential information
of which they would be aware."
To Crédit Agricole CIB's knowledge, there is no potential conflict of interest
between
the duties of members of the Board of Directors and the Management Board with respect
to Crédit Agricole CIB and their private interests.
Crédit Agricole CIB's Board of Directors and Management Board include Corporate
Officers
of companies (including Crédit Agricole Group companies - the regional Banks of Crédit
Agricole or Crédit Agricole S.A.) with which Crédit Agricole CIB has commercial relationships.
This may be a source of potential conflicts of interest. This composition, as mentioned
previously, results from the desire to reflect the capital structure of Crédit Agricole
CIB, 100% of which is controlled by the Crédit Agricole Group. For your information
Crédit Agricole CIB is affiliated with the Crédit Agricole network and that Crédit
Agricole S.A. acts as a central entity in accordance with the provisions of article
L. 511-31 of the Monetary and Financial Code.
There is no service contract directly binding the members of the Board of Directors
or Executive Management to Crédit
Agricole CIB or to any of its subsidiaries which provides for the granting of benefits
under this agreement.
To the best of the Company's knowledge, to date, no convictions for fraud, bankruptcy,
receivership or liquidation have been filed in the last five years against any member
of the Board of Directors or Executive Management of Crédit Agricole CIB.
To the best of the Company's knowledge, no member of Crédit Agricole CIB's administrative
or management bodies has been prevented by a court from acting in that capacity or
from intervening in a management or executive capacity in the activities of a listed
company during the last five years.
1.3.4 Transactions
carried out on the securities of the Company (art. L.621-18-2 of
the French Monetary and Financial Code)
Given that the Company's shares are not listed on a regulated market, the provisions
of Article L. 621-18-2 of the French Monetary and Financial Code regarding this category
of securities are not applicable to the Company.
For 2019, the Company has no knowledge of the existence of transactions conducted
on their own account by the persons referred to in Article L. 621-18-2 of the French
Monetary and Financial Code and relating to debt securities of the Company or related
derivatives or other fnancial instruments.
Information on the ownership structure at 31 December 2019 is provided in Note
6.17
to the consolidated fnancial statements on pages 351 and 352.
1.3.5 Conventions
referred to in Article L. 225-374-2° of the French Commercial Code
In accordance with the provisions of Article L. 225-37-4 2° of the French Commercial
Code, to the best of the Company's knowledge, no agreement has been reached, directly
or by any intermediary during 2019 financial year, between:
| ― |
the Chief Executive Officer, the Deputy Chief Executive Officer,
one of the Directors
or one of the shareholders holding a fraction of the voting rights greater than 10%
of Crédit Agricole CIB and;
|
| ― |
another company in which Crédit Agricole CIB holds, directly
or indirectly, more than
half of the capital, unless they are agreements on current transactions executed under
normal conditions.
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1.4 COMPENSATION
POLICY
1.4.1 General
principle underlying the compensation policy
Crédit Agricole CIB has established a responsible compensation policy that aims
to
reflect its values while respecting the interests of all the stakeholders, be they
employees, clients or shareholders. In light of the specific characteristics of its
business lines, its legal entities, and national and international legislation, Crédit
Agricole CIB strives to develop a compensation system that provides its employees
with a competitive reward relative to its market benchmark in order to attract and
retain the talent it needs. Benchmarking exercises against other financial groups
are regularly carried out for this purpose.
Compensation awards, particularly variable ones, aim to reward individual and group
performance over time while promoting sound and effective risk management.
The compensation policy's objective is to compensate employees fairly and appropriately
based on their contribution to Crédit Agricole CIB's success and the levels of service
and performance provided to clients. Consequently, the compensation policy has been
built to avoid conflicts of interest and moreover to ensure that employees do not
put their own interests or those of Crédit Agricole CIB before those of their clients.
The Crédit Agricole CIB compensation policy contributes to compliance with the
risk
appetite statement and framework approved by its governing bodies.
The Crédit Agricole CIB compensation policy is also part of a highly regulated
environment
that is specific to the banking sector. In general, Crédit Agricole CIB ensures the
compliance of its compensation policy with the national, European and international
legal and regulatory environment in effect. In particular, it complies with the provisions
of the following regulations:
| ― |
Directive 2013/36/EU of the European Parliament and of the Council
of 26 June 2013,
transposed in the French Monetary and Financial Code by Order No 2014-158 of 20 February
2014 ("CRD IV Directive");
|
| ― |
French Law No 2013-672 of 26 July 2013 on the separation and
regulation of banking
activities ("French Banking Law");
|
| ― |
the Rule introduced by Section 13 of the Bank Holding Company
Act, pursuant to Section
619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act ("Volcker Rule");
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| ― |
Directive 2014/65/EU of the European Parliament and Council and
regulation 600-2014
of the European Parliament and Council of 15 May 2014, transposed into the French
Monetary and Financial Code by Ordinance no. 2016-827 of 23 June 2016 and the delegated
regulation 2017/565 of 25 April 2016 of the European Commission ("MIFIDII").
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The Crédit Agricole CIB policy may be subject to local adaptations in order to
comply
with the requirements of national regulations (if these last are more restrictive
than Group policy). If necessary, these adaptations must be subject to consultation
between the Head of the subsidiary, the control functions, the Human Resources Department
of the subsidiary and the Human Resources Department of Crédit Agricole CIB.
The compensation policy was approved by the meeting of the Crédit Agricole CIB
Board
of Directors 13 December 2019.
1.4.2 Total compensation
The total compensation paid to employees of the Crédit Agricole CIB Group comprises
the following elements:
| ― |
fixed compensation;
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| ― |
annual individual variable compensation;
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| ― |
collective variable compensation;
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| ― |
long-term variable compensation;
|
| ― |
supplementary pension and health insurance plans;
|
| ― |
benefits in kind and other fringe benefits.
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All or part of this package may be offered to each employee, according to their
level
of responsibility, skills, performance and location.
A - FIXED COMPENSATION
Fixed compensation rewards employees for the responsibilities entrusted to them,
as
well as the competencies used to exercise them, in a manner that is consistent with
the specificities of each business line in their local market.
These responsibilities are defined by a remit and contributions, an echelon within
the organisation and a profile of expected skills and experience.
Fixed compensation is determined in proportions such that it is possible to not
award
variable compensation in the event of insufficient performance.
Employees' fixed compensation is increased according to changes in their responsibilities
and their proficiency in their role, which is assessed through the annual performance
appraisal on the basis of the fulfilment of objectives and contributions to the role.
When an employee is given a new role, the change in responsibilities is taken into
account when determining the fixed compensation. Fixed compensation is made up of
the base salary, as well as of any other stable, recurring compensation component
that is not performance-based in any way.
B - ANNUAL INDIVIDUAL
VARIABLE COMPENSATION
Variable compensation is directly linked to individual and collective annual performance.
Individual performance is assessed based on the achievement of qualitative and quantitative
targets set at the start of the financial year and includes an assessment of the way
in which the employee acts in the client's interest. In general terms, respect for
internal and external procedures and rules is a key criteria for assessing performance.
Collective performance is based on the determination of a firm wide envelope which
is then broken down by business activity. This envelope is defined in a way which
does not limit the capacity of Crédit Agricole CIB to strengthen its equity capital
as required. It takes all risks into account, including liquidity risk, as well as
the cost of capital, in compliance with regulatory principles.
Variable compensation is made up of the bonus, as well as of any other individual
compensation component linked to performance, including guaranteed variable compensation.
♦ 1 - Composition
of compensation pools
Crédit Agricole CIB's total envelope for variable compensation is determined according
to its capacity to fund its bonuses (the Contribution) and by setting a pay-out ratio.
The Contribution is determined using the following formula, on the basis of the
standard
accounting definitions:
| ― |
Net Banking Income (NBI) - direct and indirect expenses excluding
bonuses - cost of
risk - cost of capital before taxes;
|
| ― |
NBI are calculated net of liquidity costs.
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The cost of risk is understood to be the provisions for default
Cost of capital, used to take into account the return on equity specific to an
activity,
is calculated by applying the following formula:
| ― |
average risk weighted assets (RWA) x Capital supply rate (target
Tier 1 ratio) x B
(coefficient measuring the market risk of an activity and enabling an adjustment to
the Tier 1 ratio according to the capital requirements of the business line).
|
Once the financing capacity has been determined, Crédit Agricole CIB defnes a pay-out
ratio, which depends on:
| ― |
the approved budgets at the start of the fnancial year;
|
| ― |
the practices of competing companies in comparable business lines.
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♦ 2 - Individual
compensation allocations
Bonuses are funded with envelopes allocated for each business line. The individual
allocation to employees is decided in a discretionary manner by the line management
on the basis of an overall assessment of their individual and collective performance,
taking into account quantitative and qualitative considerations.
In order to prevent any risk of conflict of interests and disregard for the client's
interests, there is no direct and automatic link between the level of an employee's
commercial and fnancial results and the level of his/her variable compensation.
The decision-making process for individual bonus awards takes into account employees'
behaviour that is non-compliant with rules and procedures as well as risk limits,
within the framework of the rules and methods defned by Crédit Agricole CIB. Decisions
affecting individual variable compensation for employees with noted high-risk behaviour
are subject to annual review by Executive Management.
In certain cases, other variable compensation components are awarded in addition
to
the bonus, as is the case for senior executives.
♦ 3 - Guaranteed
variable compensation
Awarding guaranteed variable compensation is only authorised for recruitments and
for a duration that cannot exceed one year. On recruitment, the variable compensation
allocated by the previous employer and defnitively lost when the employment contract
ends may also be allocated.
Retention bonuses may exceptionally be granted for a predetermined period of time
in certain specifc cases (for example, in the event of the restructuring, winding-up
or transfer of a business line).
Guaranteed variable compensation awards are subject to the applicable payment rules
for the performance year and may lead to deferred payment.
♦ 4 - Limitation
on variable compensation
A variable compensation award in respect of a performance year is limited to the
amount
of the fxed compensation for all employees. This cap may be raised each year to twice
the amount of the fxed compensation by decision of the General Meeting of Crédit Agricole
CIB.
♦ 5 - Payment
conditions for the variable compensation
Above a certain threshold, the variable compensation is broken down into a non-deferred
portion and a portion deferred in thirds over a three-year period.
The deferred portion vests over a period of three years as follows: 1/3 in year
N+1,
1/3 in year N+2 and 1/3 in year N+3 relative to the awarding year (N), subject to
meeting the vesting conditions:
| ― |
performance conditions;
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| ― |
presence condition;
|
| ― |
compliance with the internal rules and risk limits.
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The deferred variable compensation and part of the non-deferred variable compensation
are allocated in the form of Crédit Agricole S.A. shares or equity-linked instruments.
If it is discovered, within 5 years after the payment, that a benefciary: (i) is
partly
or fully responsible for signifcant losses to the detriment of Crédit Agricole CIB
or its clients or (ii) is responsible for a serious breach of the internal or external
rules and procedures, Crédit Agricole CIB reserves the right, subject to any local
law in force, to demand the return of all or part of the sums already paid.
Any hedging or insurance strategy that seeks to limit the scope of the risk alignment
provisions contained in the compensation system is prohibited.
Identifed staffs are subjected to a specifc system.
♦ 6 - Variable
compensation of employees whose activities are subject to a mandate
(french banking law, volcker rule, etc.)
Variable compensation is awarded so as not to reward or encourage prohibited trading
activities, but may reward the generation of revenue or the supply of services to
clients and therefore must comply with internal policies and procedures, including
the Volcker rule compliance manual.
Among other things, individual performance bonuses are based on an assessment of
the
attainment of pre-defned, individual and collective targets, which are set for employees
in strict compliance with the terms of the mandate managed.
Quarterly checks are carried out by the Risk Management Department and by the Market
Activities Department to ensure that the terms of offce are correctly applied.
During the end of year assessments, the management assesses the performance of
employees
in light of the targets set at the start of the year, including compliance with trading
mandates. This assessment takes into account conduct that is not compliant with internal
rules and procedures, and in particular noncompliance with mandates.
♦ 7 - Variable
compensation program for the control functions
In order to prevent potential conflicts of interests, the compensation of control
function personnel is set independently of the compensation of the personnel employed
by the business lines for which they validate or review the operations. The objectives
set for control function personnel and the budgets used to determine their variable
compensation must not take into account the criteria concerning the results and economic
performances of the business area that they monitor. Their variable compensation envelops
as well as their individual award will be defned according to market practices.
The Crédit Agricole CIB Compensation Committee, as part of its remits, ensures
compliance
with the principles for determining the compensation of the risk and compliance managers.
C - COLLECTIVE
VARIABLE COMPENSATION
In addition, for many years, it has been Crédit Agricole CIB's policy to share
its
results and performance collectively with its employees. For this purpose, a collective
variable compensation system (discretionary and mandatory profit sharing) has been
set up in France. Similar systems that provide all members of staff with a share of
the results have been set up within certain entities abroad.
D - LONG-TERM
VARIABLE COMPENSATION
This component of variable compensation unifies, motivates and increases loyalty.
It complements the annual variable compensation mechanism by rewarding the long-term
collective performance of the Group.
It is composed of differentiated systems according to the level of responsibility
in the Company:
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"employee" shareholdings open to all employees;
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| ― |
long-term compensation in share-linked cash and/or cash subject
to performance conditions
based on economic, financial and social criteria defined in line with the long-term
strategy of the Crédit Agricole S.A. Group. It is reserved for Senior Executives and
key Group executives.
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E - RETIREMENT,
DEATH AND DISABILITY, HEALTH
Depending on the country and market practices, Crédit Agricole CIB promotes a wide
range of employee benefits allowing:
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support in creating retirement income or savings;
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| ― |
a minimum level of basic financial protection to employees and
their families.
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F - BENEFITS IN
KIND AND OTHER FRINGE BENEFITS
In some cases, the total compensation also includes benefits in kind. These are
mainly:
| ― |
the allocation of a company car according to the position held;
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| ― |
the granting of benefits to cover additional living costs for
mobile workers.
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These elements may be supplemented according to country by various plans aimed
at
providing a stimulating work environment and a work-life balance.
1.4.3 Governance
of the compensation policy
Crédit Agricole CIB's compensation policy is reviewed annually by its Executive
Management,
on the basis of a proposal by the Human Resources Department and in accordance with
Crédit Agricole S.A. Group's compensation policy guidelines. The compensation policy
is approved by the Board of Directors, on the recommendation of the Compensation Committee.
In accordance with Group policy principles, the Human Resources Department links
Control
functions to risk analysis in the management of compensation, particularly as regards
definition of identified staff, compliance with regulatory standards and monitoring
of high-risk behaviour.
The Group's Internal Audit performs an annual and independent audit of the implementation
of the compensation policy.
1.4.4 Compensation
of identified staff
Consistent with the Group's general principles, the compensation policy applicable
to identified staff is part of a strict regulatory environment (CRD4) that imposes
requirements in the structure of their compensation.
The category of identified staff includes employees who, by virtue of the positions
held, are likely to have a significant impact on the risk exposure of Crédit Agricole
CIB.
The determination of employees as identified staff is made through a joint process
between Crédit Agricole CIB and Crédit Agricole S.A. and between Human Resources functions
and various Control functions. This process is reviewed annually.
Furthermore, Crédit Agricole CIB's entities outside France may be subject to more
stringent local regulations.
A - SCOPE
Within Crédit Agricole CIB, the following, in particular, are included within the
scope of the identified staff:
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corporate officers and executives;
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managers of the main business activities;
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managers of the control functions;
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employees who have a significant credit risk commitment capacity;
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| ― |
employees with substantial powers to take market risks;
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| ― |
employees who have significant total compensation;
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| ― |
and, on the proposal of the Risk Management Department, the Compliance
Department
or the Human Resources Department, and by decision of Executive Management, any employee
likely to have significant impact on the risk exposure of Crédit Agricole CIB.
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Moreover, employees may also be deemed to be risk-takers at subsidiary level under
local regulations.
B - ADJUSTMENTS
MADE TO THE COMPENSATION POLICY FOR IDENTIFIED STAFF
♦ 1 - Rules for
the compensation of identified staff
Pursuant to its regulatory obligations, the main features of Group compensation
policy
for identified staff are:
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as for all employees, the amounts and distribution of variable
compensation must not
impair the institutions' ability to strengthen their equity as required;
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| ― |
as for all employees, the variable component may not exceed 100%
of the fixed component.
Nevertheless, each year, the General Meeting of Shareholders can vote to apply a higher
maximum ratio provided that the total variable component never exceeds 200% of each
employee's fixed component;
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| ― |
as for all employees, a portion of the variable compensation
is deferred over three
years and is acquired in tranches subject to performance conditions. The proportion
to be deferred is, however, higher for identified staff;
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| ― |
as for all employees, a portion of the variable compensation
is paid in Crédit Agricole
S.A. shares or instruments linked to the Crédit Agricole S.A. share. The proportion
paid in instruments is, however, higher for identified staff;
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| ― |
the vesting of each deferred tranche is followed by a six-month
lock-up period. Part
of the non-deferred compensation is also subject to a six months holding period.
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♦ 2 - Deferred
vesting rules
Individual variable compensation comprises two separate parts:
| ― |
Short-term, non-deferred variable compensation;
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| ― |
Long-term, deferred and conditional variable compensation that
represents 40% to 60%
of the total individual variable compensation.
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The system set up promotes staff members' involvement in the medium-term performance
of Crédit Agricole CIB and risk control. In practice, due to the proportionality principle,
members of staff for whom the variable share of compensation is below a threshold
defined at Group level are excluded from the scope of the deferred vesting rules,
unless otherwise required by local regulators in the countries where Crédit Agricole
CIB does business.
The deferred portion varies depending on the total variable compensation awarded
for
the financial year. The higher the variable compensation, the higher the deferred
portion of the total variable compensation.
The vesting conditions are as follows: vesting in thirds over three years following
the allocation and subject to the same vesting conditions (presence, performance,
risks).
In the interests of consistency and alignment with the overall performance of the
Company, a deferred variable compensation system also applies to Crédit Agricole CIB
employees who do not fall in the category of identified staff.
♦ 3 - Payments
in securities or equivalent instruments
For identified staff, payment in shares or equivalent instruments represents:
| ― |
the total deferred portion of the variable compensation;
|
| ― |
up to 10% of the non-deferred variable compensation.
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Accordingly, at least 50% of the variable compensation of identified staff is awarded
in shares or equivalent instruments.
Payments are made at the end of a holding period, in accordance with the regulations.
This holding period, which is defined at the Crédit Agricole S.A. Group level, is
six months.
Any hedging or insurance strategy that seeks to limit the scope of the risk alignment
provisions contained in the compensation system is prohibited.
1.4.5 Compensation
of senior executives-executive corporate officers
The compensation policy applicable to management and Executive and non-Executive
Corporate
Officers and Executive Corporate Officers of Crédit Agricole CIB falls within the
framework of the compensation policy for management at Crédit Agricole S.A..
A - GENERAL COMPENSATION
PRINCIPLES
The compensation policy for the members of Crédit Agricole CIB's Executive Management
is approved by the Board of Directors on the basis of a proposal by the Compensation
Committee. This policy is reviewed annually by the Board of Directors in order to
take into account changes in the competitive environment and context.
It is consistent with the compensation policy applicable to all Crédit Agricole
S.A.
Group's executive managers. This principle makes it possible to bring together the
Group's major stakeholders around common, shared criteria.
In addition, the compensation of members of Crédit Agricole CIB's Executive Management
complies with:
| ― |
the regulatory framework defined by the Monetary and Financial
Code and the Decree
of 3 November 2014 on internal controls in credit institutions and investment firms,
which transposes in France the European provisions on compensation of staff identified
who are Executive Corporate Officers;
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| ― |
the recommendations and principles of the Corporate Governance
Code for Listed Companies
updated in June 2018 ("AFEP-MEDEF Code");
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the provisions of Law No 2015-990 of 6 August 2015 on economic
growth, activity and
equal opportunities and of Article L. 225-42-1 of the French Commercial Code on the
vesting of conditional annual supplementary defined-benefit rights.
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Pursuant to a proposal by the Compensation Committee, each year the Board of Directors
reviews the compensation components for members of the Executive Management, with
the principal objective of recognising long-term performance.
B - FIXED COMPENSATION
Pursuant to a proposal of the Crédit Agricole CIB Compensation Committee, the Board
of Directors establishes the fixed compensation of Crédit Agricole CIB's Executive
Management, taking into account:
| ― |
the scope of the activities under their responsibility;
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| ― |
practices in the market and the compensation paid to persons
holding similar positions.
On an ongoing basis, with the assistance of specialised firms, studies are conducted
at the Group level on the positioning of the compensation of the Company's Executive
Corporate Officers compared to other companies in the financial sector in order to
ensure the consistency of the compensation principles and levels.
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In accordance with the AFEP-MEDEF Code recommendations (paragraph 23.2.2), a review
will be carried out on the fixed compensation of Executive Corporate Officers only
after relatively long maturities, unless a change in the scope of the supervisory
duties justifies a re-examination of the fixed compensation.
When a new Executive Corporate Officer is appointed, his or her compensation will
be determined by the Board of Directors, either in accordance with the principles
and criteria approved by the General Meeting or in accordance with the existing practices
for officers exercising similar functions, adapted where applicable when the person
takes up new functions or a new office with no equivalent in respect of the preceding
period.
C - VARIABLE COMPENSATION
♦ 1 - Annual variable
compensation
Each year, the Board of Directors, on the recommendation of the Compensation Committee
and subject to the approval of the General Meeting, determines the amount of the variable
compensation due for the financial year ended 31 December for each of the Executive
Corporate Officers.
The variable compensation policy for the members of Executive Management is specifically
aimed at:
| ― |
linking compensation levels with actual long-term performance;
|
| ― |
linking the interests of management with those of the Group by
including financial
and non-financial performance.
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For each member of Executive Management, the annual performance bonus is based
50%
on quantifiable criteria and 50% on qualitative criteria, thereby combining recognition
of overall performance with a balance between financial and manage real performance.
At the recommendation of the Compensation Committee, the Board of Directors approves
the quantifiable and qualitative criteria proposed.
The performance bonus may reach the target level in the event of achieving all
the
financial and nonfinancial objectives and may reach the maximum level in the event
of exceptional performance. The target and maximum levels are expressed as a percentage
of the fixed salary and are defined by the Board of Directors for each member of Crédit
Agricole CIB's Executive Management.
A Long-Term Incentive can be added to this bonus for Executive Managers of the
Crédit
Agricole S.A. Group, in order to encourage sustainable performance beyond the financial
results and strengthen its relationship with compensation, with a special focus on
the impact on society. It is awarded following managerial assessment and is an integral
part of the variable compensation subject to the approval of the Board of Directors.
In accordance with the AFEP-MEDEF Code (paragraph 23.2.3), the variable compensation
is capped and may not exceed the maximum levels set out in the compensation policy.
♦ 2 - Vesting
conditions for the annual variable compensation
The deferred part of the annual variable compensation, which can represent 40%
to
60% of the amount awarded, is paid in the form of instruments indexed on the performance
of the Crédit Agricole S.A. share, the vesting of which depends on three targets being
met: one linked to performance, a second depends on service within the Group and a
third on the absence of risky behaviour.
The performance condition in the Crédit Agricole CIB deferred plan is linked to
the
attainment of a Net Income target by Crédit Agricole CIB.
The performance condition in the long-term incentive plan for directors of the
Crédit
Agricole S.A. group itself depends on three targets:
1. the intrinsic financial performance of Crédit Agricole S.A., defined as Crédit
Agricole S.A. operating income growth;
2. the relative performance of the Crédit Agricole S.A. share compared with a composite
index of European banks;
3. the societal performance of Crédit Agricole S.A. measured by the FReD index.
For each criterion, vesting may vary from 0% to 120%. Each criterion accounts for
one-third of the achievement of the performance condition. For each year, the achievement
of the performance condition is the average percentage vested for each criterion,
which is capped at 100%.
The non-deferred portion of the total annual variable compensation, which can represent
40% to 60%, is paid in part at the award date (subject to the approval of the General
Meeting) and in part after a six-month holding period, this latter part being indexed
to changes in the Crédit Agricole S.A. share price.
D - STOCK OPTIONS
- FREE SHARES GRANTED
No Crédit Agricole S.A. stock options have been allocated to Executive Corporate
Officers
since 2006.
No bonus shares were awarded to Executive Corporate Officers in 2019.
E - OTHER COMMITTMENTS
♦ 1 - Retirement
Within Crédit Agricole CIB, there is an additional closed pension regime, the incremental
rights of which are only acquired when the beneficiary finishes their career at Crédit
Agricole CIB and are expressed as a percentage of a base called the reference salary
which is equal to the average of the last three years of fixed compensation plus the
average of the gross bonuses awarded over the last thirty six months (the average
of the bonuses being limited to half of the last fixed salary). This defined-benefit
pension scheme, enforced by unilateral company decision pursuant to Article L. 911-1
of the French Social Security Code, is subject to management outsourced to a body
governed by the French Insurance Code. Funding for the outsourced assets is carried
out as necessary by premiums fully funded by the employer and subject to the 24% contribution
laid down by Article L. 137-11 of the French Social Security Code.
The benefit of this supplementary pension scheme, which was subject to the regulated
agreements procedure and the details of which appear in the Statutory Auditors' special
report for the 2016 and 2018 financial year, was taken into account by Crédit Agricole
CIB Boards of Directors in the determination of the total compensation of the Executive
Corporate Officers. It potentially benefits Mr Frangois Marion, Deputy Chief Executive
Officer.
With regard to the other Crédit Agricole CIB Executive Corporate Officers with
an
employment contract with Crédit Agricole S.A., namely: Mr Jacques Ripoll, Chief Executive
Officer since 1 November 2018; he potentially benefits from the common supplementary
pension regime for directors of the Crédit Agricole group which Crédit Agricole CIB
did not join.
Crédit Agricole S.A. joined this regime in January 2010 with the introduction of
its
pension regulations adopted by a collective bargaining agreement in accordance with
article L. 911-1 of the French Social Security Code.
The scheme currently implemented within Crédit Agricole S.A. is a combination of
a
defined-contribution plan and a defined-benefit plan wherein the rights are determined
after the rights paid under the defined-contribution plan:
| ― |
contributions to the defined-contribution plan equal 8% of the
gross monthly salary
capped at eight times the social security cap (of which 3% paid by the Executive Corporate
Officer);
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| ― |
on the condition that the beneficiary is a Corporate Officer
or an employee when exercising
his pension entitlements, additional entitlements under the defined-benefit plan for
each year of service represent 1.20% of the reference compensation, capped at 36%
of the reference compensation.
|
In any case, on liquidation, the total pension income is capped, for all company
pension
regimes and basic and complementary obligatory regimes, at 70% of the reference compensation
by application of the additional pension regulation for senior executives of Crédit
Agricole S.A.
The rights established within the group prior to the effective date of the existing
regulation are maintained and are cumulative where appropriate with the rights arising
from the application of the existing regulation, especially for the calculation of
the paid rent cap.
The reference salary is defined as the average of the three highest gross annual
compensations
received during the last 10 years of activity within Crédit Agricole entities, including
both fixed compensation and variable compensation, the latter being taken into account
up to a ceiling of 60% of fixed compensation.
This defined contribution supplementary pension scheme meets the recommendations
of
the AFEP-MEDEF Code and the provisions of law no. 2015-990 of 6 August 2015 for growth,
activity and equality of economic opportunities and of article L. 225-42-1 of the
French Commercial Code, regarding the vesting of annual conditional rights in defined
contributions supplementary pension schemes:
| ― |
the group of potential beneficiaries is substantially broader
than Executive Corporate
Officers alone;
|
| ― |
minimum length of service: five years (the Code requires only
two years of service);
|
| ― |
progressivity rate: proportional to the length of service capped
at 120 quarters (30
years) with a vesting rate of between 0.125% and 0.30% per quarter validated, i.e.
between 0.5% and 1.2% per annum (vs 3% maximum required);
|
| ― |
estimated supplementary pension below the aforementioned ceiling
of 45% of fixed and
variable compensation due in respect of the reference period;
|
| ― |
obligation for the beneficiary to be a Corporate Officer or a
Senior Executive employee
when exercising their pension entitlements.
|
This pension defined-benefit plan is subject to a management outsourced to a body
governed by the Insurance Code. Funding for the outsourced assets is carried out by
annual premiums fully funded by the employer and submitted to the 24% contribution
laid down by Article L. 137-11 of the French Social Security Code.
♦ 2 - Severance
payment
No severance payment due or likely to be due in the event of termination or change
of function is expected for the corporate officers of Crédit Agricole CIB. Otherwise,
that will be the subject of the regulated conventions procedure.
♦ 3 - Non-competition
clause
There are no plans for non-compete clauses for Executive Corporate Officers.
Otherwise, these would be subject to a regulated agreements procedure.
A non-compete clause put in place by Crédit Agricole S.A. for Mr Jacques Ripoll
as
part of its employment contract which will not be financially supported by Crédit
Agricole CIB.
F - OTHER BENEFITS
OF THE EXECUTIVE CORPORATE OFFICERS
Executive Corporate Officers benefit from health cover, life and disability cover
and a car benefit.
No other benefits are awarded to Executive Corporate Officers.
1.4.6 Remunerations
paid to members of the Board of Directors of Crédit Agricole CIB,
in accordance with the article of L. 225-45 of French Commercial Code
In accordance with the provisions of the French PACTE law related to the growth
and
transformation of companies passed on 22 May 2019, the term "director's fees" ("jetons
de presence" in French) was removed from rules in force where it appeared or was replaced
by the term "remuneration" when it proved necessary. As a result, part 1.4.6 of this
Universal Registration Document now has a new terminology.
TOTAL BUDGET OF
REMUNERATIONS IN 2019 FOR MEMBERS OF THE BOARD OF DIRECTORS
The Ordinary General Meeting of Shareholders of Crédit Agricole Corporate and Investment
Bank set a maximum total annual budget of €700,000 for remunerations.
The Board of Directors does not grant any exceptional remuneration for assignments
or mandates entrusted to directors (Article L. 225-46 of the French Commercial Code).
RULES GOVERNING
THE DISTRIBUTION OF REMUNERATIONS IN 2019 FOR MEMBERS OF THE BOARD
OF DIRECTORS
The distribution process of the remunerations is mainly based on the compensation
of the effective participation in meetings and on availibility for certain missions.
♦ Meetings of
the Board of Directors
A gross amount of €3,000 per meeting is allocated to each Board member for attending
meetings. An additional annual flat gross amount of €20,000 is allocated to the Chairman
of the Board.
Non-voting Directors receive the same compensation as Directors which is paid out
of the overall budget.
♦ Meetings of
the Board of Directors specialised Committes
The rules on the distribution of remuneration that were in force during 2019 are
described
in the table below.
|
Chairman |
Member |
| Committee Compensation |
Annual flat amount : €6,000 |
Annual flat amount: €4,500 |
| Committee Appointments and Governance Committee |
Annual flat amount : €4,500 |
Annual flat amount: €4,500 |
| Audit Committee |
Annual flat amount: €25,000 |
€3,300 per meeting with an annual cap of €23,500 |
| Risk Committee |
Annual flat amount : €30,000 |
€3,000 per meeting with an annual cap of €23,500 |
1.5 SUMMARY TABLE
OF THE RECOMMENDATIONS OF THE AFEP-MEDEF CODE WHICH WERE NOT FOLLOWED
AND THUS EXCLUDED
1.5.1 At 31 December
2019
Background:
| ― |
the Company is 100%-owned by the Crédit Agricole Group (Crédit
Agricole S.A. owns
more than 97% of the Company's shares);
|
| ― |
the Company's governance is therefore in line with that of Crédit
Agricole Group.
|
The composition of the Board and its committees reflects the corporate governance
system, under which Board positions in certain Group subsidiaries are assigned to
the Chairmen or Chief Executive Officers of regional branches of the Crédit Agricole
Group.
| AFEP-MEDEF Code Recommendations |
Comments |
| 11. |
The compensation, objectives and performance of the Deputy
Chief Executive Officer
are reviewed and discussed by the Compensation Committee at meetings which this Executive
Management member does not attend. In addition, the presentation of the Compensation
Committee's conclusions to the Board of Directors and the Board's deliberations thereon
are made without his presence, which enables the Board to discuss the way in which
the deputy Chief Executive Officer performs his duties.
|
| Board meetings and Committee meetings |
It is recalled that the mandate of Chief Executive Officer
within Crédit Agricole
CIB is an honorary appointment.
|
| 11.3 |
|
| It is recommended that a meeting be held each year without
the Executive Corporate
Officers.
|
|
| 20. |
The Company's shares are not offered to the public and
are not listed for trading
on a regulated market. The Crédit Agricole Group holds 100% of the capital.
|
| Directors must hold shares on their own behalf and own
a minimum number of shares,
which is significant with respect to the directors' fees allocated.
|
|
| 22. |
Mr Jacques Ripoll is a member of the Executive Committee
and the Deputy General Manager
of Crédit Agricole S.A., in charge of the Large Customer segment.
|
| Termination of the employment contract if an employee
becomes a Corporate Officer |
As such, he manages the Bank's corporate and investment
activities and oversees the
wealth management activities and services for institutional investors and businesses.
It is within this context that he has an employment contract with Crédit Agricole
S.A.
|
| 22.1 |
|
| It is recommended that when an employee becomes an Executive
Corporate Officer of
the company that the employment contract binding them to the Company or to a Company
of the Group be ended, either by contract termination or resignation.
|
|
| 22.2 |
|
| This recommendation is applicable to |
|
| the Chairman, the Chairman and Chief Executive Officer
and the Chief Executive Officer
of companies with a Board of Directors.
|
|
| 23. |
The Company's shares are not offered to the public and
are not listed for trading
on a regulated market. The Crédit Agricole Group holds 100% of the capital.
|
| Obligation of the Corporate Officers to hold shares |
|
| The Board of Directors sets a minimum number of shares
that Executive Corporate Officers
must keep in registered form until the end of their appointments.
|
|
| This decision will be reviewed at least with each renewal
of their mandate. |
|
1.6 PROCEDURES
FOR SHAREHOLDER ATTENDANCE AT THE GENERAL MEETING
The procedures for participating in Shareholders' Meetings are set out in section
V of the Company's Articles of Association (see section 8 of the Universal Registration
Document). The composition and operating procedures, as well as the principal powers
of the General Meeting, the description of the shareholders' rights and the procedures
for exercising these rights are detailed in following articles of Association of the
Company "Article 19 - Composition - Nature of Meetings", "Article 20 - Meetings",
"Article 21 - Ordinary General Meetings" and "Article 22 - Extraordinary General Meetings"
1.7 STRUCTURE
OF THE COMPANY'S CAPITAL AND OTHER INFORMATION PROVIDED FOR IN ARTICLE
L.225-37-5 OF THE FRENCH COMMERCIAL CODE
Capital structure
At 31 December 2019, the Company's share capital consisted of 290,801,346 ordinary
shares with a par value of €27 each, giving a share capital of €7,851,636,342. The
shares are more than 97%-owned by Crédit Agricole S.A. and 100%-owned by the Crédit
Agricole Group. The Company's shares have not been offered to the public and are not
listed for trading on a regulated market.
There are no employee shareholding schemes at the Company and no securities holders
with special control or voting rights.
To the Company's knowledge, there are no shareholder agreements that may result
in
restrictions on the transfer of shares or the exercise of voting rights.
There are no agreements regarding allowances for Board of Directors' members or
employees
in case of resignation or dismissal without real and serious cause or in case of job
termination in a context of a public offering to buy or a public offering to exchange.
The Board of Directors' powers are described in section 1.2.2. The conditions for
transferring Company shares and the rules relating to the appointment and to the replacement
of Board members result from the provisions of the Articles of Association (articles
7 and 9 of Articles of Association). All changes to the Articles of Association are
of the competence of the Extraordinary General Meeting (Article 22 of the Articles
of Association reproduced in section 8 of the Universal Registration Document).
1.8 INFORMATION
ON DELEGATIONS FOR CAPITAL INCREASES
At 31 December 2019, no delegations had been granted by the General Meeting to
the
Board of Directors for capital increases.
The Board of Directors
2. COMPOSITION
OF THE EXECUTIVE COMMITTEE AND THE MANGEMENT COMMITTEE
THE COMPOSITION
OF THE CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK'S EXECUTIVE COMMITTEE
AT 31 DECEMBER 2019 WAS AS FOLLOWS:
| Jacques RIPOLL |
Chief Executive Officer |
| François MARION |
Deputy Chief Executive Officer |
| Jean-François BALAŸ |
Deputy General Manager |
| Olivier BELORGEY |
Finance |
| Didier GAFFINEL |
Global Coverage and Investment Banking |
| Pierre GAY |
Global Markets Division |
| Anne-Catherine ROPERS |
Human Resources |
| Stéphane DUCROIZET |
Risk & Permanent Control |
AS AT 31 DECEMBER
2019, THE MANAGEMENT COMMITTEE CONSISTED OF THE EXECUTIVE COMMITTEE
AND: * Management Committee
| ■ Regis MONFRONT |
Senior Coverage & Investment Banking officer |
| ■ Marc-Andre POIRIER |
SRO Americas |
| ■ Michel ROY |
SRO Asia-Pacific |
| ■ Thierry SIMON |
SRO Middle-East - Africa |
| ■ Frank SCHONHERR |
SCO Germany |
| ■ Ivana BONNET |
SCO Italy |
| ■ Hubert REYNIER |
SCO UK |
| ■ Bertrand HUGONET |
Corporate Secretary & Communication |
| ■ Jamie MABILAT |
Debt Optimisation & Distribution |
| ■ Julian HARRIS |
Debt restructuring & Advisory Services |
| ■ Martine BOUTINET * |
Global Compliance |
| ■ Hélène COMBE-GUILLEMET |
Global Investment Banking |
| ■ Frederic COUDREAU |
Global IT |
| ■ Arnaud D'INTIGNANO |
Global Markets Division |
| ■ Thomas SPITZ |
Global Markets Division |
| ■ Arnaud CHUPIN |
Head of Internal Audit |
| ■ Laurent CHENAIN |
International Trade & Transaction Banking |
| ■ Bruno FONTAINE |
Legal |
| ■ Eric LECHAUDEL |
Operations & Country COOs |
| ■ Jacques de VILLAINES |
Structured Finance |
*
As of 1 January 2020, Mrs Martine Boutinet moved to another position within the Crédit
Agricole Group.
4 2019 BUSINESS
REVIEW AND FINANCIAL INFORMATION
€ 5.5 B
NET BANKING INCOME
N°1 WORLDWIDE
ON ALL AGENCIES BONDS (1)
(1)
Source Refinitif N6.
N°2 IN EMEA
IN SYNDICATED FINANCE ACTIVITIES (1)
(1)
As Bookrunner - Source: Refinitif R17.
€132.2 B
ASSETS UNDER MANAGEMENT (WEALTH MANAGEMENT)
UNDERLYING
(1) NBI BY BUSINESS LINE IN 2019
IN € MILLION
(1)
Restated from loan hedges and DVA running impact.
1. CRÉDIT AGRICOLE
CIB GROUP'S BUSINESS REVIEW AND FINANCIAL INFORMATION
1.1 OVERVIEW OF
CRÉDIT AGRICOLE CIB GROUP'S FINANCIAL STATEMENTS
Changes to accounting
policies
Pursuant to EC Regulation No. 1606/2002, the consolidated financial statements
have
been prepared in accordance with IAS/IFRS and IFRIC applicable at 31 December 2018
and as adopted by the European Union (carve-out version), by using certain exceptions
in the application of IAS 39 on macro-hedge accounting.
The standards and interpretations are the same as those applied and described in
the
Group's financial statements at 31 December 2018.
They have been supplemented by the provisions of those IFRS as endorsed by the
European
Union at 31 December 2019 and that must be applied in 2019 for the first time.
Changes in consolidation
scope
Changes in scope between 1 January 2019 and 31 December 2019 were as follows:
COMPANIES FIRST-TIME
CONSOLIDATED IN 2019
The following company entered the scope of consolidation:
| ― |
Sufinair B.V.
|
| ― |
Sinefinair B.V.
|
| ― |
Crédit Agricole CIB Finance Luxembourg S.A.
|
| ― |
FCT CFN DIH
|
COMPANIES DECONSOLIDATED
IN 2019
The following companies went out of the scope of consolidation:
| ― |
IPFO
|
| ― |
Crédit Agricole CIB Financial Prod. (Guernesey)
|
| ― |
Indosuez Holding SCA II
|
| ― |
Indosuez Management Luxembourg II
|
| ― |
Island Refinancing Srl
|
| ― |
Crédit Agricole CIB (Luxembourg)
|
1.2 ECONOMIC AND
FINANCIAL ENVIRONMENT
Overview of 2019
In a climate of
strong uncertainty, growth continued to slow down, marked by the poor
performance of productive investments and global trade
In 2019, the global economic cycle continued its slowdown from its recent peak
in
2017 (3.8%). Global growth has reached 2.9% (after 3.6% in 2018), its slowest pace
since the rebound following the global financial crisis of 2008/2009. This slowdown
is obviously the result of strong trends affecting, albeit unevenly, all countries
and specific factors for each economy or sector. In addition to the general trends
amplifying the cyclical and structural slowdowns already at work (major developed
economies and China) some weaknesses are specific to certain major emerging countries
(Brazil, India, Mexico, Russia). Some industrial sectors, such as the automotive industry,
have been penalized by regulatory changes (new emission standards). These specific
shocks have remained limited and have had little impact on the services or construction
sectors.
Looking beyond the specifics, Sino-US trade tensions (effective trade barriers,
but
also concerns regarding sectors and countries likely to constitute new targets) and
the climate of uncertainty have clearly weighed on the outlook for demand, the incentive
to invest and, more generally, on business climate. In a more "anxietyprovoking" economic
environment, the most notable slowdown was recorded by productive investments, while
household consumption, overall, held up well.
Businesses have revised their investment outlooks downwards and household consumption
of durable goods declined slightly. Faced with less engagement or more uncertain demand,
businesses eventually adjusted their production. Global trade, which is more sensitive
to investment and consumption of durable goods, weakened further. Global trade in
goods and services grew by just 1.1% in 2019, after increasing 3.6% and 5.7% in 2018
and 2017, respectively. This decline to almost 1% can be compared to the average annual
rate recorded between 2010 and 2018, which was close to 5% (3.8% for global GDP).
However, very accommodative and largely pre-emptive monetary policies (see below)
as well as favourable financial terms helped cushion the slowdown and ultimately contribute
to the resilience of the labour market. Job creation, gradual wage increases, still
contained inflation and gains in purchasing power have supported confidence and household
spending.
A common trend
towards deceleration but national characteristics conditioned by the
degree of exposure to global trade and the industrial sector
In the United States, the year 2019 ended with annualised quarterly growth of 2.1%,
supported by net exports (contraction of imports) as consumer spending slowed, inventories
weighed on growth and business fixed capital investment contracted for the third consecutive
quarter. For the year as a whole, growth declined from 2.9% to 2.3%, but remained
above the estimated potential rate of close to 2%. Domestic demand remained the main
driver, with strong contributions from household consumption (1.8 percentage points)
and public expenditure (0.4 points), but a marked decline in productive investment
(0.2 points) and a negative contribution from foreign trade (-0.2 points). Although
the economy is at full employment (with an unemployment rate of 3.5% at the end of
2019), inflation remained moderate. The Federal Reserve's preferred index (PCE, Personal
Consumption Expenditures) rose by 1.4% in the fourth quarter of 2019 (annualised quarterly
change), under the 2% inflation target. After averaging 2.1% in 2018, PCE inflation
for the year reached 1.4%.
In China, the factors that led to a slow and natural slowdown in growth (tertiarisation,
ageing, increased propensity to save, decline in the pace of job creation) were compounded
by urban job losses and the trade dispute with the United States. The pace of growth
slowed at the end of the year, bringing average growth for 2019 to 6.1%, its lowest
level since 1990. Private and public consumption provided the bulk (60%) of the expansion,
while the contribution of productive investment declined (1.9 percentage points, its
lowest contribution since 2000) and that of foreign trade remained positive (0.7 points).
In the United Kingdom, 2019 was undeniably dominated by the Brexit saga. Lengthy
parliamentary
negotiations led to a stalemate involving three postponements of the Brexit date (initially
set for 31 March 2019). What was at stake? Major divisions within Theresa May's minority
government and the unpopularity of her "backstop" on the Irish border. After the European
elections in May, in which the Conservative Party suffered a heavy defeat, Mrs May
was forced to resign as Prime Minister. Her successor Boris Johnson renegotiated the
"backstop" with the EU and managed to push Labour into an early general election in
mid-December. This election resulted in a historic victory for the Conservatives over
Labour, which was disadvantaged by an overly left-wing and anti-business policy.
In a context of global slowdown, uncertainty about Brexit weighed on British growth,
which also proved more volatile. While household consumption held up well thanks to
a fully employed labour market, private investment suffered particularly badly and
recorded the worst growth rate in the G7 countries. For 2019 as a whole, growth is
expected to average 1.3% on an annual basis, the same figure as in 2018, thanks to
a favourable carryover effect boosted by significant stockpiling ahead of the first
exit date of 31 March 2019.
In the euro zone, growth in 2019 was first disappointing and then reassuring. Disappointing
because the rebound expected in the first half of the year after the manufacturing
recession of late 2018 did not materialise. Reassuring because, although it failed
to rebound, activity nevertheless stabilised in the second half of the year, avoiding
a "recessionary" spiral. The resilience of domestic demand, both private consumption
and investment, limited the contagion from industry to the services sector. Although
job creation did slow, it still led to a fall in the unemployment rate (7.4% at the
end of 2019 after 7.8% at the end of 2018). The ECB's preventive action was effective:
it has made it possible to maintain favourable financing conditions, limit the appreciation
of the euro and, ultimately, support confidence. The fiscal impulse has been less
significant, but greater than in the past in countries with room for manoeuvre. Below
its potential rate (estimated at 1.3%) and still unable to revive inflation, which
is still well below the ECB's target (1.2% and 1% for total and core inflation respectively),
GDP growth would have reached 1.1% (after 1.9% in 2018): an overall result covering
significant disparities between countries depending, in particular, on their degree
of exposure to global trade and industry. The disappointing performances of Germany
(0.6%) and Italy (0.2%), which are more industrial and open, contrast with the stronger
growth recorded by France (1.2%).
After 1.7% in 2018, French growth reached 1.2% thanks to robust domestic demand.
Household
consumption accelerated (+1.2% in 2019 compared with 0.9% in 2018), supported by fiscal
measures to support purchasing power, announced following the "yellow vests" protest
movement and the Great National Debate in the spring. Low inflation and very dynamic
job creation also contributed to the dynamic purchasing power gains (+2.1% over the
year). The unemployment rate thus fell from an average of 8.7% in 2018, to an average
of 8.3% in 2019. Investment by non-financial businesses also remained very dynamic
and even accelerated, increasing by 4.1% over the year. Businesses thus benefited
from an environment of low interest rates but also from temporary effects such as
the switch from CICE to lower charges, which boosted profits and supported investment
(and job creation). After an exceptionally positive contribution to growth in 2018,
foreign trade made a negative contribution to growth in 2019. Indeed, while buoyant
domestic demand supported imports, exports suffered from international uncertainties
and the crisis in the manufacturing sector, particularly in Europe.
The implementation of accommodative monetary policies conducive to lower interest
rates cushioned the economic slowdown while allowing equity markets to perform well
Against a background of low inflation, central banks reacted aggressively and largely
pre-emptively to the downturn in activity. The main central banks of advanced countries
(including the US Federal Reserve and the European Central Bank, ECB) but also those
of the major emerging markets lowered their key interest rates.
The Federal Reserve made three pre-emptive cuts in the Fed Funds rate from July
to
October (-75 basis points - bp - bringing the rate to 1.75%). In September, following
a downward revision of growth forecasts accompanied by a downside risk due to a high
degree of uncertainty, "dangerously" low inflation, and a drop in market expectations,
the ECB once again mobilised all its monetary easing tools: Forward Guidance (rates
that will remain at their current level or even lower as long as inflation does not
converge "firmly" towards their target), drop in the deposit rate to -0.5%, introduction
of a tiering system to relieve the banks. The ECB also reactivated its bond purchase
programme (Quantitative Easing) at a monthly rate of 20 billion euros, from 1 November
for an indefinite period and relaxed the conditions for TLTRO III.
In addition to monetary accommodation, 2019 ended with hopes for a trade agreement
between the United States and China, which resulted in a stock market boom at the
expense of the safest assets. 10-year US and German government bond yields rose sharply
to end the year at 1.90% and -0.20%, while equities obviously benefited from the prevailing
enthusiasm. Annual growth in the most representative markets reached nearly 15% (MSCI,
emerging markets) and peaked at 29% (S&P 500).
As abruptly as the increases in US and German interest rates were at the end of
2019,
their respective drops nonetheless reached nearly 75 and 40 basis points (bp) over
the past year, due to very accommodating preventative monetary policies that fail
to reactivate inflation: growth will have remained satisfactory, or even sustained
for a low inflation period. The ECB's policy will have failed to accelerate inflation,
raise interest rates and the slope of the curve. On the other hand, success is clear
if it can be judged by the tightening of risk premiums in the so-called "peripheral
countries", of which Spain and Italy are good examples. Their spreads against the
Bund narrowed from 50 bp and 90 bp, respectively, to 65 bp and 160 bp, while the French
premium (30 bp at the end of 2019) fell by 15 bp.
1.3 CONSOLIDATED
NET INCOME
Condensed consolidated
income statement
► 2019
| € million |
Underlying CIB1 |
Nonrecurring1 |
Stated CIB |
Private Banking |
Corporate Center |
CA-CIB |
| Net Banking Income |
4,700 |
(65) |
4,635 |
825 |
(1) |
5,459 |
| Operating expenses |
(2,690) |
0 |
(2,690) |
(729) |
(3) |
(3,422) |
| Gross Operating Income |
2,010 |
(65) |
1,945 |
96 |
(4) |
2,037 |
| Cost of risk |
(156) |
|
(156) |
(9) |
|
(165) |
| Share of net income of equity-accounted entities |
4 |
|
4 |
|
|
4 |
| Gain/losses on other assets |
19 |
|
19 |
32 |
|
51 |
| Pre-tax income |
1,877 |
(65) |
1,812 |
119 |
(4) |
1,927 |
| Corporate income tax |
(380) |
16 |
(364) |
(20) |
29 |
(355) |
| Net income |
1,497 |
(49) |
1,448 |
99 |
25 |
1,572 |
| Non-controlling interests |
0 |
0 |
0 |
19 |
0 |
19 |
| Net income, Group Share |
1,497 |
(49) |
1,448 |
80 |
25 |
1,553 |
| € million |
Underlying CIB Change 2019/2018 |
Underlying CIB Change 2019/2018
at constant rate |
| Net Banking Income |
+7% |
+4% |
| Operating expenses |
+3% |
+2% |
| Gross Operating Income |
+12% |
+8% |
| Cost of risk |
|
|
| Share of net income of equity-accounted entities |
|
|
| Gain/losses on other assets |
|
|
| Pre-tax income |
+1% |
-2% |
| Corporate income tax |
-22% |
-26% |
| Net income |
+9% |
+7% |
| Non-controlling interests |
ns |
|
| Net income, Group Share |
+9% |
+7% |
1
Restated from loan hedges and DVA running impact on NBI for respectively -€44 million,
-€21 million in 2019.
► 2018
| € million |
Underlying CIB1 |
Nonrecurring1 |
Stated CIB |
Private Banking |
Corporate Center |
CA-CIB |
| Net Banking Income |
4,409 |
45 |
4,454 |
822 |
0 |
5,276 |
| Operating expenses |
(2,610) |
|
(2,610) |
(711) |
0 |
(3,321) |
| Gross Operating Income |
1,799 |
45 |
1,844 |
111 |
0 |
1,955 |
| Cost of risk |
60 |
|
60 |
(5) |
(0) |
55 |
| Share of net income of equity-accounted entities |
|
|
|
|
|
|
| Gain/losses on other assets |
|
|
|
|
|
|
| Pre-tax income |
1,859 |
45 |
1,904 |
106 |
(0) |
2,010 |
| Corporate income tax |
(489) |
(11) |
(500) |
(29) |
4 |
(525) |
| Net income |
1,370 |
34 |
1,404 |
77 |
4 |
1,485 |
| Non-controlling interests |
(2) |
0 |
(2) |
8 |
0 |
6 |
| Net income, Group Share |
1,372 |
34 |
1,406 |
69 |
4 |
1,479 |
1
Restated from loan hedges and DVA running impact on NBI for respectively +€23 million,
+€22 million in 2018.
The market environment in the second half of 2019 remained complex with a variety
of concerns such as a slowdown in the global economy, trade disputes between the United
States and China, the effects of Brexit and more generally concerns related to geopolitical
risk.
In Europe, the ECB continued its accommodating monetary policy in the bond market
in 2019, key rates continued to remain at an extremely low level, which should continue
until sustainable return to inflation according to the ECB.
Accordingly, the yield on most sovereign bonds is close to zero.
In the United States, the Fed lowered its interest rates three times in a row in
the
second half of 2019, the last of which fell to 1.75% on 30 October 2019 (versus 2.50%
at the end of December 2018). In addition, the last quarter of 2019 was marked by
bond yields, which increased in harmony with the equity markets. The US dollar remained
relatively stable over the second half of 2019 with a Euro - Dollar parity of close
to 1.10 Dollar.
Against this background, underlying CIB revenues rose by +7% at current exchange
rates
compared to 2018. The increase in income was mainly due to the increase in revenue
from capital markets and investment banking (+13% at current rates), driven by the
good performance of Fixed Income activities, notably showing an out-performance in
credit and interest rate activities and to a lesser extent in financing activities
(+1% at current prices).
Expenses rose 3% at current rates (+2% at constant rates). This increase was mainly
linked to the human resources and IT investments deployed in 2019.
Excluding the SRF, the cost/income ratio of the underlying CIB came through at
53.8%
in 2019.
Gross operating income was €2,010 million at current rates. The cost of risk was
up
(normalisation), driven by a specific file, and partially offset by reversals on a
few files.
Net income Group share is €1,553 million.
1.4 RESULTS BY
BUSINESS LINE
Financing activities
| € million |
Underlying 2019* |
Underlying 2018* |
Change 2019/2018 |
Change 2019/2018 at constant rate |
| Net Banking Income |
2,524 |
2,487 |
+1% |
(1%) |
| Operating expenses |
(1,040) |
(994) |
+5% |
+3% |
| Gross Operating Income |
1,484 |
1,493 |
(1%) |
(6%) |
| Cost of risk |
(132) |
82 |
ns |
|
| Share of net income of equity-accounted entities |
4 |
0 |
ns |
|
| Gain/losses on other assets |
15 |
0 |
ns |
|
| Pre-tax income |
1,371 |
1,575 |
(13%) |
|
| Corporate income tax |
(258) |
(415) |
(38%) |
|
| Net income |
1,113 |
1,160 |
(4%) |
|
| Non-controlling interests |
(2) |
(2) |
(18%) |
|
| Net income, Group Share |
1,115 |
1,162 |
(4%) |
|
*
Not including the DVA impact on net banking income for -€44 million for 2019 and
+€23 million for 2018.
Revenue from financing activities was up +1% at current rates, the increase in
revenue
from structured finance activities and International Trade and Transaction Banking
is masked by the decline in revenue from Debt Optimisation and Distribution activities.
Structured finance activities have been diverse, with high production levels. The
Acquisition Finance, Oil & Gas and Real Estate sectors performed particularly
strongly.
At constant rates, revenue from structured finance grew 7%.
Debt Optimisation and Distribution slowed due to a lack of major deals compared
to
the previous year. Activity remains at a good level despite a decline in the global
syndicated loan market. Crédit Agricole CIB has maintained its positioning on syndicated
loans by remaining in the 2nd place (1) in syndicated finance activities
in the EMEA region.
Revenues from the International Trade and Transaction Banking activity increased
with
continued growth in the Private Equity Financing Solutions activity in partnership
with CACEIS, the development of the Supply chain activity, the growth of the Export
portfolio by good new production levels in 2019. The decline in barrel cost had a
positive impact on Global Commodities Finance. Corporate banking contributed €1,115
million to net income, Group share, down 4% compared to 2018, particularly due to
the normalisation of the cost of risk in 2019.
Capital markets
and investment banking
| € million |
Underlying 2019* |
Underlying 2018* |
Change 2019/2018 |
change 2019/2018 at constant rate |
| Net Banking Income |
2,176 |
1,922 |
+13% |
+11% |
| Operating expenses |
(1,650) |
(1,616) |
+2% |
+1% |
| Gross Operating Income |
526 |
306 |
+72% |
+59% |
| Cost of risk |
(24) |
(22) |
+8% |
|
| Gain/losses on other assets |
4 |
0 |
ns |
|
| Pre-tax income |
506 |
284 |
+78% |
|
| Corporate income tax |
(122) |
(74) |
+65% |
|
| Net income |
384 |
210 |
+83% |
|
| Non-controlling interests |
2 |
0 |
ns |
|
| Net income, Group Share |
382 |
210 |
+82% |
|
*
Not including the DVA impact on net banking income for -€21 million for 2019 and
+€22 million for 2018.
Revenues from capital markets rose by +15% compared to 2018 at current rates, driven
by the solid performance of fixed income activities, in a context of an accommodating
ECB policy favourable to credit and interest rate activities. Indeed, interest rate
activities benefited from sustained activity, in particular on euro swaps and Secured
Funding, which had an excellent fourth quarter. Credit activities recorded a very
good performance over the year linked on the one hand to good primary and secondary
market revenue, and on the other hand to a comparative basis in 2018, which had been
impacted by reduced commercial activity due to conditions unfavourable to issues.
Foreign exchange activities performed well, particularly in Asia, thanks to good commercial
activity, while revenues from securitisation activities fell slightly compared to
last year, but rose slightly, net of cost of risk.
In 2019, Crédit Agricole CIB moved up by three places and ranked first worldwide
in
all agencies bonds (2) gaining 1.2 market share points compared to 2018.
Revenues from investment banking remained stable. M&A activities remained stable
in
a less favourable market environment than last year. The European M&A market was
down
25% (3) and 37% (4) in France between 2019 and 2018. Equity
Capital Markets recorded a fall in market
volumes.
Capital markets and investment banking contributed €382 million to net income,
Group
share, up 82% compared to 2018.
(1)
As Bookrunner - Source: Refinitiv R17
(2)
Source Refinitiv N6
(3)
Source Refinitiv N6
(4)
Source Refinitiv
Wealth Management
| € million |
2019 |
2018 |
Change 2019/2018 |
Change 2019/2018 at constant rate |
| Net Banking Income |
825 |
822 |
+0% |
(1%) |
| Operating expenses |
(729) |
(711) |
+3% |
+1% |
| Gross Operating Income |
96 |
111 |
(13%) |
(14%) |
| Cost of risk |
(9) |
(5) |
+74% |
|
| Gain/losses on other assets |
32 |
0 |
ns |
|
| Pre-tax income |
119 |
106 |
+13% |
|
| Corporate income tax |
(20) |
(29) |
(31%) |
|
| Net income |
99 |
77 |
+29% |
|
| Non-controlling interests |
19 |
8 |
ns |
|
| Net income, Group Share |
80 |
69 |
+16% |
|
Wealth Management revenues remained stable at current rates, and down 1% at constant
rates. The positive impacts of external growth acquisitions offset the major drop
in external downsizing transactions. Excluding currency variances and changes in scope,
revenue fell by €23 million.
At current rates, expenses rose 3% (1% at constant rates). Some of these expenses
relate to the increased scope and digital initiatives, and have been offset by the
impact of the costcutting plan.
At the end of December 2019, assets under management totalled €132.2 billion, up
€9.3
billion compared with the end of December 2018, mainly due to a market effect with
the rise in stock market indices.
Corporate Centre
| € million |
2019 |
2018 |
Change 2019/2018 |
| Net Banking Income |
(1) |
0 |
ns |
| Operating expenses |
(3) |
0 |
ns |
| Gross Operating Income |
(4) |
0 |
ns |
| Corporate income tax |
29 |
4 |
ns |
| Net income, Group Share |
25 |
4 |
ns |
The "Corporate Centre" division includes the various impacts not attributable to
the
other divisions.
1.5 CRÉDIT AGRICOLE
CIB'S CONSOLIDATED STATEMENT OF FINANCIAL POSITION
Assets
| € billion |
31.12.2019 |
31.12.2018 |
| Cash, central banks |
58.3 |
46.5 |
| Financial assets at fair value through profit or loss
(excluding repurchase agreements) |
144.3 |
132.1 |
| Hedging derivative Instruments |
1.6 |
1.0 |
| Financial assets at fair value through other comprehensive
income |
9.6 |
11.4 |
| Financial assets at amortised cost (excluding repurchase
agreements) |
196.3 |
180.1 |
| Current and deferred tax assets |
1.1 |
1.1 |
| Repurchase agreements |
106.6 |
109.9 |
| Accruals, prepayments and sundry assets |
32.5 |
27.9 |
| Property,plant, equipment and intangible assets |
1.4 |
0.7 |
| Goodwill |
1.0 |
1.0 |
| Total assets |
552.7 |
511.7 |
At 31 December 2019, Crédit Agricole CIB had total assets of €552.7 billion, up
by
€41 billion compared to 31 December 2018. The impact of US dollar exchange rates is
+€4 billion and that of the Yen is +€1.5 billion. The main variances concern the following
items:
MONEY MARKET AND
INTERBANK ITEMS
Crédit Agricole CIB has access to all major international liquidity centres and
is
very active in the largest financial markets (Paris, New York, London and Tokyo),
which enables it to optimise its interbank lending and borrowing within the Group.
FINANCIAL ASSETS
AND LIABILITIES AT FAIR VALUE THROUGH PROFIT AND LOSS
Financial assets and liabilities at fair value through profit or loss increased
by
€12.2 billion and €17.4 billion respectively over the period. On the asset side, they
consist mainly in the positive fair value of interest rate derivatives and of the
portfolio of securities held for trading, while on the liabilities side they reflect
the negative value of derivatives and securities sold short. The increase in outstandings
was essentially due to the drop in long-term rates (+€9.2 billion on the assets side
and the liabilities side), particularly on interest rate derivatives and a rise in
the performance of securities instruments (+€8 billion).
FINANCIAL ASSETS
AND LIABILITIES AT AMORTISED COST
The increase in financial assets and liabilities at amortised cost came, for the
assets,
mainly from financing activities for liabilities, the increase is explained in part
by the commercial efforts to raise deposits on ordinary items and term loans and on
debt securities negotiable on treasury operations in London and New York.
Liabilities
| € billion |
31.12.2019 |
31.12.2018 |
| Central banks |
1.8 |
0.9 |
| Financial liabilities at fair value through profit or
loss (excluding repurchase agreements) |
179.6 |
158.9 |
| Hedging derivative Instruments |
1.3 |
1.0 |
| Financial liabilities at amortised cost (excluding repurchase
agreements) |
232.9 |
220.0 |
| Repurchase agreements |
77.6 |
78.3 |
| Current and deferred tax liabilities |
2.4 |
2.0 |
| Accruals, deferred income and sundry liabilities |
28.6 |
23.5 |
| Provisions |
1.4 |
1.7 |
| Subordinated debt |
5.0 |
5.0 |
| Equity - Group share |
20.5 |
18.8 |
| Non-controlling interests |
0.1 |
0.1 |
| Net income (loss) for the year |
1.5 |
1.5 |
| Total liabilities and equity |
552.7 |
511.7 |
ACCRUAL AND DEFERRED
INCOME AND SUNDRY ASSETS AND LIABILITIES
Accruals, deferred income and sundry assets and liabilities consist mainly of security
deposits on market and brokerage transactions. The increase in these items is explained
by the decrease in rates.
EQUITY - GROUP
SHARE
Equity - Group share (excluding profit (loss) for the period) was €20.5 billion,
up
by €1.7 billion compared with the figure at 31 December 2018. This change results
essentially from the payment of dividends (€0.5 billion), an AT1 issue (€0.7 billion)
and the payment of interest on the AT1 issue (€0.3 billion).
1.6 RECENT TRENDS
AND OUTLOOK
2020 outlook
The following events in relation to the coronavirus pandemic took place after the
financial statements approval by the board of directors:
Even before the
outbreak of coronavirus, the climate of anxiety and productive investment
that was already in decline were contributing to reduced growth, although there was
no indication that a fall was imminent
As a result of the signature of the so-called "phase 1" agreement, the Sino-American
trade conflict no longer seemed destined to escalate in the near future. While it
did offer hope for a truce in the tariff war, it did not immunise against a shift
in tensions onto other sensitive issues and did not presume a lasting peace in Sino-American
relations. In fact, the agreement between the United States and China covers many
subjects: trade in goods, particularly agricultural and food products (1)
, intellectual property, technology transfers, financial services, an end to exchange
rate "manipulation", and a forum for resolving conflicts. While ambitious (the additional
imports to which China has committed itself are substantial), this agreement does
not address the thorny issues of Chinese subsidies and, more broadly, Chinese state-sponsored
capitalism.
In addition, the risk of a "Brexit without a trade agreement" threatened to replace
the risk of a "no-deal Brexit". Following the United Kingdom's exit from the European
Union on 31 January, the British would like to see the details of their future partnership
with the European Union (including a free trade agreement) defined by the end of the
year 2020. Subjecting the negotiations to such an ambitious timetable will generate
doubts about the quality of the future relationship.
Therefore, although
there was the possibility for political and geopolitical tensions
and uncertainty to ease temporarily, they were unlikely to disappear permanently and
were likely to weigh on investment behaviour
Some initial signs seemed to indicate that the decline in the manufacturing sector
(based in particular on an improvement in the automotive sector) and in world trade
may have bottomed out. The services sector continued to expand as a result of strong
consumer spending, boosted by continued sustained growth in wages. Finally, while
productive investment had demonstrated resilience, it was showing signs of slow deceleration:
deceleration based on uncertainty about future demand, stemming from concerns about
global trade, rather than from a typical degeneration of the cycle. After several
years of low investment, companies in the Eurozone, in particular, were preparing
to face the slowdown without excess capacity, as evidenced by a capacity utilization
rate that was in decline, yet still remained high. Companies appeared cautious, not
responding to the erosion of their margins either by abruptly halting their capital
spending or by drastically reducing employment.
Without being able to rely on productive investment or global trade, which is more
sensitive to growth in investment than growth in consumption, sustained growth depended
on households. The labour market continued to adjust to varying speeds and the decline
in job creation was not yet reflected in a significant rise in the unemployment rate.
There was an expectation that consumption would also be boosted by the slight increase
in wages and purchasing power gains sustained by inflation that was still very moderate.
While household consumption provided hopes of a slowdown rather than a collapse in
growth, there was nevertheless a fine balance between employment, wages and corporate
margins.
This relatively
encouraging observation had been made before the coronavirus pandemic
began to spread beyond China
The pandemic, its impact on Chinese growth (a drop in domestic demand) and global
growth (a decline in Chinese demand, tourist flows, disruption of value chains) and
its geographical spread imply a significant downward revision of growth forecasts.
Given the spread of the pandemic, its consequences become even more difficult to assess
and result in a series of firm assumptions, including the one formulated upstream
of our central scenario: that the spread of the pandemic will be contained in the
second quarter. Given the uncertainties surrounding the development of the pandemic
as well as measures to limit the spread of infection, this central scenario is accompanied
by a downside risk.
Assuming that China has passed the peak of the pandemic (the number of new cases,
which has already fallen sharply both within and outside Hubei, is not expected to
settle into a sustainable upward trend), growth is expected to undergo a very violent
downturn in the first quarter, then a slow recovery followed by a substantial rebound.
At the expense of their aim to reduce domestic debt, the Chinese authorities have
both the will and the means to stimulate a revival in economic activity (reducing
interest rates and bond reserves, significantly increasing bank credit, infrastructure
expenditure, etc.). By implementing aggressive and purportedly effective budgetary
and monetary support, the rebound in growth for the second half of the year would
enable it to achieve an annual average of around 5.3%.
Our scenario assumed a reduction in US growth of around 1.6%: a downturn that is
already
being felt, driven by the already well-established decline in investment and the lack
of public spending support. Even though the pandemic is not yet compelling the United
States to "go slow", the impact of the coronavirus leads to the prospect that growth
may not exceed 1.3%. In the Eurozone, although confidence indicators have recovered,
suggesting sustained activity in services and construction while the industrial sector
appeared to be wavering, the pandemic is expected to slash our already conservative
growth forecast of 1% by almost seven tenths of a percentage point. The "China effect"
alone (via exports and disruption to supply chains) results in a growth reduction
of around 0.2 points. However, the impact of the pandemic now affecting Europe (shutdown
and/or slowdown of activity, reduced consumption, of services in particular, and a
wait-and-see attitude) is generating additional losses that are estimated at between
0.5 and 1 points of growth, varying by country. At this stage, there is nothing to
suggest a combined European budgetary response. The risk is that responses will remain
essentially national, being limited in the countries under pressure (France, Italy,
Spain, Portugal), and more generous in Germany and the Netherlands.
(1)
The United States has decided to waive an additional tax (mainly on consumer goods)
and to halve the 15% tariff imposed in September on $120 billion in imports from China.
The rest of the duties already in place (25% on $250 billion) will not decrease.
Approximately
65% of US imports from China are still taxed. As a reminder, in 2018, US imports of
Chinese goods and services totalled $540 billion and $18 billion, respectively. China,
for its part, has committed to import an additional $200 billion in goods and services
from the United States in 2020-2021, compared with 2017 when US exports of goods and
services to China were $190 billion.
While the depressive impact of the coronavirus pandemic on business activity is
primarily
caused by falling demand, underlying inflation is expected to remain low. It is expected
to be 1.7% in the United States and 1.2% in the Eurozone on an average annual basis.
The decline in Chinese demand has already strongly contributed to a fall in commodity
prices, including the price of oil: at $40 per barrel, the price of Brent has already
fallen by almost 40% since the beginning of the year. Despite expectations of an upturn
in activity in the second half of 2020 (particularly industrial activity in China),
oil prices were already at risk of being impacted by excessive supply. Given the crisis
between Russia and Saudi Arabia and the unexpected end of the OPEC+ agreement aimed
at reducing production, there is an obvious risk of long-term low prices. Overall
inflation could therefore remain well below the central banks' inflation targets in
the US and especially in Europe.
Even before the
coronavirus pandemic broke out, the major central banks, undertaking
strategic reviews of their own respective policies, were still tempted by monetary
easing, which is crucial
Given the specific economic consequences of the coronavirus pandemic (including
a
fall in demand associated with containment measures and reduced transnational mobility,
difficulties with supplies and cash flow), the purpose of monetary easing may not
be to stimulate economic activity so much as to appease the financial markets and
limit self-fulfilling phenomena. Since the beginning of the year, a strong trend towards
risk aversion has contributed to a decline in risk-free rates (over two months, US
and German 10-year sovereign yields have fallen by 120 basis points to 0.70% and 55
basis points to -0.70%, respectively). The main equity markets recorded sharp falls
(around 14% for the Eurostoxx 50 and the CAC 40).
In an attempt to curb risk aversion, the Federal Reserve acted with urgency, announcing
a surprise reduction of 50 basis points in the Fed Funds rate (target rate of 1-1.25%).
This is the first inter-meeting decision the Federal Reserve has taken since the 50-basis-point
reduction in October 2008. This proactive, precautionary course of action did not
succeed in curbing the concerns of the markets. Our scenario assumes the Federal Reserve
will provide additional easing of a further 50 basis points (split into two reductions
of 25 basis points each). Although there is still room for manoeuvre, it could even
make the first reduction as early as March, if financial terms continue to tighten.
The ECB, on the other hand, has limited room for manoeuvre. Even before growth prospects
deteriorated so rapidly, our scenario included a potential drop in the deposit rate
of 10 basis points, an extension of quantitative easing, an increase in the holding
limit from 33% to 50%, and the continuation of forward guidance. This arrangement
may be supplemented by an increase in the proportion of corporate securities purchased
under the Corporate Sector Purchase Programme as part of the quantitative easing measures,
and the granting of Targeted Longer-Term Refinancing Operations (TLTROs) on more favourable
terms in order to encourage banks to lend and, in particular, to support SMEs.
Once again, everything
is contributing to keeping core longterm rates extremely low:
risk aversion, unprecedented uncertainty and lack of visibility, strong economic slowdowns
accompanied by downside risks, and pain-free rates of inflation
Our scenario includes long-term (10-year) sovereign rates, which, having reached
their
troughs before the summer, are expected to recover timidly, reaching 1.25% and -0.55%
in December 2020 for the United States and Germany, respectively. Despite less favourable
growth prospects, the equity markets, supported by very low risk-free rates, which
are expected to remain as such for some time, continued to hold up well. Since the
coronavirus pandemic broke out, triggering a powerful wave of risk aversion, there
has been a considerable slump in the equity markets (registering falls ranging from
almost 7% for the S&P 500 index up to 14% for the Eurostoxx and CAC 40 indexes
over
two months). Despite its highly preventative nature, coming prior to a marked downgrading
of the US macroeconomic inflation and employment indicators, the unexpected easing
from the Federal Reserve has not succeeded in stemming the concerns of the markets.
The equity markets may struggle for as long as the markets lack a minimum of clarity
about the depth and duration of the crisis (assuming the lower part of a growth curve
develops in the shape of a "U"). Their recovery, a pillar of the wealth effect, is
an essential component of a scenario of a very sharp decline in growth with no deterioration
into recession.
Only the Bank of Japan, which knows the collateral damage of excesses, will not
be
tempted. Once again, everything is contributing to keeping core long-term rates low:
materialisation of economic slowdowns, painless inflation, accommodative monetary
policies, and a climate marked by proven or latent risks. Our scenario assumes long
(10-year) sovereign rates at 1.60% and -0.45% in December 2020 for the United States
and Germany, respectively. This will not serve to displease the risk premiums of the
"peripheral" bond markets and the equity markets: their resilience will determine
the wealth effect and household consumption, an essential ingredient in a scenario
of slowdown rather than a collapse in growth.
CACIB outlook
for 2020
Net income, Group share, grew markedly compared with 2018 (+9% at current rates):
revenue was characterised by good growth in capital markets banking driven by fixed
income activities and the maintenance of a good level of activity in corporate banking.
Expenses are under control. Normalisation of the cost of risk over the year; it is
recorded as a net expense
In this context, results in terms of NBI, RWA consumption and return on equity
are
above the trajectory defined in the new 2022 Medium Term Plan. Furthermore, on 6 June
2019, Crédit Agricole Group's new Medium Term Strategic Plan was announced and on
11 December 2019 Crédit Agricole CIB presented its Investor Workshop with ambitious,
realistic and well-balanced objectives aligned with its integrated, distinctive and
profitable business model.
Crédit Agricole CIB will continue to aim to be the preferred partner, committed
over
the long term with its customers, in a global approach with the Crédit Agricole Group.
The outlook for 2020 remains dependent on political and geopolitical tensions calming
down as well as the current N-Coronavirus V pandemic, but it is too early to quantify
its impact.
1.7 ALTERNATIVE
PERFORMANCE MEASURES (APM)-ARTICLE 223-1 OF THE AMF'S GENERAL REGULATION
| Alternative Perfomrnace Measures |
Definition |
Reason for use |
| Cost/Income ratio |
Ratio indicating the share of NBI (Net Banking Income)
used pour to cover operating
expenses (business operating expenses). It is calculated by dividing operating expenses
by NBI.
|
Measure of operational efficiency in the banking sector. |
| Underlying Net Banking Income (Underlying CIB) |
Net Banking Income excluding exceptional items. |
Measure of Crédit Agrcicole CIB's NBI excluding items
that do not reflect the underlying
operating performance or non-recurring items of a significant amount.
|
|
Details of exceptional items are provided in the table
hereafter. |
|
| Underlying Net income, Group Share |
Underlying Net income, Group Share excluding exceptional
items. |
Measure of Crédit Agrcicole CIB's net icome excluding
items that do not reflect the
underlying operating performance or non-recurring items of a significant amount.
|
|
Details of exceptional items are provided in the table
hereafter. |
|
| Assets under management |
All assets under management by Indosuez Wealth Management. |
Measures operating activity not reflected in consolidated
financial statements and
corresponding to portfolio assets marketed by Indosuez Wealth Management, whether
managed, advised or delegated to an external manager.
|
► Key Exceptional
Elements
| € million |
2019 |
2018 |
| Net Banking Income |
|
|
| Loan hedges |
(44) |
23 |
| DVA |
(21) |
22 |
| Total pre-tax exceptional items |
(65) |
45 |
| Total exceptional items after tax |
(49) |
34 |
2. INFORMATION
ON THE FINANCIAL STATEMENTS OF CRÉDIT AGRICOLE CIB (S.A.)
2.1 CONDENSED
BALANCE SHEET OF CRÉDIT AGRICOLE CIB (S.A.)
Assets
| € billion |
31.12.2019 |
31.12.2018 |
| Interbank and similar transactions |
147.6 |
139.0 |
| Customer transactions |
178.4 |
162.0 |
| Securities transactions |
38.9 |
30.1 |
| Accruals, prepayments and sundry assets |
153.5 |
143.6 |
| Non-current assets |
6.7 |
6.7 |
| Total assets |
525.1 |
481.4 |
Liabilities
| € billion |
31.12.2019 |
31.12.2018 |
| Interbank and similar transactions |
75.0 |
74.7 |
| Customer accounts |
176.5 |
167.8 |
| Debt securities in issue |
47.8 |
43.3 |
| Accruals, deferred income and sundry liabilities |
198.6 |
170.1 |
| Impairment and subordinated debt |
12.4 |
11.6 |
| Fund for General Banking Risks |
|
|
| Shareholders' equity (excl. FGBR) |
14.8 |
13.9 |
| Total Liabilities and shareholders' equity |
525.1 |
481.4 |
At 31 December 2019, Crédit Agricole CIB (S.A.) had total assets of €525.1 billion,
up by €43.7 billion compared to 31 December 2018.
Money market and
interbank items
Interbank assets increased by €8.6 billion (+6.2%), with variances of +€12.6 billion
in deposits with central banks, +€5.5 billion in treasury bills and -€9.5 billion
in receivables from credit institutions (including -€2.7 billion on accounts, long-term
loans and demand loans and -€6.7 billion on pledged securities).
Interbank liabilities increased by €0.3 billion (+0.4%) including +€0.9 billion
more
to central banks and -€0.6 billion more debts to credit institutions (i.e. +€1.7 billion
more on term and sight accounts and borrowings and -€2.3 billion less on securities
sold under repurchase agreements).
Customer transactions
Assets and liabilities on customer transactions increased by €16.4 billion (+10.1%)
and €8.7 billion (+5.2%) respectively.
On the assets side, the increase came from trade receivables and other customer
loans
for €11.9 billion (+11.6%), and €4.5 billion in securities under repurchase agreements
(+7.5%)
On the liabilities side, current accounts, repurchase agreements and other debts
rose
by €4.1 billion (+13.5%), €2.4 billion (+3.1%) and €2.3 billion (+3.8%) respectively.
Portfolio securities
and debts represented by a security
Securities transactions on the asset side increased by €8.8 billion (+29.2%). This
increase comes from equities and variable income securities for +€5.7 billion, mainly
on the trading portfolio, but also from fixed income bonds for +€3.1 billion.
Debt instruments rose by €4.5 billion (+10.4%). This increase was due to both negotiable
debt securities (+€3.1 billion) and bonds (+€1.5 billion).
Accrual and deferred
income and miscellaneous assets and liabilities
This item principally records the fair value of derivative instruments. As a reminder,
these are covered in "Financial assets and liabilities at fair value" in the consolidated
financial statements.
The increase in "Accruals, deferred income and sundry assets and liabilities",
was
€9.9 billion on the assets side (+6.9%) and €28.5 billion on the liabilities side
(+16.7%).
"Other assets" and "Other liabilities" which increased by €6 billion and €20.9
billion,
respectively, are mainly comprised of premiums on conditional derivative instruments,
sundry debtors and creditors and debts on securities borrowed.
Accrual and deferred income, mainly the fair value of the derivative instruments,
rose by €3.9 billion on the assets side and €7.5 billion on the liabilities side.
Provisions and
subordinated debt
Provisions were stable at €3.2 billion, and subordinated debt rose €0.8 billion
(+9.1%),
essentially on debt in euros (€0.6 billion rise).
Fixed assets
Non-current assets are stable at €6.7 billion. These break down into €6.4 billion
in equity investments and other long-term investment securities and €0.3 billion of
property, plant and equipment and intangible assets.
Accounts payable
by due date: Crédit Agricole CIB (S.A.)
Under article L. 441-6-1 of the French Commercial Code, companies whose parent
company
financial statements are certified by a Statutory Auditor are required to disclose
in their management report the net amounts due to supplier by due date, in accordance
with the terms and conditions set out in article D4 41-4 of Decree no. 2008-1492.
|
31.12.2019 |
31.12.2018 |
| € thousands |
≤ 30 days |
>30 days ≤ 60 days |
>60 days |
Total |
≤ 30 days |
>30 days ≤ 60 days |
| Accounts payable |
14,585 |
62 |
21 |
14,669 |
7,676 |
10,569 |
|
31.12.2018 |
| € thousands |
>60 days |
Total |
| Accounts payable |
(132) |
18,113 |
The median payment period for accounts payable at Crédit Agricole CIB is 31 days.
Crédit Agricole CIB had outstanding payables of €14.7 million at 31 December 2019,
compared with €18.1 million at 31 December 2018.
Information on
payment delays by Crédit Agricole CIB suppliers
► Invoices received
with late payment from Crédit Agricole CIB Paris' suppliers
|
31.12.2019 |
| € thousands |
0 day |
≥ 1 day ≤ 30 days |
>30 days ≤ 60 days |
>60 days ≤ 90 days |
>90 days |
Total (1 day and more) |
| Number of invoices concerned |
21,812 |
7,694 |
2,182 |
932 |
1,510 |
12,318 |
| Aggregate amount of the invoices concerned excl. VAT |
467,881 |
258,345 |
89,097 |
39,200 |
30,717 |
414,359 |
| Percentage of the total amount of invoices received during
the year, excl. VAT |
53.03% |
29.28% |
10.10% |
4.10% |
3.48% |
|
► Invoices received
and not paid at the closing date whose payment term has expired
|
31.12.2019 |
| € thousands |
0 day |
≥ 1 day ≤ 30 days |
>30 days ≤ 60 days |
>60 days ≤ 90 days |
>90 days |
Total (1 day and more) |
| Number of invoices concerned |
900 |
63 |
13 |
|
7 |
83 |
| Aggregate amount of the invoices concerned excl. VAT |
8,815 |
589 |
52 |
|
18 |
659 |
| Percentage of the total amount of invoices received during
the year, excl. VAT |
93.05% |
6.21% |
0.55% |
|
0.19% |
|
Accounts receivable
information
Compliance with the contractual terms and conditions of accounts receivable is
monitored
as part of the bank's risk management loans and receivable due from customers are
detailed in note 3.1 of the parent company financial statement.
Informations on
inactiv bank accounts
Under Articles L. 312-19 and L. 312.20 of the French Monetary and Financial Code,
issued by the Law No 2014-617 of 13 June 2014 relative to unclaimed assets on inactive
bank accounts, named Law Eckert which came into force on 1 January 2016, every credit
institution is required to publish annual information on inactive bank accounts. At
end 2019, Crédit Agricole CIB S.A. recorded 104 inactive bank accounts for a total
amount estimated at €19,592,740.95.
At the end of the 2019 financial year a total amount of €430.94 was transferred
to
the Caisse des Dépôts et Consignations related to one identified inactive bank account
in Crédit Agricole CIB books.
2.2 CONDENSED
INCOME STATEMENT OF CRÉDIT AGRICOLE CIB (S.A.)
| € million |
31.12.2019 |
31.12.2018 |
| Net Banking Income |
3,944 |
3,814 |
| Operating expenses |
(2,558) |
(2,447) |
| Gross operating income |
1,386 |
1,367 |
| Cost of risk |
(352) |
195 |
| Net Operating Income |
1,034 |
1,562 |
| Net gain/(loss) on fixed assets |
728 |
20 |
| Pre-tax income |
1,762 |
1,582 |
| Corporate income tax |
(433) |
(415) |
| Net allocation to FGBR and regulated provisions |
|
105 |
| Net income |
1,329 |
1,272 |
Net banking income for the 2019 financial year reached +€3.9 billion, €130 million
higher than at 31 December 2018.
General operating expenses, excluding amortisation and provisions, increased by
€110
million (+4.5%).
In view of these factors, gross operating income increased by €20 million, to €1.4
billion at 31 December 2019.
The cost of risk was -€352 million in 2019 compared to +€195 million in 2018.
Net income on fixed assets was €728 million in FY 2019. The net income of €705
million
was mainly comprised of gains on disposals of Banque SAUDI FRANSI securities.
100% owned by Crédit Agricole S.A. (CASA), whether directly or indirectly, Crédit
Agricole CIB (CACIB) is part of the tax consolidation group constituted by CASA and
is head of the CACIB tax sub-group constituted with the member subsidiaries of the
tax consolidation group.
The "income tax charge" for 2019 was €433 million.
Crédit Agricole CIB (S.A.) recorded net income of +€1.33 billion in 2019, compared
to +€1.27 billion in 2018.
2.3 FIVE-YEAR
FINANCIAL SUMMARY
| Items |
2015 |
2016 |
2017 |
| Share capital at year-end (€) |
EUR |
7,327,121,031 |
EUR |
7,851,636,342 |
EUR |
7,851,636,342 |
| Number of shares issued |
|
271,374,853 |
|
290,801,346 |
|
290,801,346 |
| Total results of realized transactions (in € million) |
|
|
|
|
|
|
| Gross revenue (excl.Tax) |
EUR |
7,808 |
EUR |
7,306 |
EUR |
9,470 |
| Profit before tax, amortization and reserves |
EUR |
770 |
EUR |
1,223 |
EUR |
3,017 |
| Corporate income tax |
EUR |
(45) |
EUR |
281 |
EUR |
(514) |
| Profit after tax, amortization and reserves |
EUR |
434 |
EUR |
682 |
EUR |
2,613 |
| Amount of dividends paid |
EUR |
899 |
EUR |
983 |
EUR |
1,236 |
| Earning per share (€) |
|
|
|
|
|
|
| Profit after tax, before amortization and reserves |
|
1 2,70
|
|
2 5,34
|
|
3 10,38
|
| Profit after tax, amortization and reserves |
|
1 1,62
|
|
2 2,42
|
|
3 8,98
|
| Dividend per share |
EUR |
3,34 |
EUR |
3,38 |
EUR |
4,25 |
| Staff |
|
|
|
|
|
|
| Number of employees |
|
6 6,222
|
|
6 6,473
|
|
6 6,768
|
| Wages and salaries paid during the financial year (in
€ million) |
EUR |
961 |
EUR |
1,000 |
EUR |
1,014 |
| Employee benefits and social contributions (in € million) |
EUR |
283 |
EUR |
304 |
EUR |
323 |
| Payroll taxes (in € million) |
EUR |
39 |
EUR |
34 |
EUR |
39 |
| Items |
2018 |
2019 |
| Share capital at year-end (€) |
EUR |
7,851,636,342 |
EUR |
7,851,636,342 |
| Number of shares issued |
|
290,801,346 |
|
290,801,346 |
| Total results of realized transactions (in € million) |
|
|
|
|
| Gross revenue (excl.Tax) |
EUR |
11,138 |
EUR |
12,554 |
| Profit before tax, amortization and reserves |
EUR |
1,004 |
EUR |
1,895 |
| Corporate income tax |
EUR |
(415) |
EUR |
(433) |
| Profit after tax, amortization and reserves |
EUR |
1,272 |
EUR |
1,329 |
| Amount of dividends paid |
EUR |
489 |
EUR |
445 |
| Earning per share (€) |
|
|
|
|
| Profit after tax, before amortization and reserves |
|
4 2,72
|
|
5 5,66
|
| Profit after tax, amortization and reserves |
|
4 4,37
|
|
5 4,57
|
| Dividend per share |
EUR |
1,68 |
EUR |
1,53 |
| Staff |
|
|
|
|
| Number of employees |
|
6 7,371
|
|
6 7,410
|
| Wages and salaries paid during the financial year (in
€ million) |
EUR |
1,037 |
EUR |
1,081 |
| Employee benefits and social contributions (in € million) |
EUR |
347 |
EUR |
338 |
| Payroll taxes (in € million) |
EUR |
42 |
EUR |
41 |
1
Calculation based on the weighted average number of ordinary shares outstanding during
the period, i.e. 268,791,031 securities.
2
Calculation based on the weighted average number of ordinary shares outstanding during
the period, i.e. 281,517,355 securities.
3
Calculation based on the number of shares issued excluding treasury stock at the
end of the 2017 financial year, i.e. 290,801,346 securities.
4
Calculation based on the number of shares issued excluding treasury stock at the
end of the 2018 financial year, i.e. 290,801,346 securities.
5
Calculation based on the number of shares issued excluding treasury stock at the
end of the 2019 financial year, i.e. 290,801,346 securities.
6
Average number of employees.
2.4 RECENT CHANGES
IN SHARE CAPITAL
The table below shows changes in Crédit Agricole CIB's share capital over the last
five years.
| Date and type of transaction |
Amount of share capital (€)
|
Number of shares |
| Share capital at 31.12.2015 |
7,327,121,031 |
271,374,853 |
| 27/05/2016 |
|
|
| Capital increase by the issue of shares for cash |
52,236,414 |
1,934,682 |
| 27/06/2016 |
|
|
| Capital increase by partial payment of the dividend in
shares |
472,278,897 |
17,491,811 |
| Share capital at 31.12.2016 |
7,851,636,342 |
290,801,346 |
| Share capital at 31.12.2017 |
7,851,636,342 |
290,801,346 |
| Share capital at 31.12.2018 |
7,851,636,342 |
290,801,346 |
| Share capital at 31.12.2019 |
7,851,636,342 |
290,801,346 |
2.5 INFORMATION
ON CORPORATE OFFICERS
Disclosures relating to the compensation, terms of office and functions of corporate
officers pursuant to Article L. 225-37-2 of the French Commercial Code are provided
in the "Corporate Governance" section on pages 62 to 111.
Trading in the Company's shares by Corporate Officers: a paragraph concerning the
information that may be required under the terms of Article L. 621-18-2 of the French
Monetary and Financial Code and Article 223-26 of the General Regulations of the French
Financial Markets Authority (AMF) appears on page 101 and 102 of this Universal Registration
Document.
2.6 INFORMATION
RELATING TO THE ARTICLE L. 225-102-1 OF THE FRENCH COMMERCIAL CODE
(CODE DE COMMERCE) DEALING WITH THE GROUP'S SOCIOENVIRONMENTAL IMPLICATIONS
Economic, social and environmental information of Crédit Agricole CIB group are
presented
in Chapter 2 of this Universal Registration Document.
5 RISKS AND PILLAR
3
2018-2019
REGULATORY VaR OF CRÉDIT AGRICOLE CIB € MILLION
CHANGES IN RISK-WEIGHTED
ASSETS FULLY LOADED BASEL III
15.6% FULLY
LOADED TIER 1 RATIO
3.56% LEVERAGE
RATIO
12.1% FULLY
LOADED CET1 RATIO
REGULATORY RATIO
IN 2019
1. RISK FACTORS
This part of the Universal Registration Document sets out the main types of risks
to which Crédit Agricole CIB is exposed, as well as certain risks related to holding
Crédit Agricole CIB securities. Other parts of this chapter discuss Crédit Agricole
CIB 's risk appetite and the policies employed to manage these risks. The information
on the management of Crédit Agricole CIB 's risks is presented in accordance with
IFRS 7, relating to disclosures on financial instruments.
The main types of risks specific to Crédit Agricole CIB's activity are presented
below
and are expressed through risk-weighted assets or other indicators when risk-weighted
assets are not appropriate. Risks specific to Crédit Agricole CIB 's business are
presented in this section under the following categories: (i) credit risks and counterparty
risks, (ii) financial risks, (iii) operational risks and associated risks,(iv) risks
related to the environment in which Crédit Agricole CIB operates and related to strategy,
and (v) risks related to the affiliation mechanism to Crédit Agricole network.
Within each of the five categories, the risks that Crédit Agricole CIB currently
considers
to be most significant, based on an assessment of likelihood of occurrence and potential
impact, are presented first. However, even a risk that is currently considered to
be less important could have a significant impact on Crédit Agricole CIB if it were
to materialise in the future.
1. CREDIT AND
COUNTERPARTY RISKS
♦ A - Crédit Agricole
CIB is exposed to the credit risk of its counterparties
Credit risk is defined as the probability that borrowers or counterparties will
default
on their obligations to the bank in accordance with agreed terms. The assessment of
the probability of default and the recovery rate of a loan or receivable in the event
of default is an essential element in the assessment of credit quality.
The risk of insolvency of its customers and counterparties is one of the main risks
to which Crédit Agricole CIB is exposed. Credit risk impacts Crédit Agricole CIB 's
consolidated financial statements when counterparties are unable to honour their obligations
and when the carrying amount of these obligations in the bank's records is positive.
Counterparties may be banks, financial institutions, industrial or commercial enterprises,
governments and their various entities, investment funds. The level of counterparty
defaults may increase compared to recent historically low levels; Crédit Agricole
CIB may be required to record significant charges and provisions for possible bad
and doubtful loans, affecting its profitability.
Crédit Agricole CIB seeks to reduce its exposure to credit risk by using risk mitigation
techniques such as collateralisation, obtaining guarantees, entering into credit derivatives
and entering into netting contracts. Only a portion of Crédit Agricole CIB's overall
credit risk is covered by these techniques. Accordingly, Crédit Agricole CIB has significant
exposure to the risk of counterparty default.
As at 31 December 2019, the amounts of risk-weighted assets (RWA) related to credit
risks, except those related to securitization (covered in §C), was of €66.2 billion,
equal to 55% of total risk-weighted assets.
[ Please refer to paragraph 3.4.1.1 of Chapter 5 (Risk-weighted assets by type
of
risks) on page 211 of the 2019 Universal Registration Document.]
♦ B- Crédit Agricole
CIB is exposed to the counterparty risk in connection with its
market activities
Counterparty risk is the manifestation of credit risk in connection with market
transactions,
investments and/or settlements. In connection with its trading activities, Crédit
Agricole CIB is at risk in case a counterparty fails to perform its obligation to
settle trades. While Crédit Agricole CIB often obtains collateral or uses setoff rights
to address these risks, these may not be sufficient to protect it fully, and Crédit
Agricole CIB may suffer significant losses as a result of defaults by major counterparties.
The amount of this risk varies over time with changes in market parameters affecting
the potential future value of the transactions concerned. RWAs related to this risk
amounted to €17 billion as at 31 December 2019.
[ Please refer to paragraph 3.4.1.1 of Chapter 5 (Risk-weighted assets by type
of
risks) on page 211 of the 2019 Universal Registration Document.]
♦ C - Crédit Agricole
CIB is exposed to the credit risk in connection with its securitization
transactions in the banking book
Crédit Agricole CIB is exposed to the credit risk in connection with its securitization
transactions on behalf of clients. Crédit Agricole CIB (through Global Markets Division)
acts as originator and sponsor for its Corporate or Financial institutions clients.
RWAs related to this risk amounted to €7.3 billion as at 31 December 2019.
[ Please refer to paragraph 3.4.1.1 of Chapter 5 (Risk-weighted assets by type
of
risks) on page 211 of the 2019 Universal Registration Document;]
♦ D - Any significant
increase in provisions for loan losses or changes in Crédit
Agricole CIB's estimate of the risk of loss in its loan and receivables portfolio
could adversely affect its results of operations and financial position
In connection with its lending activities, Crédit Agricole CIB periodically recognises
doubtful loan expenses, whenever necessary, to reflect actual or potential losses
in respect of its loan and receivables portfolio, which are recognised in profit or
loss account under "cost of risk". Crédit Agricole CIB's cost of risk amounted for
2019 to -€165 million. Crédit Agricole CIB's overall level of such asset impairment
provisions is based upon its assessment of prior loss experience, the volume and type
of lending being conducted, industry standards, economic conditions and other factors
related to the recoverability of various loans, or scenario-based statistical methods
applicable collectively to all relevant assets. Crédit Agricole CIB seeks to establish
an appropriate level of provisions, however its lending businesses may cause it to
have to increase its provisions for doubtful loans in the future as a result of increases
in non-performing assets or for other reasons, such as deteriorating market conditions
or factors affecting particular industries (see §E for Corporate, §F for financial
institutions), sectors (see §G) and countries (see §H). Any significant increase in
provisions for doubtful loans or a significant change in Crédit Agricole CIB's estimate
of the risk of loss inherent in its portfolio of non-impaired loans, as well as the
occurrence of loan losses in excess of the charges recorded with respect thereto,
could have an adverse effect on Crédit Agricole CIB's results of operations and financial
position.
Crédit Agricole CIB's net values amounted to €503 billion as at 31 December 2019.
[ Please refer to paragraph 3.4.2.1.3 (Table CR1-A) on page 221 of Pillar 3 of
Crédit
Agricole CIB at end 2019.]
♦ E - A deterioration
in the quality of corporate could adversely impact Crédit Agricole
CIB's results of operations
The credit quality of corporate borrowers could experience a deterioration, primarily
from increased economic uncertainty and, in certain sectors, the risks associated
with trade policies of major economic powers. The risks could be exacerbated by the
recent practice by which lending institutions have reduced the level of covenant protection
in their loan documentation, making it more difficult for lenders to intervene at
an early stage to protect assets and limit the risk of non-payment. If a trend towards
deterioration in credit quality were to appear, Crédit Agricole CIB may be required
to record asset impairment charges or to write off the value of its corporate debt
portfolio, which would in turn impact Crédit Agricole CIB 's profitability and financial
position.
As at 31 December 2019, Crédit Agricole CIB's net values to Corporates amounted
to
€297 billion (of which €4 billion in default) and provisioned for nearly €2.6 billion.
[ Please refer to paragraph 3.4.2.1.3 (Table CR1-A) on page 221 of Pillar 3 of
Crédit
Agricole CIB at end 2019.]
♦ F - The soundness
and conduct of other financial institutions and market participants
could adversely affect Crédit Agricole CIB
Crédit Agricole CIB's ability to engage in financing, investment and derivative
transactions
could be adversely affected by the soundness of other financial institutions or market
participants. Financial services institutions are interrelated as a result of trading,
clearing, counterparty, funding or other relationships. As a result, defaults by,
or even rumours or questions about, one or more financial services institutions, or
the loss of confidence in the financial services industry generally, may lead to market-wide
liquidity contractions and could lead to further losses or defaults. Crédit Agricole
CIB has exposure to many counterparties in the financial industry, including brokers
and dealers, commercial banks, investment banks, mutual and hedge funds, and other
institutional customers with which it regularly executes transactions. Many of these
transactions expose Crédit Agricole CIB to credit risk in the event of default or
financial distress. In addition, Crédit Agricole CIB's credit risk may be exacerbated
when the collateral held by Crédit Agricole CIB cannot be disposed of or is liquidated
at prices not sufficient to recover the full amount of the loan or derivative exposure
due to it.
As at 31 December 2019, the total amount of Crédit Agricole CIB's net values to
institutions
counterparties was €90 billion, of which €420 million in default and provisioned for
€397 million.
[ Please refer to paragraph 3.4.2.1.3 (Table CR1-A) on page 221 of Pillar 3 of
Crédit
Agricole CIB at end 2019.]
♦ G - Crédit Agricole
CIB may be adversely affected by events impacting sectors to
which it has significant exposure
Crédit Agricole CIB's exposures are very diversified thanks to its corporate and
investment
banking activities. However, Crédit Agricole CIB is subject to the risk that certain
events may have a disproportionately large impact on a particular industrial sector
to which it is significantly exposed. For example, energy sector borrowers are subject
to risks relating to volatility in energy prices. As at 31 December 2019, the three
major sectors of the Bank's exposure were Finance and insurance sector excluding central
governments and central banks with €143 billion accounting for 28% of total exposures,
manufacturing sector with €68 billion representing 14% of total exposures and transport
and storage sector with €32 billion accounting for 6% of the total exposures.
[ Please refer to paragraph 3.4.2.1.3 (Table CRB-D) on page 219 of Pillar 3 of
Crédit
Agricole CIB at end 2019.]
♦ H - Crédit Agricole
CIB is exposed to country risk and may be vulnerable to concentrated
counterparty risk in certain countries where it operates
Crédit Agricole CIB is specifically exposed in absolute value to the country risk
for France, the United States and Japan. Considering all sectors, Crédit Agricole
CIB's exposures amounted respectively to €147 billion, €63 billion and €46 billion,
accounting respectively for 29%, 13% and 9% of the total exposures.
Crédit Agricole CIB is subject to country risk, meaning the risk that economic,
financial,
political or social conditions in a given country in which it operates will affect
its financial interests. Crédit Agricole CIB monitors country risk and takes it into
account in the fair value adjustments and cost of risk recorded in its financial statements.
However, a significant change in political or macroeconomic environments may require
it to record additional charges or to incur losses beyond the amounts previously written
down in its financial statements. In addition, Crédit Agricole CIB has significant
exposures in countries outside the OECD, which are subject to risks that include political
instability, unpredictable regulation and taxation, expropriation and other risks
that are less present in more developed economies.
[ Please refer to paragraph 3.4.2.1.3 (Table CR1-C) on page 222 of Pillar 3 of
Crédit
Agricole CIB at end 2019.]
2. FINANCIAL RISKS
Financial risks cover essentially liquidity risk, market risk, foreign-exchange
risk,
risk of holding equities, issuer's risk and global interest rate risk.
♦ A - Crédit Agricole
CIB could face liquidity risks
Liquidity risk is the risk that the bank may not be able to honour its commitments
or unwind or offset a position within a given period of time and at a reasonable cost,
due to market conditions or factors specific to the bank. It reflects the risk of
not being able to meet net cash outflows, including those related to collateral requirements,
over all horizons from short to long term. This specific risk can be assessed in particular
through Liquidity Coverage Ratio - LCR, which analyses the coverage of net cash outflows
in a 30-day stress scenario.
The Group primary objective in managing liquidity is to ensure that it has sufficient
resources to meet its requirements in the event of any type of severe, prolonged liquidity
crisis. As at 31 December 2019, Crédit Agricole CIB's LCR (the prudential ratio to
ensure the short-term resilience of the liquidity risk profile) was 119% greater than
the regulatory minimum of 100%, and greater than the goal of 110% under the medium-term
Plan.
In some of Crédit Agricole CIB's business activities, notably its market activities,
it is possible that protracted market movements, particularly asset price declines,
reduce the level of activity in the market or reduce market liquidity. Such developments
can lead to material losses if Crédit Agricole CIB cannot close out deteriorating
positions in a timely manner. This may especially be the case of assets held by Crédit
Agricole CIB that are not very liquid to begin with. Assets that are not traded on
stock exchanges or other public trading markets, such as derivatives contracts between
banks, may have values that Crédit Agricole CIB calculates using models other than
publicly-quoted prices. Monitoring the deterioration of prices of assets like these
is difficult and could lead to losses that Crédit Agricole CIB did not anticipate.
♦ B - Crédit Agricole
CIB is exposed to risks associated with changes in market prices
and volatility with respect to a wide number of market parameters
Market risk is the risk of loss of value caused by an unfavourable change in prices
or market parameters. Market parameters include, but are not limited to, exchange
rates, prices of marketable securities and commodities (whether the price is directly
quoted or obtained by reference to a similar asset), the price of derivatives on a
regulated market, as well as all parameters that may be derived from market quotations
such as interest rates, credit spreads, volatilities or implied correlations or other
similar parameters.
Crédit Agricole CIB's businesses are materially affected by conditions in the financial
markets, which in turn are impacted by current and anticipated future economic conditions
in France, Europe and in the other regions around the world where Crédit Agricole
CIB operates. Adverse changes in market, economic or geopolitical conditions could
create a challenging operating environment for financial institutions. In particular,
the risks to which Crédit Agricole CIB is therefore highly exposed include fluctuations
in interest rates, security prices, foreign exchange rates, the specific yield premium
on a bond issue and the prices of oil, precious metals and other commodities.
Risk-weighted assets specific to this risk amounted to €8.2 billion as at 31 December
2019.
Crédit Agricole CIB uses a "Value at Risk" (VaR) model to quantify its exposure
to
potential losses related to market risks. VaR of Crédit Agricole CIB as at 31 December
2019 was €10 million.
It also carries out stress tests in order to quantify its potential exposure in
extreme
scenarios, as described and quantified in paragraph 2.5.2 Market risk measurement
and management methodology in Chapter 5 (Risks and Pillar 3) on pages 169-174 of the
2019 Universal Registration Document. However, these techniques rely on statistical
methodologies based on historical observations, which may turn out to be unreliable
indicators of future market conditions. Accordingly, Crédit Agricole CIB's exposure
to market risk in extreme scenarios could be greater than the exposures predicted
by its quantification techniques.
[ Please refer to paragraph 3.4.1.1 of Chapter 5 (Risk-weighted assets by type
of
risks) on page 211 of the 2019 Universal Registration Document] and to paragraph 2.5.2
Market risk measurement and management methodology in Chapter 5 (Risks and Pillar
3) on pages 169 to 174 for quantitative information on VaR of the 2019 Universal Registration
Document.]
♦ C - Any significant
change in foreign exchange rate could adversely affect Crédit
Agricole CIB's consolidated revenues or profitability
The foreign exchange risk is the financial risk associated with an unfavourable
change
in exchange rates on the foreign exchange market. The Group's structural foreign exchange
risk results from its other than temporary investments in assets denominated in foreign
currencies, mainly the equity of its foreign operating entities, whether they result
from acquisitions, transfers of funds from head office or the capitalisation of local
earnings. These positions are not fully covered. The Group's policy for managing structural
foreign exchange positions aims at achieving two main goals: i/ regulatory (by way
of exception) to protect the Group's solvency ratio against currency fluctuations;
ii/ proprietary interests, to reduce the risk of loss of value for the assets under
consideration. The unhedged part is subject to structural foreign exchange risk.
Any unfavourable change in exchange rates will affect unhedged assets value and
may
deteriorate Crédit Agricole CIB's profitability.
♦ D - Crédit Agricole
CIB may suffer losses in connection with strategic holdings
and long term holdings equity
Equity securities held by Crédit Agricole CIB could decline in value, causing losses
for Crédit Agricole CIB, requiring to record fair value adjustments or recognise asset
impairment charges in its consolidated financial statements, which could negatively
impact its results of operations and financial position. Crédit Agricole CIB's degree
of control may be limited, and any disagreement with other shareholders or with management
may adversely impact the ability of Crédit Agricole CIB to influence the policies
of the relevant entity.
As at 31 December 2019, the prudential value of Crédit Agricole CIB's long term
holdings
of equities was around €1.1 billion, of which Bank Saudi Fransi and Crédit Agricole
Egypt.
♦ E - Adjustments
to the carrying amount of Crédit Agricole CIB's securities and derivatives
portfolios and Crédit Agricole CIB's own debt could have an impact on its net income
and shareholders' equity
The carrying amount of Crédit Agricole CIB's securities and derivatives portfolios
and certain other assets, as well as that of its own debt, in its balance sheet are
adjusted as at each financial statement date. Most of the adjustments are made on
the basis of changes in fair value of the assets or liabilities of Crédit Agricole
CIB during an accounting period, with the changes recorded either in the income statement
or directly in shareholders' equity. The fact that fair value adjustments are recognised
in one accounting period does not mean that further adjustments will not be necessary
in subsequent periods.
As at 31 December 2019, the gross outstanding debt securities held by Crédit Agricole
CIB were close to €37 billion. Accumulated impairments and reserves and negative fair
value adjustments due to credit risk were €38 million.
[ Please refer to paragraph 3.4.2.1.4 (Default exposure and carrying amount adjustments)
Table CR1-E of Chapter 5 (Risks and Pillar 3) on page 221 of the 2019 Universal Registration
Document for quantitative information on the carrying amount adjustments undertaken
by Crédit Agricole CIB.]
♦ F - Any significant
change in interest rate could adversely affect Crédit Agricole
CIB's consolidated revenues or profitability
Global interest rate risk or interest rate risk on the banking book of a financial
institution is the risk incurred when a change in interest rates occurs, as a result
of all balance sheet and off-balance sheet transactions, except transactions subject
to market risk.
Crédit Agricole CIB's exposure to overall interest rate risk on customer transactions
is limited given the major part of loans and deposits being at variable rates.
The interest rate risk mainly comes from capital, investments, modelling of current
accounts and from maturities below one year of the banking book's Treasury activities.
The Group is mainly exposed to the Euro zone and, to a lesser extent US Dollar,
interest
rate variation.
3. OPERATIONAL
RISKS AND ASSOCIATED RISKS
Operational risk is the risk of loss resulting from faulty or inadequate internal
processes (particularly those involving staff and IT systems) or from external events,
whether deliberate, accidental or natural (floods, fires, earthquakes, terrorist attacks,
etc.). Operational risk includes fraud, human resource risks, legal and reputational
risks, compliance risks, tax risks, information systems risks, providing of inappropriate
financial services (conduct risk), risks of failure of business processes including
credit processes, or the use of a model (model risk), as well as potential financial
consequences related to the management of reputational risk. Risk-weighted assets
specific to this risk amounted to €21.2 billion as at 31 December 2019.
Over the period 2017 to 2019, Crédit Agricole CIB 's operational risk incidents
were
divided as follows: the "Execution, delivery and process management" category represents
50% of the operational loss, the "customers, products, commercial practices" category
represents 22% of the operational loss, and the "internal fraud" category accounts
for 18% of the operational loss. Other operational risk incidents can be broken down
into employment and safety practice (7%), external fraud (2%), and business disruptions
and system failures (1%).
[ Please refer to paragraph 3.4.1.1 of Chapter 5 (Risk-weighted assets by type
of
risks) on page 211 of the 2019 Universal Registration Document as well as paragraph
2.7 of the "Risk management" section in Chapter 5 (Risk and Pillar 3) on page 179
of 2019 Universal Registration Document.]
♦ A - Crédit Agricole
CIB is exposed to risks related to the security and reliability
of its information systems and those of third parties
Crédit Agricole CIB is subject to cyber risk, which is the risk caused by a malicious
and/or fraudulent act, perpetrated digitally in an effort to manipulate data (personal,
banking/ insurance, technical or strategic data), processes and users, with the aim
of causing material losses to companies, their employees, partners and customers.
Cyber risk has become a top priority in the field of operational risks. A company's
data assets are exposed to new, complex and evolving threats which could have material
financial and reputational impacts on all companies, and specifically on banking institutions.
Given the increasing sophistication of criminal enterprises behind cyber-attacks,
regulatory and supervisory authorities have begun highlighting the importance of risk
management in this area.
As with most other banks, Crédit Agricole CIB relies heavily on communications
and
information systems throughout the Group to conduct its business. Any failure or interruption
or breach in security of these systems could result in failures or interruptions in
its customer relationship management, general ledger, deposit, servicing and/or loan
organisation systems. If, for example, Crédit Agricole CIB's information systems failed,
even for a short period of time, it would be unable to serve in a timely manner certain
customers' needs and could thus lose business opportunities. Likewise, a temporary
shutdown of the information systems of Crédit Agricole CIB, even though it has back-up
recovery systems and contingency plans, could result in considerable costs required
for information retrieval and verification. Crédit Agricole CIB cannot provide assurances
that such failures or interruptions will not occur or, if they do occur, that they
will be adequately addressed. The occurrence of any failures or interruptions could
have an adverse effect on its financial position and results of operations.
Crédit Agricole CIB is also exposed to the risk of an operational failure or interruption
of one of its clearing agents, foreign exchange markets, clearing houses, custodians
or other financial intermediaries or external service providers that it uses to execute
or facilitate its securities transactions. As its interconnectivity with its customers
grows, Crédit Agricole CIB may also become increasingly exposed to the risk of operational
failure of its customers' information systems. Crédit Agricole CIB's communications
and information systems, and those of its customers, service providers and counterparties,
may also be subject to failures or interruptions resulting from cybercrime or cyber
terrorism. Crédit Agricole CIB cannot guarantee that failures or interruptions in
its systems or in those of other parties will not occur or, if they do occur, that
they will be adequately resolved. Over the period 2017 to 2019, operational losses
due to the risk of business disruptions and system failures accounted for 1% of operational
losses.
♦ B - Crédit Agricole
CIB is exposed to the credit risk of fraud
The mission of the Compliance function is to protect the bank, its employees and
its
customers, in particular by combating financial crime and more particularly by preventing
money laundering, terrorist financing and fraud.
The highest level of governance is invested in matters of combating financial crime.
In a context of increasing attempts at external fraud and of more complex operating
methods (notably via cybercrime), the main challenges now lie in the proactivity of
banking players. Fraud prevention thus aims to protect the interests of the Bank and
protect customers. The fraud prevention system has been deployed in all Crédit Agricole
CIB since 2018. An organization with a Compliance/Fraud and Corruption Prevention
business line in all Crédit Agricole Group's subsidiaries is in place. Actions have
been continued to control the risks of fraud in terms of steering the system, prevention
and detection. Tools have been deployed to combat fraud in means of payment and fraudulent
transfers. The awareness component is also essential to multiply vigilance measures.
Over the period 2017-2019, the breakdown of Crédit Agricole CIB's operational loss
due to fraud amounted to around 20% of the total operational losses.
♦ C - Crédit Agricole
CIB is exposed to the risk of paying higher compensation for
damages or fines as a result of legal, arbitration or regulatory proceedings
Crédit Agricole CIB has in the past been, and may in the future be, subject to
significant
legal proceedings (including class action lawsuits), arbitrations and regulatory proceedings.
When determined adversely to Crédit Agricole CIB, these proceedings can result in
awards of high damages, fines and penalties. Legal and regulatory proceedings to which
Crédit Agricole CIB has been subject involve issues such as collusion with respect
to the manipulation of market benchmarks, violation of international sanctions, inadequate
controls and other matters. While Crédit Agricole CIB in many cases has substantial
defences, even where the outcome of a legal or regulatory proceeding is ultimately
favourable, Crédit Agricole CIB may incur substantial costs and have to devote substantial
resources to defending its interests.
Organised as a business line, the Legal Affairs Department has two main objectives:
to control legal risk, which can give rise to disputes and liabilities, whether civil,
disciplinary or criminal, and to provide the legal support needed by entities to enable
them to carry out their activities. Crédit Agricole CIB had no costs for legal risk
for financial year 2019. Litigation provisions amounted to €389 million at end 2019.
[ Please refer to paragraph 2.8 (Legal risks) in Chapter 5 (Risks and Pillar 3)
on
pages 180-182 of the Universal Registration Document for further information concerning
ongoing legal, arbitration or administrative proceedings in which Crédit Agricole
CIB is involved, and to Note 6.15 Provisions of the consolidated financial statements
of Chapter 6 (consolidated financial statements) on pages 347-349 of the 2019 Universal
Registration Document for further information concerning ongoing legal, arbitration
or administrative proceedings in which Crédit Agricole CIB is involved.]
♦ D - The international
scope of Crédit Agricole CIB's operations exposes it to legal
and compliance risks
The international scope of Crédit Agricole CIB's operations exposes it to risks
inherent
in foreign operations, including the need to comply with multiple and often complex
laws and regulations applicable to activities in each of the countries where Crédit
Agricole CIB is active, such as local banking laws and regulations, internal control
and disclosure requirements, data privacy restrictions, European, U.S. and local anti-money
laundering and anti-corruption laws and regulations, international sanctions and other
rules and requirements. Violations of these laws and regulations could harm the reputation
of Crédit Agricole CIB, result in litigation, civil or criminal penalties, or otherwise
have a material adverse effect on its business.
To illustrate, in October 2015, Crédit Agricole CIB and its parent company Crédit
Agricole S.A. reached agreements with the US federal and New York State authorities
that had been conducting investigations regarding US dollar transactions with countries
subject to US economic sanctions. The events covered by this agreement took place
between 2003 and 2008. Crédit Agricole CIB and Crédit Agricole S.A., which cooperated
with the US federal and New York State authorities in connection with their investigations,
have agreed to pay a total penalty in the amount of $787.3 million (i.e. €692.7 million).
Despite the implementation and improvement of procedures designed to ensure compliance
with these laws and regulations, there can be no assurance that all employees or contractors
of Crédit Agricole CIB will follow its policies or that such programmes will be adequate
to prevent all violations. It cannot be excluded that transactions in violation of
Crédit Agricole CIB's policies may be identified, potentially resulting in penalties.
Crédit Agricole CIB furthermore does not have direct or indirect majority voting control
in certain entities with international operations, and in those cases its ability
to require compliance with its policies and procedures may be even more limited.
At end-2019, Crédit Agricole CIB had operations in 37 countries. This includes
the
parent entity, its subsidiaries and their branches. It does not include held-for-sale
and discontinued operations, nor any entities consolidated using the equity method.
Note that at end-2019, 66% of the net banking revenues (excluding intercompany accounting
elimination) of Crédit Agricole CIB came from its two main locations (France and Europe).
[Please refer to Chapter 6 (consolidated financial statements) on page 328 of the
2019 Universal Registration Document for quantitative information on the geographical
breakdown of the revenues of Crédit Agricole CIB.]
4. RISKS RELATING
TO THE ENVIRONMENT IN WHICH CREDIT AGRICOLE CIB OPERATES AND ITS
STRATEGY
♦ A - Adverse
economic and financial conditions have in the past had and may in the
future have an impact on Crédit Agricole CIB and the markets in which it operates
The businesses of Crédit Agricole CIB are specifically and significantly exposed
to
changes in the financial markets and to the development of the economic conditions
in France, Europe and the rest of the world. In the financial year ended 31 December
2019, 39% of Crédit Agricole CIB's revenues were generated in France, 28% in Europe,
34% in the rest of the world. A deterioration in economic conditions in the markets
where Crédit Agricole CIB operates could have one or several of the following impacts:
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adverse economic conditions would affect the business and operations
of customers
of Crédit Agricole CIB, which could decrease revenues and increase the rate of default
on loans and other receivables;
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| ― |
a decline in the prices of bonds, equities and commodities could
impact a significant
portion of the business of Crédit Agricole CIB, including in particular trading, investment
banking and asset management revenues;
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| ― |
macro-economic policies adopted in response to actual or anticipated
economic conditions
could have unintended effects, and are likely to impact market parameters such as
interest rates and foreign exchange rates, which in turn could affect the businesses
of Crédit Agricole CIB that are most exposed to market risk;
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perceived favourable economic conditions generally or in specific
business sectors
could result in asset price bubbles, which could in turn exacerbate the impact of
corrections when conditions become less favourable;
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| ― |
a significant economic disruption (such as the global financial
crisis of 2008 or
the European sovereign debt crisis of 2011) could have a severe impact on all of the
activities of Crédit Agricole CIB, particularly if the disruption is characterised
by an absence of market liquidity that makes it difficult to sell certain categories
of assets at their estimated market value or at all;
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In relation to this, in the current context of modest global growth and very accommodative
monetary policies, a deterioration in economic conditions would increase the difficulties
and failures of businesses and the unemployment rate could start rising again, increasing
the probability of customer default. The heightened uncertainty could have a strong
negative impact on the valuation of risky assets, on the currencies of countries in
difficulty, and on the price of commodities.
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The Covid-19 pandemic is expected to have significant negative
impacts on the world
economy, which would worsen if the pandemic were not contained quickly. It leads to
supply and demand shocks, resulting in a marked slowdown in activity, due to the impact
of containment measures on consumption and the distrust of economic agents, as well
as production difficulties, supply chain disruptions in some sectors; and slower investment.
The result would be a marked drop in growth, or even technical recessions in several
countries. These consequences would impact the activity of the counterparties of the
banks and, in turn, of the banks themselves. Crédit Agricole CIB, which announced
support measures for its corporate customers during the crisis, expects impacts on
its revenues, as well as on its cost of risk (taking into account in particular the
pro-cyclical effects of accounting rules), and therefore on its result. The extent
and duration of these impacts are impossible to determine at this stage.
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A deterioration in the global landscape, would lead to further
easing of monetary
policies, combined with higher risk aversion leading to prolonged maintenance of very
low interest rates, at least in the core countries (including Germany and France).
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The political and geopolitical context - more conflictual and
tenser - induces greater
uncertainty and increases the overall level of risk. This can lead, in the event of
rising tensions or the materialisation of latent risks, to some major market movements
and weigh on economies: trade war, Brexit, tensions in the Middle East, social or
political crises, around the world, etc.
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In Italy, a political crisis, against the backdrop of already
low growth and high
public debt, would have a negative impact on confidence and the economy, and could
also cause a rise in interest rates and in the cost of refinancing for the government
and the banks. It could also lead to losses on the sovereign portfolios of banks and
insurers.
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In France, there could also be a significant drop in confidence
in the event of a
more marked deterioration of the social context which could lead households to consume
less and save more as a precaution, and companies to delay investments, which could
be harmful to growth and to the quality of private debt, which has increased more
than in the rest of Europe.
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The very low level of interest rates leads investors, seeking
yield, to move towards
riskier assets; it leads to the formation of bubbles in financial assets and in certain
real estate markets. It also leads private customers and governments to go into debt
and debt levels are sometimes very high. This increases the risks in the event of
a market downturn.
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It is difficult to predict when economic or financial market downturns will occur,
and which markets will be most significantly impacted. If economic or market conditions
in France or elsewhere in Europe, or global markets more generally, were to deteriorate
or become significantly more volatile, Crédit Agricole CIB's operations could be disrupted,
and its business, results of operations and financial position could as a result experience
a material adverse effect.
♦ B - Crédit Agricole
CIB operates in a highly regulated environment, and its profitability
and financial position could be significantly impacted by ongoing legal and regulatory
changes
A variety of regulatory and supervisory regimes apply to Crédit Agricole CIB in
each
of the jurisdictions in which Crédit Agricole CIB operates.
To illustrate, such regulations pertain to, in particular:
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regulatory and supervisory requirements applicable to credit
institutions, including
prudential rules on capital adequacy and minimum capital and liquidity requirements,
risk diversification, governance, restrictions on the acquisition of holdings and
compensation (CRR and CRD4);
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rules applicable to banking turnaround and resolution (BRRD);
■ regulations governing
financial instruments (including Bonds), as well as rules relating to financial information,
disclosure and market abuse (MAR);
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| ― |
monetary, liquidity, interest rate and other policies of central
banks and regulatory
authorities;
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| ― |
regulations governing certain types of transactions and investments,
such as derivatives,
securities financing and money market funds (EMIR);
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| ― |
regulations of market infrastructures, such as trading platforms,
central counterparties,
central securities depositories and securities settlement systems;
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tax and accounting legislation, as well as rules and procedures
relating to internal
control, risk management and compliance;
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the regulations applicable to the disclosure of information relating
to sustainable
finance (with in particular the declaration of extra-financial performance).
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In addition, Crédit Agricole CIB is supervised by the ECB, and contributes to Crédit
Agricole Group recovery plan submitted each year, in accordance with applicable regulations.
Failure to comply with these regulations could have significant consequences for
Crédit
Agricole CIB: significant intervention by regulatory authorities and fines, international
sanctions, public reprimand, reputational damage, enforced suspension of operations
or, in extreme cases, withdrawal of authorisation to operate. In addition, regulatory
constraints could significantly limit the ability of Crédit Agricole CIB to expand
its business or to pursue certain existing activities.
Furthermore, some legal and regulatory measures have come into force in recent
years
or could be adopted or amended with a view to introducing or reinforcing a number
of changes, some permanent, in the global financial environment. While the objective
of these measures is to avoid a recurrence of the global financial crisis, the new
measures have changed substantially, and may continue to change, the environment in
which Crédit Agricole CIB and other financial institutions operate. The measures that
have been or may be adopted include more stringent capital and liquidity requirements
(particularly for large global institutions and groups such as Crédit Agricole S.A.),
tax on financial transactions, caps or tax on employee compensation over specified
levels, limits on the types of activities that commercial banks can undertake (particularly
proprietary trading and investment and ownership in private equity funds and hedge
funds), ring fencing requirements relating to certain activities, restrictions on
the types of entities permitted to conduct swaps activities, restrictions on certain
types of activities or financial products such as derivatives, mandatory write-downs
or conversions into equity of certain debt instruments, enhanced recovery and resolution
regimes, revised risk-weighting methodologies (particularly with respect to insurance
businesses), periodic stress testing and the creation of new and strengthened regulatory
bodies. Some of the new measures adopted after the financial crisis are expected to
be modified, impacting the predictability of the regulatory regimes to which Crédit
Agricole CIB is subject.
As a result of some of these measures, Crédit Agricole CIB was compelled to reduce
the size of certain of its activities in order to comply with the new requirements
created by them. These measures have also increased compliance costs and are likely
to continue to do so. In addition, some of these measures may also significantly increase
Crédit Agricole CIB's funding costs, particularly by requiring Crédit Agricole CIB
to increase the portion of its funding consisting of capital and subordinated debt,
which carry higher costs than senior debt instruments.
In addition, the general political environment has evolved unfavourably for banks
and the financial industry, resulting in additional pressure on legislative and regulatory
bodies to adopt more stringent regulatory measures, despite the fact that these measures
can have adverse consequences on lending and other financial activities, and on the
economy. Because of the continuing uncertainty regarding the new legal and regulatory
measures, it is not possible to predict what impact they will have on Crédit Agricole
CIB but it could be very material.
♦ C - Crédit Agricole
CIB may not achieve the targets set out in its medium-term Plan
On 6 June 2019, Crédit Agricole S.A. announced its mediumterm plan up to 2022 (the
"medium-term Plan").
On 11 December 2019, Crédit Agricole CIB detailed the MTP for its corporate and
investment
banking activities. 2022 MTP provides several initiatives, of which a distinctive
and profitable business model resulting from three major strategic choices (i) to
generate more revenues from Corporate than Financial Institutions, ii) with more Financing
activities than pure Capital Markets ones and iii) based on a strong and coordinated
international network, as well as being in line with the Crédit Agricole Group's Project
trajectory. 2022 MTP includes a number of financial targets relating to revenues,
expenses, net income and capital adequacy ratios. These financial targets were established
primarily for purposes of internal planning and allocation of resources, and are based
on a number of assumptions with regard to business and economic conditions. The financial
targets do not constitute projections or forecasts of anticipated results. The actual
results of Crédit Agricole CIB are likely to vary (and could vary significantly) from
these targets for a number of reasons, including the materialisation of one or more
of the risk factors described elsewhere in this section.
As an example, Crédit Agricole CIB plans, at the end of 2022, to achieve revenues
of around 5 billion euros, to have a cost of risk between 20 and 25 basis points,
RWA at a level of €123 billion. The plan's success depends on a very large number
of initiatives (some significant and modest in scope) within Crédit Agricole CIB.
The medium-term Plan also provides for significant investments, but if the objectives
of the plan are not met, the return on these investments will be less than expected.
If Crédit Agricole CIB fails to achieve the targets of its medium-term Plan, its financial
position and results of operations could be materially adversely affected.
♦ D - Crédit Agricole
CIB is subject to risks associated with climate change
While Crédit Agricole CIB's activities generally are not exposed directly to climate
change risks, Crédit Agricole CIB is subject to a number of indirect risks that could
have a significant impact. When Crédit Agricole CIB lends to businesses that conduct
activities that produce significant quantities of greenhouse gases, Crédit Agricole
CIB is subject to the risk that more stringent regulations or limitations on the borrower's
activities could have a material adverse impact on its credit quality, causing Crédit
Agricole CIB to suffer losses on its loan portfolio. Crédit Agricole CIB also conducts
activities relating to trading of emissions allowances and could suffer losses due
to adverse movements in prices for such allowances. As the transition to a more stringent
climate change environment accelerates, Crédit Agricole CIB will have to adapt its
activities appropriately in order to achieve its strategic objectives and to avoid
suffering losses.
With the medium-term Plan and its climate strategy, the Group is committed to completely
moving away from thermal coal by 2030, in the European Union and OECD countries, and
by 2040 in the rest of the world.
Crédit Agricole CIB has committed to finance one out of three renewable energy
projects;
to develop a range of green leasing products, double the size of the green loan portfolio
to €13 billion of outstanding loans; to strengthen the Green Liquidity factor. Attribution
of a transition rating to each large corporate customer is on the way and the integration
of ESG criteria in 100% of financing to large corporates and gradually to SMEs.
♦ E - Crédit Agricole
CIB along with its parent company Crédit Agricole S.A., must
maintain high credit ratings, or their business and profitability could be adversely
affected
Credit ratings have an important impact on the liquidity of Crédit Agricole CIB.
A
downgrade in credit ratings could adversely affect the liquidity and competitive position
of Crédit Agricole CIB, increase borrowing costs, limit access to the capital markets,
trigger obligations in Crédit Agricole CIB's hedged bond programme or under certain
bilateral provisions in some trading, derivative and collateralised financing contracts,
or adversely affect the market value of the bonds.
Crédit Agricole CIB's cost of obtaining long-term unsecured funding from market
investors,
is directly related to their credit spreads (the amount in excess of the interest
rate of government securities of the same maturity that is paid to debt investors),
which in turn depend to a certain extent on their credit ratings. Increases in credit
spreads can significantly increase Crédit Agricole CIB's cost of funding. Changes
in credit spreads are continuous, market-driven, and subject at times to unpredictable
and highly volatile movements. Credit spreads are also influenced by market perceptions
of Crédit Agricole CIB creditworthiness. In addition, credit spreads may be influenced
by movements in the acquisition cost of credit default swaps indexed to Crédit Agricole
CIB's debt securities, which are influenced both by the credit quality of those securities,
and by a number of market factors that are beyond the control of Crédit Agricole CIB.
The three rating agencies solicited by the Group found that the outlook is stable,
guaranteeing the stability of the Group's rating. To reiterate, the Group's ratings
according to Moody's, S&P Global Ratings and Fitch Ratings are Aa3, A+ and A+,
respectively.
5. RISKS RELATED
TO THE AFFILIATION MECHANISM TO CREDIT AGRICOLE NETWORK.
♦ A - If any member
of the Crédit Agricole Network encounters future financial difficulties,
Crédit Agricole S.A. would be required to mobilise the resources of the Crédit Agricole
Network (including its own resources) to support such member
Crédit Agricole S.A. is the central body of the Crédit Agricole Network, consisting
of Crédit Agricole S.A., the Regional Banks and the Local Banks, pursuant to Article
R. 512-18 of the French Monetary and Financial Code, as well as of the affiliate members
Crédit Agricole CIB and BforBank (the "Network").
Under the legal internal financial solidarity mechanism enshrined in Article L.
511-31
of the French Monetary and Financial Code (CMF), Crédit Agricole S.A. as the central
body must take all measures necessary to ensure the liquidity and solvency of each
institution member of the Network, as well as the Network as a whole. As a result,
each member of the Network benefits from and contributes to this internal financial
solidarity. The general provisions of the French Monetary and Financial Code are transposed
into internal provisions setting out the operational measures required for this legal
mechanism for internal financial solidarity. More specifically, they have established
a Fund for bank Liquidity and Solvency Risks (fonds pour risques bancaires de liquidité
et de solvabilité - FRBLS) designed to enable Crédit Agricole S.A. to fulfil its role
as central body by providing assistance to any Network member that may be experiencing
difficulties.
Although Crédit Agricole S.A. is not currently aware of circumstances likely to
require
recourse to the FRBLS to support a member of the Network, there can be no assurance
that it will not be necessary to use the Fund in future. In such a case, if the resources
of the FRBLS were to be insufficient, Crédit Agricole S.A., under its tasks as corporate
centre, will be required to make up the shortfall by mobilising its own resources
and, where appropriate, those of the other members of the Network, of which Crédit
Agricole CIB.
As a result of this obligation, if a member of the Network would face major financial
difficulties, the event underlying these financial difficulties could impact the financial
position of Crédit Agricole CIB and that of the other members of the Network that
are relied upon for support under the financial solidarity mechanism. In the extreme
case where this situation would result in commencing a resolution procedure for the
Group or the judicial liquidation of a member of the Network, the mobilisation of
the resources of Crédit Agricole S.A. and, as the case may be, of the other members
of the Network in support of the entity that initially suffered the financial difficulty,
could impact, first, the equity instruments in any type (CET1, AT1, Tier 2, including
Bonds) and, second, if the loss proved to be greater than the amount of the equity
instruments, the liabilities constituting commitments eligible for internal bail-out,
including non-preferred senior and preferred senior securities and other debt of similar
rank, in accordance with the terms and conditions provided for by law and applicable
contractual provisions. In such case, the bearers and creditors concerned could lose
all or part of their investment.
2. RISK MANAGEMENT
2.1 CONCISE STATEMENT
ON RISKS
Statement prepared in compliance with Article 435(1)(f) of Regulation (EU) No.
575/2013.
Crédit Agricole CIB has learned from the 2007/2008 crisis and has considerably
reduced
its risk appetite, primarily by suspending or cutting back on some of its market activities.
Its strategic guidelines and management and control systems have therefore been scaled
in such a way as to maintain a controlled risk profile which is adapted to well thought
out commercial ambitions, a still uncertain economic climate and greater regulation.
This model has proven its resilience since 2011 by generating sustainable profitability,
with recurring revenue, while retaining little exposure to market volatility. The
risk profile is low, as it is based on a conservative approach.
The Board of Directors approved Crédit Agricole CIB's risk appetite for the first
time on 30 July 2015. It is updated regularly and at least annually by the Board to
ensure that it remains consistent with the financial objectives of Crédit Agricole
CIB and that it reflects the regulatory constraints, in particular Pillar II. The
2019 risk appetite was approved by the Board on 11 February 2019.
2.1.1 Risk appetite
framework
CREDIT AGRICOLE
GROUP APPROACH AND RISK LEVELS
In accordance with the Group's approach, Crédit Agricole CIB expresses its risk
appetite
qualitatively as well as quantitatively based on key indicators, the most significant
of which are broken down into several risk levels:
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appetite is used for managing normal everyday risk. It is expressed
in budget targets
for solvency and liquidity, and in operational limits for market and counterparty
risks, any breach of which is immediately flagged up and then reported to Executive
Management for a decision, within the designated committees or bodies, depending on
the indicator;
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tolerance is used for exceptional management of an increased
level of risk. Any breach
of tolerance thresholds triggers an immediate report both to the Group Risk Management
Department (DRG) and to the Chairman of the CACIB Board of Directors Risk Committee,
which is then, if necessary, referred up to the Board of Directors;
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| ― |
capacity is the maximum risk that Crédit Agricole CIB could theoretically
take on
without infringing its operational or regulatory constraints.
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ROLE OF THE BOARD
OF DIRECTORS
Crédit Agricole CIB's risk appetite must be approved by its Board of Directors,
following
a proposal by Executive Management and after it has been examined by the Board of
Directors Risk Committee. Crédit Agricole CIB's risk profile is examined on a regular
basis (at least quarterly) by the Risk Committee and by the Board of Directors to
ensure that it is still compliant with the risk appetite which has been defined and,
where necessary, the risk appetite should be adjusted to be in keeping with changes
to the economic climate, regulatory constraints and with Crédit Agricole CIB's commercial
and financial goals.
RISK APPETITE,
SPECIFIC RISK STRATEGIES AND SECTOR POLICIES
Every business line, country or significant sector of the Bank defines periodically
a risk strategy that is specific to it and consistent with its financial objectives
and its competitive positioning. These risk strategies are approved by the Strategies
and Portfolios Committee (CSP) chaired by the Executive Management and, if necessary,
by the Group Risk Committee (CRG) chaired by the Executive Management of Crédit Agricole
S.A. for risk strategies which the shareholder wishes to authorise at its level, and
then lastly, in compliance with the Ministerial Order of 3 November 2014, by the Board
of Directors.
Crédit Agricole CIB has also introduced Corporate Social Responsibility (CSR) sector
policies in cooperation with the Group as a whole to manage the reputational risks
stemming from the social and environmental impacts of its activities. These policies
set out analysis criteria for these specific risks, which may cause Crédit Agricole
CIB not to complete a transaction which displays (or in some cases does not display)
certain (required or excluded) characteristics in certain sectors such as armaments,
nuclear or coal (see page 35). Much like the specific risk strategies, these sector
policies are approved by the Strategy and Portfolio Committee (CSP) and then by the
Board of Directors.
Ultimately, Crédit Agricole CIB's risk appetite therefore comprises the following
five components which form a coherent whole and incorporate the Bank's commercial
strategy:
i. the overall risk strategy;
ii. the dashboard of key indicators broken down into three risk levels, monitored
quarterly;
iii. this concise statement;
iv. the specific risk strategies (updated periodically);
v. the sector policies.
TYPES OF RISK:
OWN RISKS AND IMPOSED RISKS
In order to meet its commercial and financial goals, Crédit Agricole CIB selects
the
majority of its own risks: counterparty risks, market risks and liquidity risks are
taken on intentionally to generate income and profit. Therefore, Crédit Agricole CIB
defines its appetite by ensuring that risks are in proportion with its commercial
strategy and financial objectives, taking into account its previous performance, competitive
position and the current economic cycle, while ensuring that all regulatory requirements
(particularly those related to solvency and liquidity) are met.
Other risks such as operational and certain non-compliance risks are essentially
imposed,
although the implementation of protective measures and control systems helps to limit
these risks and their potential consequences. The Bank has no appetite for these risks.
The Bank's appetite is therefore expressed through certain control and watch list
indicators, whose purpose is to reduce the impact of these risks to a bare and tolerated
minimum.
2.1.2 Overall
risk profile at 31 December 2019
At 31 December 2019, the overall risk profile of CA-CIB for the risks listed below
was below the tolerance level approved by its Board of Directors
GLOBALLY MANAGED
RISKS: SOLVENCY AND LIQUIDITY
SOLVENCY
Key solvency risk indicators include:
| ― |
the Risk-Weighted Assets (RWA) calculated using regulatory methods;
|
| ― |
the economic capital originating from the "Internal Capital Adequacy
Assessment Process"
(ICAAP - see page 203).
|
The regulatory RWAs are used to calculate nearly all of Crédit Agricole CIB's risks:
credit risks, market risks and operational risks. This key indicator fully expresses
the overall quantity of risk that the Bank is willing to take on (appetite), does
not wish to exceed under any circumstances (tolerance), and the maximum risk in accordance
with the regulatory constraints (capacity).
At 31 December 2019, Crédit Agricole CIB's regulatory RWAs stood at €120.5 billion
(see page 197) and were below the Bank's tolerance threshold.
The internal economic capital requirements are calculated using stricter methodologies
than the regulatory approaches. This calculation considers risks not included in Pillar
1, and quantifies them using in-house methodologies. The internal economic capital
requirements of Crédit Agricole CIB are below its tolerance level.
LIQUIDITY
Key liquidity risk indicators include:
| ― |
resistance periods for short-term liquidity stress;
|
| ― |
the Stable Funding Position (PRS); and
|
| ― |
the Liquidity Coverage Ratio (LCR).
|
Short-term liquidity stress is applied based on crisis scenarios that Crédit Agricole
CIB believes that it could face should an event affect the Group (idiosyncratic crisis),
the whole of the inter-bank market (systemic crisis), or a combination of the two
(global crisis). The stable funding position, defined as a long-term surplus of resources
over long-term assets, aims to protect business lines from the consequences of market
stress. The LCR, however, requires the Bank to retain sufficient unencumbered High-Quality
Liquid Assets (HQLA) that can be converted into cash easily and immediately, on private
markets, assuming a liquidity crisis lasting 30 calendar days.
At 31 December 2019, all of these indicators were compliant with the Bank's tolerance
in this area. Note that the LCR percentage of 119% far exceeds the regulatory requirement
of 100%.
RISKS SPECIFICALLY
MANAGED WITHIN THE CORPORATE AND INVESTMENT BANKING (CIB) AND WEALTH
MANAGEMENT BUSINESS LINES
CREDIT
Crédit Agricole CIB's Corporate and Investment Banking is based on debt-related
business:
credit risk is therefore central to its activities and is by far the greatest risk.
Like Crédit Agricole CIB's competitors, CIB customers are often large multinationals
or major financial institutions which by their very nature, in addition to individual
creditworthiness issues, generate a concentration risk in this area. This risk should
however be put into perspective by viewing the Crédit Agricole Group as a whole. The
refocusing strategy applied since the financial crisis slightly reduced the number
of counterparties and geographical sites, and therefore resulted in a relative increase
in the portfolio concentration.
However, the Bank is still active in a large number of countries and economic sectors,
thus benefiting from the positive effect of sectoral and geographical diversification.
This effect is measured and monitored under ICAAP.
On the other hand, Crédit Agricole CIB's Wealth Management (WM) business line generates
few credit risks, as the majority of its services are Lombard loans which are secured
against collateral such as: cash, securities, life insurance contracts, etc.
Therefore, Crédit Agricole CIB's risk appetite is defined in accordance with four
key indicators:
| ― |
expected losses (EL) within one mid-cycle year for all of its
exposures using the
internal ratings-based approach (IRBA), with the exception of exposures at default
(separate thresholds for CIB and Wealth Management);
|
| ― |
unexpected losses due to the sudden and simultaneous default
of several investment
grade counterparties (CIB only);
|
| ― |
the "underwriting risk for corporate customers", whose thresholds
are defined according
to the credit quality of the borrower, which limits the temporary credit risk incurred
by CACIB for any corporate group during an underwriting transaction on debt instruments
(CIB only);
|
| ― |
the proportion of unsecured credit (Wealth Management only).
At 31 December 2019,
all four indicators were below the Bank's tolerance thresholds.
|
MARKET RISKS
A series of refocusing and adaptation plans have reduced Crédit Agricole CIB's
market
activity and the resulting risk. This redimensioning plan followed the response to
the financial crises of 2007/2008, and then 2011, and the choice to discontinue activities
which were deemed to be non-strategic or below their critical size. Crédit Agricole
CIB has put in place a resilient model based on a balanced business model in which
capital markets activities are part of the continuity of financing activities with
a diversified client portfolio. The Bank also suspended its ownaccount activities
and, under the French Banking Law (LBF), was not required to set up an ad-hoc subsidiary.
Finally, the Bank's Treasury Department is responsible for the sound and prudent management
of cash, as required under the LBF.
Crédit Agricole CIB has retained its appetite for market risks in its CIB activities,
when such risks are adopted by supplying corporate customers and financial institutions
with the investment products and services that they require (including some structured
products), and by assuming its role as a market maker for certain market segments
and instruments. Wealth Management on the other hand is only exposed to a very low
level of market risks.
Therefore, Crédit Agricole CIB's market risk appetite is defined in accordance
with
two key indicators:
| ― |
maximum one-day loss within a confidence interval of 99%, or
Value-at-Risk ("VaR"
see definition and calculation method on page 171); and
|
| ― |
adverse and extreme stress (see definition and calculation method
on page 172), to
understand maximum loss in theoretical extreme market conditions which systematically
contradict the Bank's positions.
|
At 31 December 2019, these indicators were below the Bank's tolerance threshold,
with
a VaR of €10 million (see page 172).
IMPOSED OPERATIONAL
RISKS
Crédit Agricole CIB's imposed operational risks are defined in accordance with
two
key indicators, while setting specific thresh olds for the CIB and Wealth Management
business lines:
| ― |
the share of the cost of operational risk in net income; and
|
| ― |
major operational risk incidents.
|
At 31 December 2019, these indicators were compliant with the Bank's operational
risk
tolerance.
LEGAL AND NON-COMPLIANCE
RISKS
Crédit Agricole CIB has no appetite for legal and non-compliance risks. However,
any
banking activity which generates income may lead to administrative or disciplinary
sanctions in the event of a failure to comply with the rules relating to this activity,
whether they be laws, regulations, professional or ethical standards, or even instructions
from the Bank's managers. Crédit Agricole CIB manages the non-compliance risk situations
inherent to income generation by measuring the proportion of activities performed:
| ― |
with the most risky customers from a financial security viewpoint;
|
| ― |
for the most complex products on the market.
|
Specific thresholds are set out for CIB and Wealth Management according to the
methods
they respectively use to classify financial security or suitability risks, and to
references appropriate to their business activities (commercial income or managed
assets).
At 31 December 2019, these indicators were below the tolerance thresholds.
REPUTATIONAL RISKS
At 31 December 2019, Crédit Agricole CIB was not exposed to any reputational risk
and was compliant with its CSR sector policies.
2.2 ORGANISATION
OF THE RISK FUNCTION
The Risk Management and Permanent Control (RPC) Department is in charge of the
supervision
and permanent control of risks across the whole Crédit Agricole CIB Group's scope
of internal control. It carries out second-level supervision and permanent control
of credit risks, market risks, country and portfolios risks, operational risks and
accounting risks.
The organisation of Crédit Agricole CIB's Risk Management and Permanent Control
function
is integrated into the Crédit Agricole S.A. Group's Risk Management and Permanent
Control business line.
Risk management is delegated to Crédit Agricole CIB under formally adopted subsidiarity
and delegation principles.
Within this framework, the RPC regularly reports its major risks to Crédit Agricole
S.A.'s Group Risk Management Department, and has Crédit Agricole S.A.'s Group Risk
Committee (CRG) approve those cases which exceed its authorised limits as well as
substantial risk strategies at the Crédit Agricole S.A. Group level.
2.2.1 Global organisation
The RPC is based on a global organisation with the following attributes:
all risk management tasks and business lines, whatever their nature or location,
are
grouped together within one division. This division has four decision-making and management
departments, each specialised in one business sector, and seven other cross functional
departments dedicated to supervision and control:
1. The specialised
decision-making and management departments for each business activity:
Markets: Market and Counterparty Risk (MCR);
Credit: Sectors, Corporates and Structured (SCS), Financial Institutions, Sovereigns
and Countries (FSP), Sensitive Cases and Impairment (ASD).
2. The cross-functional
departments dedicated to supervision and control:
| ― |
Supervision: Portfolio Models and Risk (MRP), Central Management
(MGC), Staff and
Risk Culture (EMC), Architecture and Project Management (APM);
|
| ― |
Control: Credit Administration and Monitoring (CAM), Operational
Risk Management (MRO),
and Validation of Regulatory Models on Market Activities (VRM);
|
| ― |
All of Crédit Agricole CIB's local and regional RPC managers
within the international
network report directly to the managers at the RPC head office;
|
| ― |
the operational risk managers at the Head Office report to the
Operational Risk Management
Department;
|
| ― |
Crédit Agricole CIB's head of Risk Management and Permanent Control
reports hierarchically
to Crédit Agricole S.A.'s head of Group Risks;
|
| ― |
Crédit Agricole CIB's head of Risk Management and Permanent Control
(who is a member
of the Executive Committee) reports functionally to Crédit Agricole CIB's Chief Executive
Officer.
|
2.2.2 Governance
and general management of activities
INFORMATION ON
THE CREDIT AGRICOLE CIB GOVERNANCE BODIES
The Risk Committee of the Board and the Crédit Agricole CIB Board of Directors
receives:
| ― |
on an annual basis, the Internal Control Report (formerly the
RACI) for the previous
year and the Half-Yearly Information on Internal Control (ISCI) as at 30 June of the
current year;
|
| ― |
a report on risk management and the main exposure areas each
quarter, and specific
reports as and when needed.
|
| ― |
On the advice of the Risk Committee, the Board approves the Bank's
risk appetite,
the stress test programme and the list of major risks, and, on a quarterly basis,
the risk strategies and policies decided by the CSP (Strategy and Portfolio Committee)
or the CRG (Group Risk Committee).
|
OVERALL MANAGEMENT
OF THE ACTIVITIES
DEFINITION OF
THE RISK PROFILE AND RISK STRATEGIES
A member of the Executive Management is at the head of the Strategy and Portfolio
Committee (CSP). Its main missions are:
| ― |
to ensure that the Bank's global strategy is consistent with
its capacity to take
risks, to set guidelines that will become specific operational rules, notably such
as risk strategies, and to work on alert and Business Watch topics;
|
| ― |
the CSP also oversees each location/country, each business line/major
sector within
a specific risk strategy, giving the main development guidelines for each business;
it also decides on the main risk budgets for the global portfolio.
|
DECISION-MAKING
PROCESS
The decision-making process within Crédit Agricole CIB is ensured by dedicated
committees:
| ― |
business and geographical committees are in charge of retail
financing within the
limits granted to each manager;
|
| ― |
the most significant files are reviewed by the Counterparties
Risk Committee (CRC)
which is chaired by a member of Executive Management. The Crédit Agricole S.A. Group
Risk Management Division (DRG) is systematically a member of this committee and receives
all the files. the cases with an amount higher than the limits granted to Crédit Agricole
CIB are presented for decision to the Crédit Agricole S.A. Executive Management, after
hearing the Group Risk Management Division (DRG);
|
| ― |
the Market Risk Committee (CRM), which is also chaired by a member
of Executive Management,
monitors market exposures twice a month. The CRM sets the limits and does controls
on compliance accordingly.
|
ANTICIPATION OF
COUNTERPARTY DETERIORATION
Anticipation of the potential deterioration of counterparties is addressed under:
| ― |
monthly Early Warning meetings, scheduled by the Business Watch
function attached
to the Central Management Department, which aim to identify early signs of potential
deterioration of counterparties hitherto considered sound. After a review of the information
gathered, these meetings are intended to draw the most appropriate operational consequences
from the review, depending on whether its conclusions are positive (signs ultimately
considered innocuous or benign, not justifying at this stage a challenge to the customer)
or negative (confirmation of concern necessarily resulting in a reduction of our risk
exposure);
|
| ― |
early detection by means of ongoing monitoring of portfolios
and sub-portfolios to
detect counterparties demonstrating various alert signals identified from information
passed on by the risk teams and front office staff, data obtained from internal databases
and market information;
|
| ― |
stress scenarios performed to enable measurement of the impact
of a shock on a portfolio
or sub portfolio (for application of Pillar 2 of Basel II) and to identify the sectors/segments
requiring provisions.
|
The objective is to identify as far upstream as possible potential deteriorations
in our customers' risk profile and implement preventive actions for our exposures
whenever possible.
CONTROL OF SENSITIVE
CASES
The control of sensitive cases is ensured by a dedicated department. Debts that
are
under special supervision or classified as in default are revised quarterly.
OPERATIONAL MANAGEMENT
BODIES
In addition to the Committees in charge of risks (CRC and CRM), risk management
reports
are also regularly presented to the following Executive Management bodies:
| ― |
the Crédit Agricole CIB Executive Committee, with debates and
discussions dedicated
to risk management;
|
| ― |
the Internal Control Committee which is responsible for monitoring
market and counterparty
limits, controlling operational risks and following-up recommendations from internal
and external audit bodies;
|
| ― |
the top-level Permanent Control Committee, which approves the
functions assigned to
Permanent Control, examines the Permanent Control systems of the Business Lines or
branches, as well as cross-functional problems. It also supervises management of Crédit
Agricole CIB Group's operational risks.
|
CREDIT AGRICOLE
S.A. RISK MANAGEMENT PROCESS
Crédit Agricole CIB is part of the Crédit Agricole S.A. risk process which is structured
around the following bodies:
| ― |
the Group Risk Committee is chaired by the Crédit Agricole S.A.
Chief Executive Officer.
Crédit Agricole CIB mainly presents to the committee its one-off approval requests,
its main risk strategies, its budgets and commitments on emerging countries, the corporate
significant outstandings, individual exposures, the sensitive cases, the limits as
well as the market risk situation;
|
| ― |
the Risk Monitoring Committee which belongs to the CRG. Chaired
by the Crédit Agricole
S.A. Chief Executive Officer, it examines counterparties that show signs of deterioration
or a need to arbitrate between several Group entities, as well as, more broadly, points
of attention of any kind likely to impact the Group's risk profile, net income or
solvency (risk factors linked to a sector of the economy, country, product category,
business activity, regulatory change, etc.);
|
| ― |
the Standards and Methods Committee (CNM) chaired by the Crédit
Agricole S.A. Head
of Risk Management and Permanent Control, to which Crédit Agricole CIB submits for
approval any proposal for a new method or an existing method for measuring or classifying
Basel II risks before their application within Crédit Agricole CIB;
|
| ― |
finally, the Crédit Agricole S.A. Group Risk Department is a
permanent member of the
Crédit Agricole CIB Internal Control Committee (CCI).
|
2.3 INTERNAL CONTROL
AND RISK MANAGEMENT PROCEDURES
2.3.1 Definition
of the internal control system
The internal control system is defined within the Crédit Agricole Group as the
set
of systems to control activities and risks of all kinds and ensure the legality, security
and efficiency of operations, in accordance with the reference texts set forth in
the paragraph below. Crédit Agricole CIB, a wholly-owned subsidiary of the Crédit
Agricole Group, follows the requirements of French and international regulations and
the rules enacted by its parent company.
The internal control system and procedures can therefore be classified by their
purpose:
| ― |
application of instructions and guidelines determined by Executive
Management;
|
| ― |
financial performance through effective and adequate use of the
Group's assets and
resources, and protection against the risks of loss;
|
| ― |
comprehensive, accurate and ongoing knowledge of the data required
to make decisions
and manage risks;
|
| ― |
compliance with internal and external rules;
|
| ― |
prevention and detection of fraud and errors;
|
| ― |
accuracy and completeness of accounting records and timely production
of reliable
accounting and financial information.
|
However, this system and these procedures have limits, relating in particular to
technical
problems and staff shortcomings.
Under the systems implemented within this standardised framework, certain resources,
tools and reporting documents are made available to the Board, to Executive Management
and to other managers so that they can assess the quality of the internal control
systems and their adequacy.
2.3.2 Reference
documents relating to internal control
2.3.2.1 LAWS AND
REGULATIONS
The internal control procedures implemented by Crédit Agricole CIB comply with
the
laws and regulations governing French credit institutions and investment companies,
and namely with:
| ― |
the French Monetary and Financial Code;
|
| ― |
the Decree of 3 November 2014, relating to the internal control
of banks, payment
services companies and investment companies, under the control of the French Prudential
Supervisory and Resolution Authority (ACPR);
|
| ― |
all texts relating to the exercise of banking and financial activities
(compendium
prepared by the Banque de France and the C.C.L.R.F.);
|
| ― |
the General Regulations of the French Financial Markets Authority
(Autorité des Marchés
Financiers).
|
The Company's internal control system also takes into account the following international
reference documents:
| ― |
the Basel Committee's recommendations on banking control;
|
| ― |
local applicable laws and regulations in the countries in which
the Group operates;
|
| ― |
European and international regulations (EMIR, DFA, etc.) applicable
to the activities
of Crédit Agricole CIB.
|
MAIN INTERNAL
REFERENCE DOCUMENTS
The main internal reference documents are:
| ― |
Procedural memo 2019-24 on the organisation of internal control
within the Crédit
Agricole S.A. Group;
|
| ― |
Procedural memos dealing with the Crédit Agricole S.A. Group's
risk management and
permanent controls;
|
| ― |
documents circulated by Crédit Agricole S.A., relating to subjects
including accounting
(Crédit Agricole accounts plan), financial management, risk management and permanent
controls;
|
| ― |
the Code of Conduct of the Crédit Agricole Group;
|
| ― |
the Crédit Agricole CIB Code of Conduct "Our principles to build
the future";
|
| ― |
corpus of governance texts, published on the Crédit Agricole
CIB "Corporate Secretary"
Intranet database, in particular about compliance, risks and permanent control, and
more precisely the texts linked to permanent control applied within the scope of the
Crédit Agricole CIB Group's surveillance (text 4.0 on the organisation of internal
control, text 4.4 on the organisation and governance of permanent controls, and text
1.5.1 on the supervision of essential outsourced services) and the Crédit Agricole
CIB compliance manuals, the Crédit Agricole CIB Code of Conduct "Our principles for
the future", and the procedures in the different departments of Crédit Agricole CIB,
its subsidiaries and branches.
|
ORGANISATION OF
THE INTERNAL CONTROL SYSTEM
♦ Basic principles
The organisational principles and components of Crédit Agricole CIB's internal
control
systems, which are common to all Crédit Agricole Group entities, are as follows:
| ― |
information and involvement of the supervisory body (approval
of risk appetite and
risk strategies, update on the risk situation, activities and results of internal
control);
|
| ― |
the direct involvement of the Executive Directors in the organisation
and operation
of the internal control system;
|
| ― |
complete coverage of activities and risks;
|
| ― |
responsibility of all persons involved;
|
| ― |
clear definition of tasks;
|
| ― |
effective separation of commitment and control functions;
|
| ― |
formal and up-to-date delegations of powers;
|
| ― |
formal and up-to-date standards and procedures, especially for
accounting and information
processing.
|
These principles are supplemented by:
| ― |
systems to measure, monitor and control credit, market, liquidity,
financial and operational
risks (transaction processing, information systems processes), accounting risks (including
quality of financial and accounting information), non-compliance risks and legal risks;
|
| ― |
a control system, forming part of a dynamic and corrective process,
encompassing permanent
controls, which are carried out by the operating units themselves or by dedicated
staff, and periodic controls (Group Control and Audit).
|
The internal control system is also designed to ensure that the compensation policy
is consistent with risk management and control objectives, particularly with regard
to market operators.
As such, the Risk Committee, a specialised Committee of the Board of Directors,
whose
task is specifically to examine, without prejudice to the Compensation Committee,
whether the incentives provided by the Company's compensation policy and practice
are consistent with its situation in light of the risks to which it is exposed.
The internal control system is also designed to ensure that the corrective measures
adopted are applied within a reasonable time.
♦ Monitoring of
the process
In order to ensure that the internal control system is consistent and efficient
and
that the above-mentioned principles are applied by all entities within the scope of
Crédit Agricole CIB's consolidated control system, three separate persons responsible
for Periodic Control (Audit-Inspection), Permanent Risk Control and Compliance Control
have been appointed.
The Internal Control Committee, chaired by the Deputy Chief Executive Officer,
is
responsible for:
| ― |
reviewing internal control procedures and the control system
implemented;
|
| ― |
examining the main risks to which Crédit Agricole CIB is exposed
and any changes in
risk measurement systems;
|
| ― |
deciding on remedial measures to be taken to address the weaknesses
identified during
audits, either in internal control reports or as a result of problems that have occurred;
|
| ― |
monitoring the fulfilment of the commitments made following internal
and external
audits;
|
| ― |
taking any decisions necessary to make up for the weaknesses
in the internal control.
|
Its members are the Heads of Group Internal Audit (Crédit Agricole S.A.), Internal
Audit (Crédit Agricole CIB), Corporate Secretary, Finance, Risk Management and Permanent
Controls, Operational Risk Management, Compliance, Fraud Prevention, Legal and, depending
on the matters under discussion, the heads of other Bank units.
The committee met four times in 2019.
Internal Control Committees have also been set up in several subsidiaries and branches,
both in France and abroad. These Committees ensure the decentralised implementation
of the Order of 3 November 2014. They enable the Internal Control functions at the
Head Office (RPC, CPL, LGL, IGE) to be involved in the operation of Internal Control
within a given scope and alert its manager as a matter of priority in the event of
any anomalies and then highest corporate governance in the event of non-resolution.
In addition, an umbrella Permanent Control Committee, chaired by the Chief Executive
Officer, is responsible for:
| ― |
supervising the operation of the Permanent Control system and
operational risk management
of the Crédit Agricole CIB Group;
|
| ― |
investigating all matters related to this assignment, either
for information or decision-making
purposes;
|
| ― |
resolving any discrepancies or interpretations relating to the
Permanent Control system.
|
This committee comprises in particular the head of Risk Management and Permanent
Control
(RPC), the head of Operational Risk Management, the head of Global Compliance, the
head of Legal Functions and the head of Group Internal Audit. The Head of Group Risk
Management (DRG) Operational Risk and Permanent Control at Crédit Agricole S.A. may
sit in on all meetings. This committee met as often as planned in 2019: two face to
face committees and two online committees.
In addition to the permanent control committees established in the head office
departments,
local committees have been established in the subsidiaries and branches in France
and abroad. These are held monthly (outside of months when a CCI is being held), either
face to face or online.
♦ Role of the
supervisory body: Board of Directors
The Board of Directors decides on strategy and controls the implementation of oversight
by the Executive Directors. It approves and regularly reviews the Bank's risk appetite
and risk strategies. It is notified of the organisation, work and results of internal
control, and of the main risks facing the Bank.
The Board of Directors refers to four specialised committees to carry out its missions:
the Audit Committee, the Risk Committee, the Appointments and Governance Committee
and the Compensation Committee. The main responsibilities of the Board and its Committees
are listed below and described in further detail in chapter 3, paragraph 1.2.4:
| ― |
the Board of Directors reviews and approves the Bank's risk appetite
at least once
a year, after review by the Risk Committee;
|
| ― |
every quarter, the Board of Directors reviews and approves, after
scrutiny by the
Risk Committee, the specific risk strategies by country, profession or sector, that
were set during the previous quarter by the Strategy and Portfolio Committee or by
the Group Risk Committee;
|
| ― |
in addition to the information regularly sent to the Board of
Directors, particularly
on the overall risk limits and exposures, compliance, legal risks and liquidity, a
report on internal control and risk measurement and monitoring is presented to it
twice a year, as well as a quarterly status report on risk management and exposure.
This quarterly report specifically includes a presentation on market risks, counterparty
risks, operational risks and a review on the Company's situation with regard to risk
appetite. This information and these reports are reviewed beforehand by the Risk Committee;
|
| ― |
the Board is informed of any significant fraud event or any other
event detected by
internal control procedures in accordance with the criteria and thresholds that it
has set. A reminder of the feedback procedure for this information to the corporate
bodies is provided in the Company's internal documentation;
|
| ― |
a presentation of periodic control reports is made twice a year
to the Board of Directors,
after review by the Risk Committee;
|
| ― |
the report to the AMF by the head of Compliance for Investment
Services (RCSI) is
presented to the Board of Directors each year.
|
♦ Role of the
Executive Directors: Executive Management
The Executive Directors are directly involved in the organisation and operation
of
the internal control system.
They ensure that risk strategies and limits are compatible with the financial position
(capital levels, earnings) and strategic guidelines set by the supervisory body.
The Executive Directors define the Company's general organisation and oversee its
effective implementation by the competent staff. They assign clear roles and responsibilities
in terms of internal control and allocate the appropriate resources. They oversee
the implementation of risk identification and measurement systems that are appropriate
for the Company's activities and organisation.
They also ensure that they regularly receive the key information produced by these
systems and that the internal control system is continuously monitored to verify its
suitability and effectiveness. They are informed of the main problems identified by
internal control procedures and the remedial measures proposed, notably by the Internal
Control Committee.
♦ Scope and consolidated
organisation of Crédit Agricole CIB's internal control systems
In accordance with the principles applied within the Group, Crédit Agricole CIB's
internal control system applies to its branches and subsidiaries in France and other
countries, irrespective of whether they are under its sole control or joint control.
The system is intended to govern and control activities, and to measure and monitor
risks on a consolidated basis.
Each entity within the Crédit Agricole CIB Group applies this principle to its
own
subsidiaries, thus creating a logical internal control structure pyramid and strengthening
the consistency between different Group entities.
In this way, Crédit Agricole CIB ensures that it has an adequate system within
each
of its risk-bearing subsidiaries, and those activities, risks and controls are identified
and monitored on a consolidated basis within these subsidiaries, particularly as regards
accounting and financial information.
In 2018, the Crédit Agricole CIB governance document was updated to take into account
the new Group Procedural Memo on the organisation of internal control (see above,
"Main Internal Reference Documents"). This document will introduce the notion of "Consolidated
Supervision Scope", by defining its rules for determining supervision and governance
information procedures.
BRIEF DESCRIPTION
OF THE INTERNAL CONTROL SYSTEMS AND RISK MANAGEMENT PROCEDURES IMPLEMENTED
WITHIN THE COMPANY
♦ General presentation
Detailed information on credit, market, operational and liquidity risk management
is provided in the "Risk factors and Pillar 3" section and in the notes to the financial
statements.
The internal control system is based on three levels of controls, which distinguish
permanent control from periodic control.
Permanent control is carried out as follows:
| ― |
first degree: permanent controls are carried out when a transaction
is initiated and
while the transaction is being validated. They are carried out by the operators themselves,
by the hierarchy within the unit or by automated transaction processing systems;
|
| ― |
second degree, first level permanent controls are carried out
by employees who are
separate from those who initiated the transactions and who may perform operational
activities;
|
| ― |
second degree, second level permanent controls are carried out
by staff working exclusively
at the final level of specialist permanent control with no authorisation to make risk-taking
commitments (Operational Risk Managers of Departments, which report to RPC, credit
or market risk control, accounting control, compliance control).
|
The periodic (third-degree), controls cover occasional onsite audits of accounting
records relating to all of the Company's activities and functions by Group Control
and Audit.
The system of permanent controls is based on a platform of operational controls
and
specialised controls. Within the departments at the head office, the branches and
the subsidiaries, procedural manuals describe the controls to be performed and the
related operational permanent controls.
The controls, which can be integrated into automated transaction processing systems,
are identified and updated based on operational risk mapping (now called Risk and
Control Self-Assessment).
The results of the controls are formalised through control sheets and centralised
in the RPC Operational Risk Management OLIMPIA tool. They are summarised in periodic
reports at the appropriate hierarchical level (in the network and at the head office)
and, on a consolidated basis, to the Head of Permanent Control and to the umbrella
Permanent Control Committee.
This system is continuously updated. It must specifically cover the entities of
the
consolidated supervision scope along with changes related to the activity, the organisation
and the IT system. In that regard, careful attention is paid to maintaining the quality
of operations and a suitable internal control system.
The OLIMPIA tool now covers all operational risk issues: collection of incidents
and
losses, provision of essential outsourced services, Risk and Control Self-Assessment,
Supervisory Controls. It was supplemented in 2019 by a Reporting module to make better
use of available data and provide documented analysis to the Bank's governance.
Since 2016, the Qualitative aspect of the ICAAP (Internal Capital Adequacy and
Assessment
Process) has been fully included within the annual report on internal control (RCI).
♦ Detailed presentation
FIRST-DEGREE CONTROLS
They are performed in a hierarchical environment where the technical actions which
are the subject of the control are carried out. The definition of these controls and
the analysis of their results is first and foremost the responsibility of management
of the scope where they are applied, the "4 eyes" principle.
Permanent, first degree controls are applied to the tasks carried out by all Departments
of the Bank. It is the Departments themselves that define them and implement them
whilst delegating responsibility to the operational players of their scopes.
Operating staff are therefore expected to remain vigilant at all times with regard
to the transactions they handle. This should take the form of compliance with all
procedures introduced to ensure the procedural compliance, security, validity and
completeness of transactions. Each line manager must check, for the activities for
which he/she has responsibility that his/her staff are aware of and comply with the
rules and internal procedures for processing transactions.
SECOND-DEGREE,
FIRST-LEVEL CONTROLS
They are performed in a hierarchical environment which is independent from that
where
the action being audited was carried out. Hence the "2nd degree" description. They
are applied to situations considered to be sufficiently sensitive to require, as a
result of regulation or a management decision, a segregation of tasks in the implementation
phase, or an independent perspective.
In certain configurations, permanent level 2.1 controls may be activated in the
absence
of permanent level 1 controls.
SECOND-DEGREE,
SECOND-LEVEL CONTROLS
They are performed in a hierarchical environment which is independent from that
where
the action being audited was carried out, hence the "2nd degree" description.
They are performed by specialist audit agents who are detached from any operational
mandate under the control scope or any other scope, except for that which aims to
enable the operation of their own tools. This operational independence is reflected
in the suffix "2nd level" which is added to the 2nd degree status.
The second level, second degree controls (or, more frequently referred to as "2.2")
apply to different situations:
| ― |
Performing final controls and analysis on the basis of results
from level 2.1 controls.
This is part of a chain of permanent controls including the three pillars;
|
| ― |
Checking the quality of a specialised 2nd degree, 1st level control
relating to aggregated
elements or a set of processes, if the risk represented by these elements or these
processes is considered sufficiently sensitive;
|
| ― |
In the case of an unexpected audit or when there is an incident,
check the quality
of a 1st degree control when there is no 2nd degree, 1st level control.
|
The systematic "triplication" of permanent control (levels 1, 2.1 and 2.2) is not
standard and must be justified by the level of risk of the action. Neither should
a level 2.2 control compensate for the absence of a level 1 or 2.1 control in situations
where one or the other should normally exist, except for in very exceptional cases
(closure of a unit, unexpected absence of someone, user back-up plan etc.).
RISK AND PERMANENT
CONTROL DEPARTMENT
The roles and responsibilities in risk management are outlined in the section above,
"Organisation of the Risk function".
♦ Risk projects
Project RC 3.0:
The Counterparty Risk 3.0 programme is managed by the APM (Architecture & Project
Management) team, a project team which reports to the "Risk and Permanent Control"
Department of Crédit Agricole CIB. This programme meets the objective of significantly
and continuously improving the counterparty risk control mechanism, while meeting
new regulatory requirements. A Financial and Strategic Steering committee, chaired
by the Head of the Risk Department, brings together risk department managers, representatives
of the business lines concerned and from IT, and monitors the projects selected:
| ― |
The Anacredit (Analytical Credit Data Set) project: European
analytic database on
credits which concerns all financial institutions in the Euro zone as part of the
Single Supervisory Mechanism (SSM);
|
| ― |
The aim of the RADaR project is to provide users with a single
platform containing
all counterparty risk data and to incorporate PRISM into the RADaR ecosystem, the
centralised computing library in the RADaR ecosystem, using the standard GIT;
|
| ― |
SDP Upgrade: project to improve the counterparty risks transaction
database by processing
the obsolescence of some technical components and improving the ergonomics of some
modules to decrease operational risk;
|
| ― |
The STI project aims to introduce the operational components
to have a single, unchanging
identifier for each transaction with our clients;
|
| ― |
Extension to new counterparties (Sept 2019 lot) affected by the
introduction of margin
requirements on derivatives transactions not offset centrally (Margin Requirements
Project).
|
MASAI FRTB Project:
Project led by RPC and sponsored by GMD and RPC, aims to bring in:
| ― |
A new market risks ecosystem based on Big Data technology to
address a strong increase
in data volumes and significant complexity of market risk indicators;
|
| ― |
Compliance vis-a-vis regulation of BCBS 239 principles with the
introduction of a
new Market Risks Operating Model;
|
| ― |
the Fundamental Review of the Trading Book (FRTB), which applies
to the trading portfolio,
with an initial deliverable covering the FRTB-Standardised Approach in 2020.
|
♦ Credit risk
Any counterparty or group of counterparties is subject to limitations within the
framework
of specific procedures.
The decision process is based on two authorised signatures from the front office
(one
as responsible for the application, the other being the Delegated Chairman of the
relevant committee) as well as an independent RPC opinion issued by an Authorised
Signatory. If the RPC's opinion is negative, the decision-making power is passed on
to the Chairman of the Committee immediately above. Credit decisions are made using
risk strategies defined for each major scope (country, business line, sector) specifying
the major guidelines (target client group, types of products authorised, overall budgets
and unit amounts envisaged, etc.) within which each geographic entity or business
line must focus its activity.
When a case is considered to be outside the framework of the risk strategy in force,
intermediary authorisations do not apply and a decision can only be made by the Executive
Management level Committee (CRC). The RPC also identifies assets that may deteriorate
as soon as possible and initiates the most suitable measures to protect the Bank's
interests.
The process for monitoring receivables is enhanced by a system of portfolio and
sub-portfolio
analyses on group-wide business line, geographical or sector basis. Analysing concentrations
and, if applicable, recommendations for the reorganisation of the portfolio are an
integral part of this exercise.
In addition, portfolio reviews are organised periodically for each profit centre
in
order to verify that the portfolio complies with the risk strategy in force.
The rating of certain counterparties under review may be adjusted at this time.
In parallel, the new activities and new products management mechanism (NAP Committee)
ensures that all requests made by the businesses are in line with the strategies and
risks involved. In addition, sensitive cases and major risks are monitored quarterly;
other risks are reviewed annually. The adequacy of the level of reserves in relation
to risk is assessed every quarter by the Executive Management, on the recommendation
of the RPC. This approach also involves stress tests, aimed at assessing the impact
of unfavourable macroeconomic assumptions and quantifying the risks to which the bank
may be exposed in an unfavourable climate.
♦ Country risks
Country risks are subject to an assessment and monitoring system based on a specific
rating methodology. Country ratings, which are updated at least quarterly, have a
direct impact on the limits applied to each country for the validation of their risk
strategy and on counterparty ratings.
♦ Market risks
Prior framework of market risk management takes place through several committees
that
assess risks associated with activities, products and strategies before they are introduced
or implemented:
| ― |
the New Activity or New Product Committees, organised by business
line, allow the
Market Risk teams, among others, to pre-approve business developments;
|
| ― |
the Market Risk Committee (CRM), which meets once a month, coordinates
the whole market
risk management system and approves the market risk limitations;
|
| ― |
the Liquidity Risk Committee (CRL) ensures the implementation
of Group standards for
monitoring liquidity risk at operational level;
|
| ― |
the Pricers Validation Committee reviews the pricers approved
during the year.
|
Risk management is carried out using a variety of risk measurements:
| ― |
global measurements using Value at Risk (VaR) and stress scenarios;
VaR measurements
are produced with a 1% probability of daily occurrence; stress scenarios include general
stresses (historicals, hypotheticals and adverses) and specifics stresses for each
activity;
|
| ― |
specific measurements using sensitivity indicators and notional
measurements.
|
Lastly, the Valuations and Pricing Committees define and monitor the application
of
portfolio valuation rules for each product range. In 2019, projects on regulatory
themes continued i.e. roll-out of a Market Risks ecosystem meeting the requirements
of the Fundamental Trading Book Review and compatible with BCBS 239 requirements,
managed jointly with the Masai project.
♦ Operational
risk
Operational risk management relies mainly on a network of Permanent Control correspondents
coordinated by RPC/MRO. Operational risks are monitored for each business line, subsidiary
and each region, which ensure the reporting of losses and incidents, as well as their
analysis, by Internal Control Committees. In addition to actual losses, the operational
risk scorecard methodology takes into account provisions, specifically for legal disputes
since the end of 2013 and tax disputes since the end of 2015.
Each quarter, RPC/MRO produces an operational risk scorecard showing movements
in
operational risk-related costs and associated key events.
Remedial action following significant incidents is monitored closely, in conjunction
with the relevant departments.
Operational risk mapping is now called Risk and Control SelfAssessment. It covers
all Departments at the head office, international network and subsidiaries and is
reviewed annually. Together with the compliance and legal functions, the RPC takes
into account non-compliance risks and legal risks.
RPC Operational Risk Management also monitors French and international regulations
concerning capital market activities (Volcker Rule, French Banking Act) and information
system security (Information Systems Risk Pilot).
♦ Provision of
essential outsourced services (P.S.E.E.)
Any service or operational task classed as essential must meet certain monitoring
requirements defined as part of a procedure that in particular sets forth the way
in which outsourcing decisions are taken, the elements to be included in the contract
and the supervision procedures to ensure that all associated risks are managed and
that the service runs smoothly.
A dedicated governance (Outsourcing Committee) keeps track of the services, at
Executive
Management level, complemented by specialist monitoring in the areas most affected
by outsourcing (computing and back-office).
In addition, a review of all essential services, including a report on service
quality
(i.e. analysis of the main incidents and dysfunctions), and contract compliance is
presented to the top-level Permanent Control Committee.
PERMANENT CONTROL
OF ACCOUNTING AND FINANCIAL INFORMATION
Permanent accounting controls are intended to provide adequate protection against
the major accounting risks that may damage the quality of accounting and financial
information in terms of:
| ― |
compliance of the data with laws, regulations and Crédit Agricole
Group standards;
|
| ― |
reliability and accuracy of the data, allowing a true and fair
view of the results
and financial condition of Crédit Agricole CIB and entities within its scope of consolidation;
|
| ― |
security of data preparation and processing methods, limiting
operational risks with
respect to Crédit Agricole CIB's commitments regarding published information;
|
| ― |
prevention of fraud, corruption and accounting irregularities.
In response to these
objectives, Crédit Agricole CIB applied the Crédit Agricole Group's recommendations
in this area.
|
The Risk Management Department is responsible for permanent second-degree, second-level
(2.2) and consolidated second-degree, second-level (2.2.C) control of accounting and
financial information, while the Finance Department is responsible for second-degree,
first-level control (see Finance Department). For second-degree, second-level control
(2.2), the Risk Management Department:
| ― |
ensures that the key accounting indicators defined by Crédit
Agricole S.A. are adapted
to the environment of a Corporate and Investment Bank, deployed in a consistent manner
and listed in Crédit Agricole CIB's operational risk management tool for the Crédit
Agricole CIB head office, branches and subsidiaries;
|
| ― |
consults the Group's branches and main subsidiaries quarterly
via an accounting certification
questionnaire in which the Heads of Finance commit to adhere to accounting standards;
|
| ― |
performs document controls in accordance with a control plan
validated annually by
Finance's Internal Control Committee;
|
| ― |
reports and monitors operational incidents related to accounting
and finance;
|
| ― |
annually updates the operational risk maps with the Finance Department
teams.
|
The conclusions of their work as well as the proactive monitoring of recommendations
issued by the regulator and Group Control and Audit enable the Permanent Control to
define any remedial measures needed to strengthen, as necessary, the system for preparing
and processing accounting and financial information.
All of these items are presented monthly to the Group's Permanent Financial Control
Committee, quarterly to the Finance Department's Internal Control Committee and annually
to the Senior Permanent Control Committee in the presence of Executive Management.
The permanent control of accounting and financial information also applies to the
information produced by Crédit Agricole CIB on behalf of Group entities (Crédit Agricole
S.A. and LCL).
♦ Regulatory capital
requirements
Within the framework of Basel II regulations, Crédit Agricole CIB uses an approach
based on internal models approved by the regulator for calculating capital requirements
with respect to Credit and market risks as well as operational risk.
These patterns are part of the risk management device of Crédit Agricole CIB, they
are monitored and reviewed on a regular basis to ensure their effective performance
and use.
As regards credit risk, the LGD Project Finance, LGD Banks, PD Corporate and PD
Real
Estate Professionals credit models were re-calibrated in 2019; prior notification
to the European Central Bank (ECB) was given before the implementation of these new
models in our information systems. In addition, all PD and LGD models were back tested
in 2019, and the results of this work will be presented to the Crédit Agricole CIB
Executive Committee in the first half of 2020 and then to the Crédit Agricole S.A.
Standards and Methodology Committee. In addition, benchmarking of our internal ratings
was performed on the Low Default Portfolio perimeters (Large Corporates, Banks and
Sovereigns) with respect to external agency ratings and ratings of other European
banks participating in the annual RWA benchmarking exercise organised by the European
Banking Authority (EBA). It should be noted that the changes to our existing models
and the development of new ones aim to measure our risks as accurately as possible
and to keep pace with the regulatory changes required of banks.
Correct application of the Basel system is regularly monitored by a Basel Requirements
Review Committee.
In 2020, the RCP/MRP teams will continue to work on bringing internal models into
line with the guidelines published by EBA (IRB Repair).
♦ The Finance
Department: control system for accounting and financial information,
global interest rate and liquidity risks
ROLES AND RESPONSIBILITIES
FOR THE PREPARATION AND PROCESSING OF ACCOUNTING AND FINANCIAL
INFORMATION
In accordance with the Group's current rules, the roles and organisational principles
of the Finance Department's functions are described in an organisational memo updated
in 2019.
Within the Finance Department of Crédit Agricole CIB, Group Financial Control is
in
charge of drawing up the financial statements (the individual accounts of Crédit Agricole
CIB, the consolidated financial statements for the Crédit Agricole CIB Group, and
regulatory statements for the Company and for the Group). The Department is also responsible
for giving Crédit Agricole S.A. all of the data needed to prepare the consolidated
accounts of the Crédit Agricole Group.
The Finance Departments of the entities that fall within the scope of consolidation
are responsible for drawing up their own financial statements by local and international
standards. They operate within the framework of the instructions and controls of the
Head Office's Finance Department.
PROCEDURES FOR
THE PREPARATION AND PROCESSING OF ACCOUNTING AND FINANCIAL INFORMATION
The organisation of IT procedures and systems used for the preparation and processing
of accounting and financial information is provided in procedure manuals and in an
accounting risks mapping updated annually. The Finance Department also oversees the
consistency of the architecture of the financial and accounting information systems
and ensures the monitoring of the major projects in which they are involved (accounting,
regulatory, prudential, liquidity).
ACCOUNTING DATA
Crédit Agricole CIB closes its results monthly. Parent company and consolidated
financial
statements are established using the Crédit Agricole Group's accounting standards,
which are circulated by Crédit Agricole S.A.'s Accounting and Consolidation Department.
The accounting treatment of complex instruments and transactions undergoes prior analysis
by the Accounting Standards unit of Crédit Agricole CIB's Finance Department.
Each Crédit Agricole CIB Group entity produces a consolidation package which is
used
to populate the general Crédit Agricole Group system managed by Crédit Agricole S.A.
Group Financial Control issues quarterly closing instructions to the Finance Departments
of Crédit Agricole CIB entities to define the reporting schedules and to specify certain
accounting treatments and the type of information to be collected over the period,
particularly with a view to preparing the notes to the consolidated financial statements.
MANAGEMENT DATA
Most financial information published by Crédit Agricole CIB is based on accounting
data and on management data.
All management data is checked to ensure that it has been properly reconciled with
the accounting data and that it complies with the management standards set by the
governance bodies.
Each entity reconciles the main items of its management results with the intermediate
income statement balances produced from accounting data. Group Financial Control ensures
the same balance at the Crédit Agricole CIB level of consolidation.
Management data are prepared using calculation methods that ensure they are comparable
over time. When published data are not extracted directly from accounting information,
the sources and definition of calculation methods are generally mentioned to facilitate
understanding.
DESCRIPTION OF
THE FINANCE DEPARTMENT'S ACCOUNTING AND FINANCIAL INFORMATION CONTROL
SYSTEM
The Finance Department provides second-degree, first-level supervision of the permanent
control system for accounting and financial information on a worldwide basis to ensure
adequate coverage of major accounting risks that may affect the quality of accounting
and financial information.
At the Head Office, the work involved in the preparation and control of accounting
and financial information is formalised and reviewed with the Permanent Control Department
through the quarterly rating of 2.2 indicators on the one hand and through the thematic
control plan based on documents defined annually. In the entities, the accounting
teams rate the key accounting indicators defined by the Risk Department in the Crédit
Agricole CIB operational risk management tool every quarter. Their ratings are subject
to spot checks by the Risk Management Department locally and/or at the Head Office.
RELATIONS WITH
THE STATUTORY AUDITORS
In accordance with French professional standards, the Statutory Auditors examine
significant
accounting choices and implement procedures they deem appropriate on published financial
and accounting information:
| ― |
audit of the parent company and consolidated financial statements;
|
| ― |
limited review of the interim consolidated financial statements;
|
| ― |
review of all published financial information.
|
As part of their statutory assignment, the Statutory Auditors submit the conclusions
of their work to Crédit Agricole CIB's Audit Committee and Board of Directors. Where
necessary, they also point out the significant weaknesses of the internal control
concerning the procedures relating to the production and treatment of the accounting
and financial information.
Finally, the Finance Department, as delegated by the Audit Committee, approves
non-audit
services. The fees paid to the Statutory Auditors and the auditors' independence are
discussed quarterly during Audit Committee meetings.
FINANCIAL COMMUNICATION
Crédit Agricole CIB contributes to Crédit Agricole S.A. financial communication's
reports published for shareholders, investors, analysts or rating agencies. The financial
and accounting information for the CIB activities of Crédit Agricole CIB in those
reports is prepared by the financial communication section of the Finance Department.
It is consistent with that used internally and validated by the Statutory Auditors
and presented to the supervisory body of Crédit Agricole CIB.
GLOBAL INTEREST
RATE RISK
To measure the global interest-rate risk, Crédit Agricole CIB uses the statistical-gap
method, by calculating an interest-rate gap, and draws up stress scenarios. The interest-rate
gaps and the results of the stress tests are presented to the ALM Committee which
decides on the management and/or hedging measures to be taken.
As part of the annual review of the Group's risk strategy, the RTIG limits were
reviewed
by the Group Risk Committee on 18 April 2019, and the 2018 limits on fixed-rate risk
and the NPV (Net Present Value) limit for basis risk were maintained. Internal gap
limits for interest rate and basis risk positions in the main currencies other than
the euro and the dollar were implemented. As regards the control system, the RTIG
management unit is split into a unit in charge of measuring risk and definition of
risk hedges and a unit in charge of executing the hedges defined by the Capital Markets
Department.
LIQUIDITY RISK
The management of liquidity risk within the Crédit Agricole CIB Group has been
placed
under the responsibility of the Supervision Department, which reports to the Asset-Liability
Management Committee.
The existing system for management and control of the risks of illiquidity, availability
and prices mainly concerns:
| ― |
the resilience to financial crises in systemic, idiosyncratic
and global risk scenarios
over 12 months, 3 months and 1 month;
|
| ― |
the exposure to short-term market refinancing (short-term limit);
|
| ― |
the concentration of long-term refinancing maturities;
|
| ― |
the medium-/long-term liquidity transformation gap for all currencies
and for the
main currencies.
|
Crédit Agricole CIB has a liquidity risk management platform linked to the Bank's
accounting data, which measures regulatory liquidity ratios and Internal Liquidity
Model indicators.
The main advances made during 2019 in liquidity risk management are the following:
| ― |
the strengthening of the collection mechanism that matches the
coverage;
|
| ― |
the extension of the management perimeter to a hedging level
of 98%;
|
| ― |
strengthening the governance of portfolio management with the
HQLA Committee at the
CA Group level;
|
| ― |
the review and formalisation of liquidity contingency plans for
CACIB group entities;
|
| ― |
the strengthening of the liquidity stress mechanism with, in
particular, the validation
of the new stress standard for the main currencies as well as the continued improvement
of the reliability of the daily LCR signal.
|
Regarding liquidity, the Permanent Control procedure of Crédit Agricole CIB is
similar
to that of the Group. The minimum control indicators are the same and apply to all
major processes in the same way.
♦ "Global Compliance"
department
The roles and organisation of compliance are outlined below in part 8. Non-compliance
risks.
♦ "Legal" department
The Legal Department's main duties include managing legal risk within Crédit Agricole
CIB in accordance with the Decree of 3 November 2014, and providing the necessary
support to business lines and support functions to enable them to operate with minimal
legal risk, the mandate and monitoring of the relations with the Bank's external legal
consultants and the implementation of an alert system in case of a negative or qualified
opinion (opinion issued in terms of market transactions by which the Legal function
discourages completion of the market transaction in question and indicates the legal
risks taken by the Bank if this opinion is not taken into account).
The Head of Crédit Agricole CIB's Legal Department reports back on the work of
the
Legal Function to the Group's Legal Head and functionally to the Deputy Chief Executive
Officer of the Bank responsible for Support Functions.
The Head of the Legal Department has hierarchical or functional authority, as the
case may be, over head office legal officers and the legal officers of Crédit Agricole
CIB Group entities, and over local legal officers.
The Legal Function's (LGL) permanent control and legal risk management system fall
within the framework defined by Crédit Agricole CIB and Crédit Agricole S.A.
The Legal Function contributes to ensure that the Bank's business activities and
operations
comply with the applicable laws and regulations. It performs permanent controls on
legal risks arising from Crédit Agricole CIB's activities, products, services and
transactions, along with the operational risks generated by the Legal function itself.
It also provides legal consultations to Business Lines and Support Functions, involvement
in legal negotiations of transactions, legal watch operations, staff training, standard
contract modelling, legal policies and procedures issuing, the collaboration to decisionmaking
bodies and procedures as required by the Bank's governance rules. The Legal function
systematically takes part in the process of approving new products and activities
and in major lending decisions.
In 2019, the Legal function continued to improve its permanent control and legal
risk
monitoring system, in particular through the following actions:
| ― |
update of its Permanent Control KIT, which identifies the key
processes of the Legal
Function at the Head Office and is intended for Legal Function Permanent Control Correspondents
outside France;
|
| ― |
update of its operational risk mapping;
|
| ― |
update of its control plan, including a review of the level of
risk control for the
supervision of the Bank's external advisers to take into account the strengthening
of operational controls;
|
| ― |
follow-up on the recommendations of Group Control particularly
those resulting from
the 2019 Audit of the Legal Function in New York;
|
| ― |
update of its Governance Texts;
|
| ― |
replacement of the dedicated tool for legal models made available
to the Bank by the
Legal Function and enrichment of the document base, particularly at the international
level;
|
| ― |
continuation of the Innovation project, which is one of the five
pillars of the 2022
MTP for the Legal Function.
|
♦ Information
System Security and Business Continuity Plan
The protection of the IT system and ability to overcome a large scale accident
are
essential to defending the interests of Crédit Agricole CIB. In this context, two
units dedicated to the handling of information security and business continuity issues
are formed, one within ISS (Information Systems Security) and the other within the
Operations & Country COOs (OPC) division: BCP (Business Continuity Plan).
In order to fulfil their permanent control missions, they rely on a network of
correspondents
in France and abroad.
ISS CHANNEL
As regards information security, ISS determines the governance, rules (Information
Systems Security Policies), coordinates maintenance of a suitable security level,
ensures correct implementation of DRP (Disaster Recovery Plan) systems, management
of environments enabling identity control and authorisation management standards,
definition of security standards, security scans and audits. ISS also acts as an IT
security manager on behalf of Crédit Agricole S.A. on environments that serve Crédit
Agricole S.A., in relation with the CISO (Chief Information Security Officer) of that
entity. Moreover, systems and applications connected to the Internet and internal
servers vulnerable to fraud are covered by special, large-scale verifications. ISS
also co-ordinates periodic reviews of employees' access rights to sensitive applications.
2019 saw the end of the initial three-year CARS programme (Crédit Agricole Renforcement
de la Securite, in English Crédit Agricole Security Strenghtening, CA Group programme).
The main regulatory components have been completed and certified. There are still
a number of additional topics that will be dealt with in 2020, such as the deployment
of administration networks at CACIB's major sites.
The main achievements can be summarised as follows:
| ― |
continued deployment of the new tool for monitoring level 1 and
2.1 controls, international
scope;
|
| ― |
audits and penetration tests of all application resources of
the CACIB group exposed
to the Internet;
|
| ― |
deployment of Internet access containerisation tool for back
office payment populations;
|
| ― |
deployment of encryption tools at workstations;
|
| ― |
deployment of a secure management tool for employee passwords
on workstations;
continued deployment of protection of generic accounts with high
privileges by using
specialized dedicated equipment for management of access codes and managing of privileges
escalation;
|
| ― |
continuation of the DLP (Data Leak Prevention) project, implementation
of end point,
Europe and France region;
|
| ― |
raising awareness of employees systematically;
|
| ― |
Crisis management exercise involving all of the Bank's local
information system security
coordinators, international sites, IT and managers;
|
| ― |
reminders of security rules, Phishing drills (all departments,
all users in France),
cyber-attack management drills, etc.;
|
| ― |
monitoring of indicators allowing to control accesses to databases
of sensitive applications
(ACPR recommendations for IT security) via permanent control plans;
|
| ― |
re-certification campaigns for all access by all employees by
managers (100% of accesses
to sensitive applications recertified, around 600 applications);
|
| ― |
continued deployment of strong authentication (token and certificate
holding access
cards) on the payment applications perimeter;
|
| ― |
deployment of technical account management Workflow tools to
manage requests and life
cycle of the accounts;
|
| ― |
deployment of a new identity and authentication management platform
to replace the
former architecture (Usignon).
|
The year 2020 will see the finalisation of the second necessary component for compliance
with French regulations and the monitoring of the CARS plan initiated by the Group
at the beginning of 2017 and completed in 2019. As also mentioned above, the strengthening
of the main CACIB administration networks will be studied and gradually implemented
at the four major CACIB sites in 2020.
BCP
In business continuity matters, the BCP Division defines the governance and business
continuity policies for the entire Group. For the head office, the BCP Division introduces
redundancy to ensure business recovery within the time required by the business lines
in the event of an incident. It acts to support its correspondents in the international
network to ensure the introduction of business continuity systems according to standards
defined at head office. Annual tests make it possible to verify Crédit Agricole CIB's
capacity to take over both in France and internationally.
The goals of these systems are to ensure employee security, by adopting special
protective
measures, and to ensure the continuity of the Bank's essential activities. An annual
assessment makes it possible to verify the effectiveness of the business continuity
system. The BCP Division reports on Crédit Agricole CIB's level of security to a quarterly
committee which is chaired by the Deputy Chief Executive Officer responsible for Support
functions.
The main achievements in 2019 at the head office focused on:
| ― |
testing the solution for connecting remotely to address the Extreme
BCP scenario (2
200 simultaneous remote access users during transportation strikes);
|
| ― |
employee awareness-raising sessions on BCP;
|
| ― |
an e-learning tool on BCP;
|
| ― |
production tests on fall-back sites for a day for all activities
concerned (participation
of 260 employees);
|
| ― |
a review of the sizing of the fall-back system through the BIA
(Business Analysis
Impact) campaign;
|
| ― |
IT recovery tests with the stoppage of one Datacentre, recovery
on the emergency DC,
and end-to-end processes (X 9), to ensure the correct functioning of all the applications
associated with these processes;
|
| ― |
the end of the deployment of the new crisis communication tool
at Crédit Agricole
CIB (Send Word Now) to all Group entities;
|
| ― |
continuing tests on market activities on the new dedicated site.
Internationally:
|
| ― |
review and monitoring of local BCP systems, participation in
local tests, awareness-raising
initiatives;
|
| ― |
scenario simulation exercises involving local crisis cells;
|
| ― |
continuation of the cross BCP study (in the event of inaccessibility
of the production
and fall-back sites) between Paris and London on the part of market activities and
extension of the cross BCP on the other sites for vital activities;
|
| ― |
redesign of the control flags;
|
| ― |
increased tests during "production" days;
|
| ― |
introduction of remote access solutions in an increasing number
of entities in the
international network.
|
In terms of outsourcing projects (outsourcing, cloud, etc.), BCP is involved in
defining
and validating the service providers' backup solutions.
No major incident took place in 2019. Like each year, some minor incidents led
teams
to activate the BCP: snowstorms in Paris and NY, network incident in Spain, hurricane
or typhoon alerts elsewhere.
The main objectives for 2020 will be:
| ― |
to continue the Cross BCP study at the entity level, including
head office;
|
| ― |
to adapt the BCP system to market activities according to the
evolution and scale
of activities in France (Brexit effect, medium- term strategy, etc.);
|
| ― |
to upgrade of the BCP system of HKG and South Korea sites;
|
| ― |
to homogenise BIA (Business Impact Analysis) processes, particularly
on the criticality
of activities and applications;
|
| ― |
to continue awareness-raising and communication actions involving
all of the Bank's
employees;
|
| ― |
to review the system to test the IT Backup Plan in partnership
with GIT, notably with
the improvement of our backup solutions in response to scenarios of Software Unavailability
of the IS (ILSI) and Mass Unavailability of Workstations (IMPT);
|
| ― |
to draw lessons on the Covid-19 crisis management in order to
improve the answer to
scenario such as pandemic risk / employee unavailability.
|
THIRD DEGREE CONTROLS
♦ Periodic control
The Group Control and Audit performs periodic control of Crédit Agricole CIB within
all entities falling under its consolidated supervision perimeter. The Group had 163
audit personnel, 66 of whom were based at head office at the end of 2019.
As a third line of defence, the Group Control and Audit:
| ― |
carries out a diagnostic on the control mechanisms referred to
in Article 13 of the
Decree of 3 November 2014 above, and on those ensuring the reliability and accuracy
of the financial, management and operational information of the areas audited;
|
| ― |
ensure that the actual risk level is controlled (identification,
recording, control,
hedging), particularly credit, market and exchange rate risks, liquidity, global interest
rate-risk, intermediation risk, payment-delivery risk, and of the various components
of operational risk, including the risk of internal or external fraud, the risk of
discontinuation of operations, legal and non-compliance risk and those newly mentioned
in the aforementioned decree (basis risk, dilution risk, securitisation risk, systemic
risk, model risk and excessive leverage risk);
|
| ― |
ensure compliance of the transactions;
|
| ― |
ensure procedures are followed;
|
| ― |
ensure correct implementation of the corrective measures decided
upon;
|
| ― |
assess the quality and effectiveness of operations.
|
Crédit Agricole CIB's Group Control and Audit is part of the Internal Audit Business
Line (LMAI) of the Crédit Agricole S.A. Group. Therefore the Crédit Agricole CIB Group
Control and Audit reports directly to the Crédit Agricole S.A. Group Control and Audit
and functionally to the Crédit Agricole CIB Deputy Chief Executive Officer. The Group
Control and Audit benefits from unrestricted access to the Crédit Agricole CIB Executive
Management and the Risk and Audit Committees of the Board of Directors. Moreover,
Group Control and Audit has no responsibility or authority over the activities it
controls, which guarantees his independence.
To do its work, Group Control and Audit is structured into global business lines.
The IGE are based at head office and some international entities and/or subsidiaries.
All Crédit Agricole CIB internal audit teams report hierarchically to Group Control
and Audit, unless prohibited by local legislation or regulations, in which case the
local internal audit is functionally supervised by IGE.
IGE is divided into three teams, the Managers of which report directly to Group
Control
and Audit: a global Audit team, a Methods and Support team and a manager for relationships
with supervisors and control authorities.
During the 2019 financial year, the GI's missions involved various entities and
units
in France and abroad through monograph-type missions (of one entity or subsidiary),
reviews of business lines and thematic or cross-functional missions, including IT
and regulatory audits. Group Control also carries out specific missions at the request
of Crédit Agricole CIB's Executive Management, its Risk Committee or the Group Control
Department.
Auditing work essentially stems from the annual audit plan set using an updated
risk
mapping approach as well as information provided by the Chief Executive Officer, the
other control functions, the Crédit Agricole CIB statutory auditors, the risk and
audit committees of the Board of Directors, as well as the objectives of the Executive
Management in terms of internal control and the instructions of the Board of Directors.
Group Control and Audit submits the annual audit plan to the approval of the Chief
Executive Officers of Crédit Agricole CIB and of the Crédit Agricole Group Control
and Audit, and for the approval of the Risk and Audit Committees of the Board of Directors.
The audit plan is then presented to the Board of Directors and the Internal Control
Committee.
For work with a global scope or that whose conclusions are deemed globally relevant,
a summary is sent to the Chairman of the Crédit Agricole CIB Board of Directors, the
Executive Management of Crédit Agricole CIB and the Crédit Agricole Group Control
and Audit. A summary of the main conclusions of the audit reports is presented to
the Risk Committee and the Crédit Agricole CIB Board of Directors by the Group Control
and Audit or its representative, and to the Board of Directors and/or the internal
control committees of the controlled departments, as relevant.
The work of the Group Control and Audit or any external control audit is subject
to
a formalised system following recommendations. The progress made in implementing the
recommendations is monitored by the Group Control and Audit:
| ― |
at least twice a year during half yearly monitoring work;
|
| ― |
during thematic monitoring of audit assignments, or as part of
investigations conducted
as part of a planned audit;
|
| ― |
on the request of the department undergoing the audit via an
"open counter" process,
in close partnership with its permanent Controller. This process makes it possible
to record the progress of action plans between two semi-annual follow-ups. Ad hoc
committee meetings to follow up on the recommendations by business line were also
held in 2019 in the presence of Executive Management, Internal Audit, the head of
the department, business line or support function, along with its permanent controller.
They aim to review the state of progress of implementation of the most sensitive recommendations.
|
The results of the follow-up of the recommendations are presented to Crédit Agricole
CIB's Internal Control Committee. If necessary, this process leads the Internal Auditor
to exercise his duty to alert the Board of Directors pursuant to Article 26 b) of
the Decree of 3 November 2014.
In accordance with the organisational arrangements shared with the entities of
the
Crédit Agricole Group, described above, and with the arrangements and procedures within
Crédit Agricole CIB, the Board of Directors, the Executive Management and Crédit Agricole
CIB's relevant units are given detailed information about the internal control and
risk exposure, the progress made in these areas, and the state of implementation of
the adopted remedial measures, as part of an ongoing improvement approach. This information
is contained in the Annual report on internal control, risk measurement and risk supervision,
but also in regular reporting documents covering business activities, risk and control.
2.4 CREDIT RISKS
A credit risk occurs when a counterparty is unable to fulfil its obligations and
when
the book value of these obligations in Crédit Agricole CIB Group's records is positive.
The counterparty may be a bank, an industrial or commercial corporate, a government
or government entity, an investment fund or an individual.
The exposure may be a loan, debt security, deed of property, performance exchange
contract, guarantees given, unused confirmed commitment or market transactions. The
risk also includes the settlement risk inherent in any transaction entailing an exchange
of cash or physical goods outside a secure settlement system.
2.4.1 Objectives
and policy
Risk-taking in Crédit Agricole CIB is done through the definition of risk strategies
approved by the Strategy and Portfolio Committee (CSP), chaired by Executive Management.
The risk strategies are set for each country, business/product line or sector carrying
a significant risk for the Bank within the scope of control of Crédit Agricole CIB.
They aim to define the principal risk guidelines and to establish the risk budgets
within which each business line or geographical entity must conduct its activities,
and cover: industrial sectors included (or excluded), type of counterparty, nature
and duration of transactions and activities or authorised product types, category
or intensity of risks incurred, existence and value of guarantees, overall portfolio
volume, definition of individual and overall risk level, diversification criteria.
By establishing a risk strategy for each scope deemed significant by Crédit Agricole
CIB, the Bank is able to define its risk appetite and quality criteria for the commitments
that it subsequently makes. It also prevents from excessive concentrations and it
leads to a risk diversification of the portfolio profile.
Concentration risks are managed by using specific indicators for certain portfolios
that are taken into account when granting loans (individual concentration grid). Concentrations
are then monitored a posteriori for the affected portfolios, by analysing the quantitative
measure assigned to this use, based on the Bank's internal model. Finally, an active
portfolio management is done within Crédit Agricole CIB to reduce the main concentration
risks and also to optimise its uses of shareholders' equity. The FIN/EXM uses market
instruments such as credit derivatives or securitisation mechanisms to reduce and
diversify counterparty risks. The management of credit risk using derivatives is based
on the purchase of credit derivatives on single exposures (see "Information under
Pillar 3 Basel III" Credit risk - Use of credit derivatives section). Use of the securitisation
mechanism is described in the "Information under Pillar 3 Basel III" Securitisation
vehicles. Similarly, credit syndication with external banks and the attempt to hedge
risks (credit insurance, derivatives, MRPA etc.) are other solutions which could be
used to mitigate concentrations.
In particular, with respect to counterparty risk on market transactions, the group's
policy on credit reserves constitution is twofold. On sound clients, a credit valuation
adjustment ("CVA risk assessment") is recorded and consists in a generic provisioning,
as for credit risk. Conversely, on defaulted counterparties, an individual provision
is sized in accordance with the derivative instrument situation, taking into account
the CVA amount already provisioned prior to the default.
In case of default, the depreciation is assessed in accordance with the same principles
as those governing the credit risk provisioning policy: expected loss amount depending
on the derivative instrument rank in the waterfall, taking into account the CVA process,
with two possible outcomes: either derivatives are left in place (CVA or individual
provision), or they are terminated (individual write-off).
2.4.2 Credit risk
management
GENERAL PRINCIPLES
OF RISK-TAKING
Credit decisions depend on the upstream risk strategies that are defined above.
Limits are set for all counterparties and groups of counterparties, in order to
control
the amount of commitments, whatever the type of counterparty (corporate, sovereign,
banks, financial institutions, local authorities, SPVs, etc.). Authorisations vary
according to the quality of the risk, assessed by an internal rating of the counterparty.
The credit decision must form part of the formally approved risk strategies.
Second level controls on compliance with limits are performed by the "Risk and
Permanent
Control" Department, supplemented by a process for monitoring individual and portfolio
risks, notably to detect any deterioration in the quality of counterparties and Crédit
Agricole CIB's commitments as early as possible.
If the risk has deteriorated significantly since the date that a commitment was
established,
the impairment policy under IFRS 9 provides for an increase in the hedging of the
commitment in the form of a provision.
New transactions are approved according to a decision-making process based on two
front office signatures, one from a collaborator authorised to make such a request
and the other from a delegate empowered to make a credit decision.
The decision is supported by an independent opinion by the RPC approved by an authorised
RPC signatory and must take Basel II parameters into account, including the internal
rating of the counterparty and the predictive Loss Given Default (LGD) attributed
to the proposed transactions. A calculation of ex ante profitability must also be
included in the credit file. In the event that the risk management team's opinion
is negative, the decision making power is passed up to Front Office delegate who chairs
the immediate higher committee.
► Comparison between
internal ratings and the rating agencies
| Crédit Agricole Group |
A+ |
A |
B+ |
B |
C+ |
C |
| Indicative Moody's rating equivalent |
Aaa |
Aa1/Aa2 |
Aa3/A1 |
A2/A3 |
Baal |
Baa2 |
| Indicative Standard & Poors' rating equivalent |
AAA |
AA+/AA |
AA-/A+ |
A/A- |
BBB+ |
BBB |
| Crédit Agricole Group |
C- |
D+ |
D |
D- |
E+ |
E |
| Indicative Moody's rating equivalent |
Baa3 |
Ba1 |
Ba2 |
Ba3 |
B1/B2 |
B3 |
| Indicative Standard & Poors' rating equivalent |
BBB- |
BB+ |
BB |
BB- |
B+/B |
B- |
| Crédit Agricole Group |
E- |
| Indicative Moody's rating equivalent |
Caa/Ca/C |
| Indicative Standard & Poors' rating equivalent |
CCC/CC/C |
METHODOLOGIES
AND SYSTEMS TO MEASURE AND EVALUATE RISK
♦ Internal rating
system
The internal rating system covers all methods, procedures and controls used to
calculate
credit risk, borrower ratings and loss given default figures for all of our exposures.
In late 2007, Crédit Agricole CIB received authorisation from the French Regulatory
and Resolution Supervisory Authority (ACPR) to use its internal credit risk rating
system to calculate regulatory capital requirements.
The methods used cover all types of counterparty and combine quantitative and qualitative
criteria. They are devised using the expertise of the various financing activities
within Crédit Agricole CIB, or within the Crédit Agricole Group if they cover customers
shared by the whole Group. The rating scale has 15 notches. It has been established
on the basis of a segmentation of risk so as to provide a uniform view of default
risk over a full business cycle. The scale comprises 13 ratings (A+ to E-) for counterparties
that are not in default (including 3 ratings for counterparties that have been placed
under watch) and 2 ratings (F and Z) for counterparties that are in default.
The relevance of ratings and reliability of data used are secured by a process
of
initial validation and maintenance of internal models, based on a structured and documented
organisation applied to the Group and involving the entities, the Risk and Permanent
Control Department and the Audit-Inspection business line.
All internal models used by Crédit Agricole CIB were the subject of a presentation
to the Standards and Methodology Committee (CNM) for approval before internal validation
by the Control and Audit function. They were also the subject of a validation by the
ACPR on 1 January 2008. Furthermore, each change in the internal model is now subject
to an audit by the validation team within the Group Risk Management Department before
being presented to the CNM for approval.
Corporates' internal rating is followed according to a system common to Crédit
Agricole
Group; guaranteeing a uniform rating throughout the Group and enabling to share Backtesting
work for common customers.
Crédit Agricole CIB has ensured that the risk parameters required by Basel II,
allowing
the calculation of capital requirements, are used as part of the Bank's internal management.
They are used by all people involved in the process of granting loans and measuring
and monitoring credit risks.
The data used for granting loans and determining ratings is monitored every two
months
by a Basel Requirements Review Committee. This committee, coordinated by the Risk
Management Department and representatives of all business lines take part in it, monitors
a set of indicators concerning the quality of the data used for rating purposes, as
well as the calculation of other Basel II parameters when granting loans, such as
loss given default (LGD), credit conversion factor (CCF), risk reduction factor (RRF),
etc. The committee helps business lines apply Basel II requirements and, if necessary,
to take remedial action when discrepancies arise. It provides important help in checking
that the Basel II system is used properly by the business lines.
♦ Backtesting
Backtesting aims to ensure the robustness, performance and predictive power of
the
Bank's internal models over time. This exercise also helps detecting significant changes
in the structure and behaviour of portfolios and clients. It then leads to adjustment
decisions adjustment, or even recast, of models in order to take into account these
new structural elements.
On the backtesting of PD (Probability of default) parameter, the following analyses
are carried out:
| ― |
consistency between observed "through the cycle" (TTC) default
rates and the master
scale PDs (based on the calculation of a confidence interval around the TTC default
rate);
|
| ― |
analysis of defaults (including discriminating power and more
qualitative analysis
in the case of low default portfolios (LDP));
|
| ― |
stability of ratings over time (both in terms of distribution
of the portfolio's ratings
and of one-year transitions of the portfolio's ratings);
|
| ― |
analysis of the model parameters (analysis of variables involved
in determining ratings,
correlations, changes to various intermediate ratings, etc.).
|
The main goal of the LGD backtesting performed is to regularly compare for all
LGD
models in IRBA:
| ― |
predictive LGDs: LGDs assigned by the internal model to transactions
that constitute
the Crédit Agricole CIB portfolio, on a given date;
|
| ― |
and the historic LGDs:
| ― |
LGDs derived from recovery histories following default, for closed
and open files
whose maturity is in excess of the maximum recovery period;
|
| ― |
LGDs calculated using recovery histories following default and
estimated future recoveries,
for open files whose maturity is below the maximum recovery period.
|
|
The risk horizon set by the regulator is one year; the predicted LGDs associated
with
the transactions should therefore be compared, one year prior to default, with the
historic LGDs.
The nature of LGD models and the volume of defaults being different for each LGD
scope,
LGD backtesting studies are adapted to each scope. At the very least, the LGD backtesting
of a scope will compare the predictive and historical LGD quantitatively and or qualitatively
according to volume.
There are three main types of LGD scopes detailed as follows:
| ― |
the scope of specialised financing: concerning the financing
of assets (Aeronautics,
Real Estate/Hotels, Rail and Shipping), predictive LGD is obtained from a theoretical
model based on the diffusion of asset values, unlike project financings, transactional
trading and structured commodities, for which predictive LGD is obtained from a grid
specific to each model and based on the quality of the sponsor, the asset liquidity,
the goods' claim phases or the final buyer;
|
| ― |
the scope of unsecured corporate, bank and sovereign financing:
the predictive LGD
is obtained using an LGD grid specific to each scope (corporate, bank, insurance,
etc.) involving third-party variables such as the business sector, the level of turnover,
the risk country, etc.;
|
| ― |
the scope of secured corporate, bank and sovereign financing:
the predictive LGD is
obtained by applying Risk Reduction Factors to the part covered by a personal guarantee
or by collateral and using the unsecured LGD grids for the non-covered part.
|
As such, the backtesting of default rates performed on Crédit Agricole CIB's Large
customer portfolio in 2019 underlines the relevance of the PD models. The one-year
estimated PD is confirmed by the default rates actually observed over the period in
question, even greater.
For models under its responsibility, Crédit Agricole CIB reports back to the Group
annually on the backtesting results, through the Validation Technique Committee on
the one hand and the CNM on the other, thus confirming the proper application of the
selected statistical methods and the validity of the results. The summary document
recommends, where necessary, appropriate corrective measures (methodology review,
recalibration, training effort, control recommendations, etc.).
CREDIT RISK MEASUREMENT
The measurement of credit risk exposures includes both drawn facilities and confirmed
unutilised facilities. To measure counterparty risk on capital markets transactions,
Crédit Agricole CIB uses an internal method for estimating the underlying risk of
derivative financial instruments such as swaps and structured products.
Counterparty risks on capital market activities are assessed for potential risk
linked
to fluctuations in the market value of derivative instruments for the remainder of
their life. This is determined according to the nature and remaining maturity of agreements,
based on a statistical observation of changes to underlyings. When the netting and
collateralisation agreements with the counterparty allow, counterparty risk is measured
for the portfolio net of eligible collateral. This method is used for the internal
management of counterparty risks.
To reduce exposure to counterparty risks, the Corporate and Investment business
enters
into netting and collateralisation agreements with its counterparties (see part 2.4.4
"Credit risk mitigation mechanism").
The figures concerning credit risks are presented in paragraph 2.4.5 of this chapter
and seq. in Note 3 of the consolidated financial statements.
PORTFOLIO AND
CONCENTRATION RISKS
Decision-making and individual risk monitoring within Crédit Agricole CIB are backed
up by a portfolio risk monitoring system that enables the Group to assess counterparty
risks for its overall portfolio and for each of the constituent sub-portfolios, according
to a breakdown by business line, sector, geographic zone, or any delineation that
brings out specific risk characteristics in the overall portfolio.
In principle, portfolio reviews are conducted yearly on each significant scope
in
order to check that the portfolio is consistent with the risk strategy in force, to
assess the various segments of the portfolio against one another and against any aspects
of the operating environment or external factors that may be influencing them.
Different tools were implemented to detect any concentration deemed to be excessive
for the entire portfolio, sub-portfolios or at a unit level:
| ― |
unit concentration scales were implemented to give reference
points according to the
nature, the size, the rating and the geographic area of the counterparty. They are
used in the granting process, and subsequently applied periodically to certain portfolios
to detect concentrations which may later appear excessive;
|
| ― |
regular monitoring, ad hoc recommendations for action are regularly
carried out and
provided for sectoral and geographical concentrations. Concentration risks can be
taken into account to analyse the risk strategies of the business lines or geographic
entities;
|
| ― |
information is fed back to the Executive Management when necessary
on the concentration
status of the portfolio.
|
Crédit Agricole CIB uses credit risk modelling tools and in particular an internal
portfolio model that calculates risk indicators such as: average loss, volatility
of potential losses and economic capital. Average loss and volatility figures enable
Crédit Agricole CIB to anticipate the average risk-related cost in its portfolio,
and changes therein. Economic capital is an additional measurement of Basel II regulatory
capital, to the extent that it allows a more detailed view of the portfolio through
a correlation model and parameters calibrated using internal data bases.
The internal portfolio model also takes into account the impact of protection (Credit
Default Swaps, securitisations) purchased by Crédit Agricole CIB's Credit Portfolio
Management unit. Finally, it measures the effects of concentration and diversification
within our portfolio. These effects are studied based on individual and geo-sectorial
criteria.
Stress scenarios are the final type of counterparty risk assessment tool. They
are
regularly produced to estimate the impact of economic scenarios (central, adverse)
on some or all parts of the portfolio.
SECTOR RISKS
Crédit Agricole CIB's portfolio is analysed by major industrial sector at regular
intervals. Risks within each sector in terms of commitments, level of risk (expected
loss, economic capital) and concentration are examined.
Concentration is assessed on two levels: idiosyncratic and geosectorial. These
analyses
can be more or less deepened according to the analyst's needs.
Meanwhile, the economic and financial risks of each significant sector are analysed
and leading indicators of deterioration are monitored.
Specific stress scenarios are also prepared when necessary for instance during
the
strategic review of an entity of the Bank.
In the light of these various analyses, measures to diversify or protect sectors
at
risk of deterioration are recommended.
COUNTRY RISKS
Country risk is the risk that economic, financial, political, legal or social conditions
of a foreign country will affect the Bank's financial interests. It does not differ
in nature from "elementary" risks (credit, market and operational risks). It constitutes
a set of risks resulting from the Bank's vulnerability to a specific political, social,
macroeconomic and financial environment.
The system for assessing and monitoring country risk within Crédit Agricole CIB
is
based on an internal rating model. Internal country ratings are based on criteria
relating to the financial soundness of the government, the banking system and the
economy, ability and willingness to pay, governance and political stability.
The limits set at the end of 2011 for all countries with a sufficiently high volume
of business, in line with procedures which are more or less stringent depending on
the country's rating, were introduced in early 2013: country limits are set on an
annual basis for "noninvestment grade" rated countries and are reviewed every two
years for countries with higher ratings.
In addition, the Bank performs scenario analysis to test adverse macroeconomic
and
financial assumptions, which give an inter grated overview of the risks to which it
may be exposed in situations of extreme tension.
The Group manages and controls its country risks according to the following principles:
| ― |
The determination of acceptable exposure limits in terms of country
risk is performed
during country strategy reviews based on the assessment of the degree of vulnerability
of the portfolio to the materialisation of country risk. This degree of vulnerability
is determined by the type and structure of transactions, the quality of counterparties
and the term of commitments. These exposure limits may be reviewed more frequently
if developments in a particular country make this necessary. These strategies and
limits are validated depending on the issues in terms of risks by Crédit Agricole
CIB's Strategy and Portfolio Committee (CSP) or Country Risk Committee (CRP) and by
Crédit Agricole S.A.'s Risk Committee (CRG) as well as by Crédit Agricole CIB's Board
of Directors;
|
Country risk is maintained on a regular basis through the production and quarterly
updating of ratings for each country in which the Group is exposed. Specific events
may cause ratings to be adjusted apart from this schedule;
The unit in charge of country risk within the Risk and Permanent Control Department
must issue an opinion on transactions whose size, maturity or degree of country risk
could potentially affect the quality of the portfolio:
Country risk exposure is monitored and controlled in both quantitative (amount
and
term of exposure) and qualitative (portfolio vulnerability) terms through specific
and regular reports on all country exposures.
Sovereign risk exposures are detailed in Note 6.7 to the consolidated financial
statements.
COUNTERPARTY RISK
ON MARKET TRANSACTIONS
Derivatives and repo transactions carried out by Crédit Agricole CIB as part of
its
capital market activities generate a risk of credit by the transaction counterparties.
Crédit Agricole CIB uses internal methods to estimate the current and potential risk
inherent in derivative financial instruments, taking a net portfolio approach for
each client:
| ― |
current risk corresponds to the sum owing by the counterparty
in the event of instantaneous
default;
|
| ― |
potential future risk is the estimated maximum value of Crédit
Agricole CIB's exposure
within a given confidence interval.
|
The methodology used is based on "Monte Carlo" type simulations, enabling the risk
of change over derivatives' remaining maturity to be assessed on the basis of statistical
modelling of the change in underlying market parameters.
The model also takes into account various risk mitigation factors, linked to set-off
and collateralisation contracts negotiated with counterparties during the pretransaction
documentation phase. It also includes exchanges of collateral on the initial margin
for noncleared derivatives, in accordance with the thresholds in force. Situations
of specific risk of unfavourable correlations (risk that an exposure to a derivative
is positively correlated with the counterparty's probability of default as a result
of a legal link between this counterparty and the underlying of the derivative) are
monitored regularly to identify and integrate such risks in the exposure measurement
as recommended by regulations. Situations of general risk of unfavourable correlations
(risk that market conditions have a correlated effect on a counterparty's credit quality
and derivative exposures with this counterparty) are monitored by means of ad hoc
exercises in 2019. The internal model is used to manage internal limits on transactions
with each counterparty and to calculate Basel II Pillar 2 economic capital via the
average risk profile (Expected Positive Exposure) using a global portfolio approach.
As allowed by the regulatory framework, the French Regulatory and Resolution Supervisory
Authority (ACPR) authorised Crédit Agricole CIB as of 31 March 2014 to use the internal
model method to calculate its capital requirements in respect of counterparty risk.
This method uses the model described above to determine Effective Expected Positive
Exposure (EEPE) and is applied to all derivatives. The same method is used to calculate
credit exposure at default for capital requirement purposes to address the risk of
credit value adjustment.
Crédit Agricole CIB uses the standard approach for the calculation of regulatory
capital
requirements in respect of counterparty risk on repo transactions and derivative transactions
by its subsidiaries and the derivative transactions with the central counterparties
(CCP). Credit risk on these market transactions is managed following rules set by
the Group. The policy on setting counterparty risk limits is as described in "Credit
risk management General principles of risk taking" on page 158. The techniques used
by Crédit Agricole CIB to reduce counterparty risk on market transactions are described
in "Credit risk mitigation mechanisms" on pages 244 to 245.
Crédit Agricole CIB includes a credit valuation adjustment (CVA) in its calculation
of the fair value of derivative assets. This value adjustment is described in Note
1.2 to the consolidated financial statements under accounting principles and policies
and Note 11.2 on information about financial instruments measured at fair value. The
graphs below show the change in the CVA VaR and the stressed CVA VaR in 2019.
► CVA VaR: 99%
confidence interval, 1 day (€ million)
► Stressed CVA
VaR: 99% confidence interval, 1 day (€ million)
The gross positive fair value of contracts as well as the benefits coming from
compensations
and securities held, and net exposure on derivatives, after the compensation and the
securities' effects, are detailed in Note 6.9 to the consolidated financial statements
concerning the compensation of financial assets.
2.4.3 Commitment
monitoring procedures
MONITORING SYSTEM
The first-degree controls on compliance with the conditions that accompany a credit
decision are carried out by the Front Office. The Risk Management and Permanent Controls
division is in charge of second level controls.
Commitments are supervised for this purpose, and portfolio business is monitored
constantly
in order to identify at an early stage any assets that could deteriorate. The aim
is to adopt practical initiatives as early as possible so as to protect the Bank's
interests.
♦ Commitments
monitoring methods
The main methods used in this monitoring are:
| ― |
day-to-day controls on credit decision compliance, in terms of
amount and maturity
date, for commercial transactions as well as capital market transactions, for all
types of counterparty and all categories of counterparty risk encountered (risk of
change, delivery, issuer, cash, intermediation, initial margin and default funds with
clearing houses for the capital market scope, Loan syndication risk and late payment
for the financing scope, etc.);
|
| ― |
the presentation of detected anomalies at the committee meetings
to which the business
lines and specialised RPC decision making and management departments contribute;
|
| ― |
breaches are monitored and may give rise to corrective measures
and/or special monitoring
with the business lines. The frequency of these committee meetings varies depending
on the scope: bimonthly for the market transactions scope and quarterly for the financing
transactions scope;
|
| ― |
communication to Executive Management of a monthly summary and
a quarterly presentation
to the Internal Control Committee on anomalies for the market scope.
|
♦ A permanent
monitoring of portfolio businesses
Several bodies ensure the permanent monitoring of portfolio businesses, to detect
any possible deterioration or any risk concentration problem as early as possible:
| ― |
monthly "Early warning" meetings are held, which endeavour, by
various means, to identify
early signs of potential deterioration in loans which are healthy but deemed sensitive,
in order to reduce or cover the risk exposure;
|
| ― |
quarterly reviews of major risks are performed, regardless of
the quality of borrowers
concerned;
|
| ― |
a regular search of excessive unit, sector and geographic concentrations
is carried
out;
|
| ― |
a risk situation is established for counterparty risks on market
transactions (variation
risk calculated under normal and stressed market conditions), issuer risks, risks
on bond repos, credit guarantee risks on credit derivatives. Reports on risk management
relating to the unfavourable correlation risk on credit derivatives, equity derivatives,
mandatory repos and equity loans and borrowing are produced. These mappings are presented
and analysed in the committees dedicated to such matters.
|
These steps lead to:
| ― |
changes in internal ratings of counterparties which are, when
needed, classified as
"sensitive cases";
|
| ― |
practical decisions to reduce or cover at-risk commitments;
|
| ― |
possible transfers of loans and receivables to the specialised
recovery unit.
|
♦ Identification
of forbearance measures
Since 2014, Crédit Agricole CIB has identified in its information systems the outstanding
amounts that have been the subject of a "forbearance" measure, as defined in Annex
V of Implementing Regulation 680/2014 of the European Commission as amended. A pre-identification
is made first, during the loan approval process, when Crédit Agricole CIB studies
the clients' requests for credit restructuring. Once the forbearance measure has actually
been implemented, the outstanding amounts subject to the forbearance measure are declared
as such, regardless of their internal rating or their prudential treatment. If the
forbearance measure results in a reduction of 1% or more in the present value of the
restructured outstandings calculated at the original effective interest rate, it is
classified as an "emergency restructuring", a reason for a Basel default. Outstanding
amounts are no longer reported as having been the subject of a forbearance measure
after it was verified during an annual review or an ad hoc credit committee meeting
that they meet the exit conditions defined in the aforementioned regulation.
Outstanding amounts subject to a forbearance measure are reported in Note 3.1 to
the
consolidated financial statements. A forbearance measure indicates a significant deterioration
in credit risk under IFRS 9. The accounting principles that apply to these outstanding
amounts are specified in Note 1.3 to the consolidated financial statements.
SENSITIVE CASE
MONITORING AND IMPAIRMENT
Sensitive cases, whether cases "under Special Supervision" or bad debts, are managed
on a daily basis within the entities, and enhanced surveillance is carried out on
a regular basis.
This review takes the form of quarterly sensitive case committees chaired by the
Risk
and Permanent Control Manager - Sensitive Cases and Impairment, which carry out an
open examination to classify these cases as sensitive cases and determine whether
they should be transferred to a specialised team (DAS or UGAM for shipping financing)
and the appropriate level of specific impairment which is reported to general management,
which must validate it before being transferred to Crédit Agricole S.A.
The definition of default adopted complies with the provisions of European Regulation
No. 575/2013 of 26 June 2013. Stringent default identification processes and procedures
have been put in place on these bases. These are updated along with regulatory changes,
and they include the incorporation of European Banking Authority Guidelines No. 2016-07
at the end of 2019.
STRESS SCENARIOS
Credit stress tests are devised to assess the potential impact the Bank may face
(in
terms of loss, provisioning and capital) in the event of a serious deterioration in
the economic and financial environment.
There are three types of stress test categories:
| ― |
the first aims to reflect the impact of a macroeconomic deterioration
affecting the
whole portfolio in terms of cost of risk, regulatory capital requirements and impact
on the solvency ratio. Such a scenario is mandatory in order to comply with the needs
of a strengthened prudential supervision required by the Pillar 2 of Basel II. Since
2014, this has been led by the ECB and the EBA, with the aim of testing the financial
solidity of the banks and/or the banking system as a whole. Since 2016, the results
of the regulatory stress tests are taken into account in the calibration of capital
requirements under Pillar 2;
|
| ― |
the second takes the form of budget simulations and aims to stress
the central budget
of the bank on the basis of an economic scenario communicated by Crédit Agricole S.A.
in the budget process;
|
| ― |
the third involves targeted stress tests on a particular sector
or geographical zone
that constitutes a risk homogeneous group. This type of stress test is performed on
a case by case basis as part of the management of risk strategies. It provides an
insight into losses and/or capital requirements in the event that an adverse scenario
defined for the specific needs of the year should materialise; thus, the selected
strategy and notably the amount of the requested budgets may be challenged as regards
the creditworthiness of the portfolio to date, the impact of economic situations potentially
adverse to the portfolio in question may also be taken into account. Sensitivity tests
may be performed in addition to these stress tests.
|
2.4.4 Credit risk
mitigation mechanism
COLLATERAL AND
GUARANTEES RECEIVED
Crédit Agricole CIB requires guarantees and collateral from a significant number
of
its counterparties to reduce its risks, either on financing or market transactions.
The principles for accepting under Basel II, taking into account and managing guarantees
and collateral are defined by the Crédit Agricole Group's Standards and Methodology
Committee.
This common framework ensures a consistent approach across the Group's various
entities.
The committee documents aspects including the conditions for prudential use, valuation
and revaluation methods and all credit risk mitigation techniques used within the
Crédit Agricole CIB Group. Crédit Agricole CIB then devises its own operational procedures
and arrangements for the detailed management of these guarantees and collateral. Commitments
given and received are presented in Note 8 to the consolidated financial statements.
USE OF NETTING
AGREEMENTS
With the implementation of the recommendations of the Basel Committee along with
the
CRD IV European Directive on regulatory capital, the French Regulatory and Prudential
Supervisory Authority (ACPR) requires that several conditions have to be strictly
respected in order to trigger a close-out netting within the framework of determining
the regulatory shareholder's equity of a financial institution.
These conditions include: Crédit Agricole CIB obtaining recent written and reasoned
legal opinions as well as proceedings "in order to ensure at any time the validity
of the novation settlement or the netting agreement in the event that applicable regulations
are revised".
Close-out netting is defined as the possibility, in the event of default by the
counterparty
(including in the event of bankruptcy procedures), to terminate ongoing transactions
in advance and to be able to calculate a net balance of the reciprocal obligations,
according to a calculation method stipulated in the contract.
Thus, the close-out netting is an anticipated termination compensation mechanism
which
can be separated in three steps:
| ― |
early termination of transactions under a "master" agreement
in the case of a default
or changes in circumstance;
|
| ― |
determination of the market value (positive or negative) of each
transaction at the
date of termination (and the valuation, when appropriate, of the collateral);
|
| ― |
calculation and payment of the net single termination balance
including the valuation
of the terminated transactions, all collateral and outstanding amounts due (by the
party liable for the net amount).
|
Collateral (or collateralisation) represents a financial guarantee mechanism used
in OTC markets, which allows securities or cash to be transferred, as security or
as a transfer of full ownership, during the period of the hedged transactions. In
case of default by either party, the collateral will be included in the calculation
of the net balance of reciprocal obligations resulting from the master agreement that
has been signed with the counterparty.
The implementation of the close-out netting and collateralization mechanism is
analysed
in each country according typology of contract, counterparty and product. Countries
are classified as either A or B.
Countries classified as A are those where the laws and regulation are deemed to
provide
sufficient certainty for the recognition and effective implementation of the close-out
netting and collateralisation mechanisms, including in the event of bankruptcy of
the counterparty. Conversely, countries classified as B are those where there is a
risk that these mechanisms are not recognised or for which there is no legal opinion.
The conclusions of these analyses and the proposals of classification by countries
are displayed for endorsement within the framework of the Netting and Collateral Policy
Committee (or PNC Committee).
USE OF CREDIT
DERIVATIVES
The Bank uses credit derivatives and a range of risk transfer instruments, including
securitisation, in managing its banking book (see Basel III Pillar 3 disclosures).
At 31 December 2019, outstanding protection purchased in the form of credit derivatives
amounted to €6.4 billion (€3.7 billion at 31 December 2018). The notional amount of
the short positions was nil (the same at 31 December 2018).
Crédit Agricole CIB trades credit derivatives with around ten top-tier investment
grade, competent and regulated banks as counterparties. Moreover, 62% of these derivatives
are processed through a clearing house (54% at 31 December 2018), which acts as an
guarantor of these credit risk hedging transactions. Bilateral transactions (i.e.
processed outside the clearing house) are conducted with investment grade counterparties
(9 counterparties at 31 December 2019), which are competent and regulated, located
in France, the United Kingdom or the United States and acting as guarantors of these
credit risk hedging operations. The bank monitors any concentration of risks on these
hedging providers outside the clearing house, applying notional limits per banking
counterparty, set and reviewed annually by the Crédit Agricole CIB Risk Control Department.
These credit derivative transactions, carried out as part of the credit risk mitigation
measures, are subject to an adjustment calculation under Prudent Valuation, to cover
market risk concentration.
The notional amounts of credit derivative outstandings are specified in Note 3.2.2
to the consolidated financial statements "Derivative instruments: total commitments"
(on page 312).
2.4.5 Exposures
MAXIMUM EXPOSURE
TO CREDIT RISK
The maximum exposure to an institution's credit risk is the net carrying amount
of
loans and receivables and debt and derivative instruments before netting and collateral
agreements. This is shown in Note 3.1 of the financial statements.
As at 31 December 2019, Crédit Agricole CIB 's maximal exposure in credit and counterparty
risk amounted to €617 billion compared to €609 billion as at 31 December 2018.
CONCENTRATIONS
♦ Breakdown of
counterparty risk by geographical area (including bank counterparties)
At 31 December 2019, loans granted by Crédit Agricole CIB net of Export Credit
Guarantees
and excluding UBAF (i.e. €372 billion compared to €338 billion at 31 December 2018)
are broken down by geographic area as follows:
Breakdown in %
|
31.12.2019 |
31.12.2018 |
31.12.2017 |
| Other Western European countries |
29.0% |
29.8% |
29.70% |
| France |
21.2% |
21.2% |
25.60% |
| North America |
18.2% |
18.4% |
17.80% |
| Asia (Excl. Japan) |
10.9% |
11.1% |
11.70% |
| Japan |
11.0% |
10.1% |
6.00% |
| Middle-East and Africa |
4.9% |
4.9% |
4.80% |
| Latin America |
2.8% |
2.6% |
2.60% |
| Other European countries |
2.1% |
2.0% |
1.70% |
| Others and supranational |
0.0% |
0.0% |
0.00% |
Source: risk data (excluding UBAF, on- and off-balance-sheet commercial commitments
of customers and banks, net of export credit guarantees).
The breakdown of loans and receivables as well as commitments given to customers
and
credit institutions by geographical area is provided in Note 3.1 to the consolidated
financial statements. The overall balance of the portfolio in terms of distribution
between different geographical areas is stable overall compared to 2018. It should
be noted, however, the increase in the share of commitments in Japan, which can be
explained by our deposit activity with the Japanese central bank. The share of commitments
in France remained stable despite a significant increase over the Banque de France
and large-scale transactions involving Prime clients in the health and telecommunications
sectors.
♦ Breakdown of
risks by business sector (including bank counterparties)
At 31 December 2019, loans granted by the Crédit Agricole CIB Group, net of export
credit guarantees (excluding UBAF), totalled €372 billion (€410 billion gross), versus
€338 billion in 2018.
It is broken down by business sector as follows:
Breakdown in %
|
31.12.2019 |
31.12.2018 |
31.12.2017 |
| Banks |
21.12% |
18.77% |
16.60% |
| Miscellaneous |
17.13% |
17.82% |
17.40% |
| Of which securitisation |
9.97% |
10.21% |
10.60% |
| Oil & Gas |
9.46% |
9.11% |
9.90% |
| Other financial activities |
5.53% |
5.40% |
3.70% |
| Real estate |
4.73% |
4.99% |
5.30% |
| Electricity |
4.18% |
4.76% |
4.00% |
| Aeronautic/Aerospatial |
3.84% |
4.21% |
6.80% |
| Heavy industry |
3.46% |
3.35% |
3.40% |
| Automotive |
2.81% |
3.21% |
3.10% |
| Shipping |
2.90% |
3.10% |
3.50% |
| Telecom |
3.32% |
3.13% |
2.90% |
| Construction |
2.49% |
2.79% |
3.20% |
| Insurance |
2.08% |
2.63% |
2.20% |
| Other industrues |
2.54% |
2.50% |
2.60% |
| Other transport |
2.36% |
2.39% |
2.70% |
| Production & Distribution of consumer goods |
2.60% |
2.45% |
2.90% |
| IT/Technology |
2.37% |
2.19% |
2.10% |
| Healthcare and pharmaceuticals |
1.91% |
1.72% |
2.20% |
| Food-processing industry |
1.48% |
1.67% |
1.80% |
| Tourism, hotels and restaurants |
1.18% |
1.38% |
1.40% |
| Non-commercial services |
|
|
|
| Public sector/Local authorities |
1.23% |
1.08% |
1.20% |
| Media and publishing |
0.56% |
0.59% |
0.70% |
| Utilities |
0.42% |
0.42% |
0.50% |
| Wood, paper and packaging |
0.28% |
0.30% |
0.20% |
| Total |
100,00 % |
100 % |
100 % |
Source: risk data (excluding UBAF, on- and off-balance-sheet commercial commitments
of customers and banks, net of export credit guarantees).
The overall balance of the portfolio, in terms of the breakdown between the different
sectors, remains globally stable from one year to the next. The changes reflect the
bank's intention, on the one hand, to reduce exposure in certain fragile sectors such
as the shipping sector and, on the other hand, to support clients in largescale exceptional
transactions, especially in the telecommunications sector. The following specific
developments are noteworthy:
| ― |
the increase in our commitments on banks is largely related to
our deposit activity
with central banks, particularly in Japan. At 31 December 2019, our exposures increased
significantly: they represented €32 billion versus €27 billion at the end of December
2018 for the Bank of Japan; they represented €17.5 billion compared with €9.5 billion
at the end of December 2018 for the Banque de France;
|
| ― |
the Miscellaneous segment is largely composed by securitisation
transactions, mainly
liquidity facilities granted to securitisation programs financed through conduits
(see section 4.3 "Securitisation" of Pillar 3); these outstandings rose in 2019. The
other commitments involve clients with highly diversified businesses (mainly wealth
management and financial holding companies);
|
| ― |
the "Oil & Gas" sector is the main component of the "Energy"
exposure. This segment
brings together a diverse range of underlying assets, companies and financing types,
such as RBL (Reserved-based Lending), trade and project finance which are usually
secured by assets. Most of the exposure in the oil sector relates to players that
are structurally less sensitive to the drop in oil prices (public sector companies,
large international companies, transportation/storage/refinery companies). Conversely,
customers focused in exploration/ production, and those dependent on industry investment
levels (ancillary oil services) are the most sensitive to market conditions. After
a severe crisis affecting the sector (2016), our clients showed stable economic performance
and our portfolio recorded good post-crisis resilience. A strengthened monitoring
is still in place in a context of significative fall of prices during 2020 first quarter.
Framed by a risk strategy and given the price volatility, we have a very selective
approach to the "Oil & Gas" sector and any new significant transaction is subject
to an in-depth credit and CSR risk analysis when necessary;
|
| ― |
the "Electricity" sector is another component of the "Energy"
exposure but has its
own characteristics, and no contagion with the sensitive oil and gas segments. Half
of our exposure is accounted for by major integrated or diversified groups;
|
| ― |
our exposure to the "Real Estate" sector is stable due in particular
to a strong portfolio
turnover in both primary and secondary sectors and the weakening of the US dollar.
This portfolio mainly consists of specialised financings of quality assets granted
to real estate investment professionals. Other corporate-based financing is mainly
granted to major real estate companies and is often accompanied by interest rate hedges.
The balance of Crédit Agricole CIB's commitments includes guarantees issued on behalf
of leading French property developers and interest rate hedges for social housing
market participants (mainly public sector agencies) in France;
|
| ― |
"Aeronautics" sector financings involve either asset financing
of very high-quality
assets, or the financing of major, world leading, manufacturers;
|
| ― |
the "Automotive" portfolio has been the focus of special attention
since the end of
2018 and is focused mainly on large manufacturers, with limited development in the
automotive supplier sector;
|
| ― |
the current position of the "Shipping" segment is the result
of Crédit Agricole CIB's
expertise and background in mortgage financing for ships, which it provides to its
international shipowning clientele. After 10 difficult years, maritime shipping is
showing signs of moderate recovery, depending on the sub-sectors. With this in mind,
Crédit Agricole CIB has pursued the strategy of gradually reducing our exposure since
2011. However, our portfolio is relatively well protected thanks to its diversification
(financing of oil tankers, gas carriers and off-shore facilities, cargo ships, container
ships, cruise ships, etc.), and by the quality of its financing structure for ships,
secured by mortgage loans;
|
| ― |
the "Heavy Industry" sector mainly includes large global companies
in the steel, metals
and chemicals sectors. In this sector, commitments to the Coal segment have significantly
decreased, in line with Crédit Agricole Group's CSR policy;
|
| ― |
the "Telecom" sector has commitments on operators and suppliers.
This segment includes
some LBO commitments but mainly consists of corporate lending;
|
| ― |
the "Production and distribution of consumer goods" sector includes
mainly large French
retailers with a global footprint. Their ratings remain strong despite the competitive
environment in which they operate.
|
♦ Breakdown of
outstanding loans and receivables by customer type
The concentrations of loans and receivables by type of borrower and commitments
given
to credit institutions and customers are presented in Note 3.1.3 of the consolidated
financial statements. Outstanding loans and receivables amounted to €206.3 billion
as at 31 December 2019.
♦ Concentrations
of top ten counterparties (customers)
In terms of commitments, excluding export credit guarantees, these accounted for
6.46%
of Crédit Agricole CIB's total exposure at 31 December 2019, stable compared to 31
December 2018 (6.65%).
♦ Quality of portfolios
exposed to credit risk
At 31 December 2019, performing loans to customers amounted to €368 billion of
net
outstanding loans. Their ratings broke down as follows:
Breakdown in %
|
31.12.2019 |
31.12.2018 |
31.12.2017 |
| AAA (A+) |
22.1% |
18.9% |
16.40% |
| AA (A) |
4.4% |
5.1% |
4.70% |
| A (B+ and B) |
28.7% |
30.3% |
32.30% |
| BBB (C+ to C-) |
33.2% |
33.0% |
32.70% |
| BB (D+ to D-) |
8.9% |
9.7% |
9.70% |
| B (E+) |
0.5% |
0.7% |
0.90% |
| On watch (E and E-) |
1.0% |
0.9% |
1.50% |
Source: risk data (excluding UBAF, on- and off-balance-sheet commercial commitments
of customers and banks, net of export credit guarantees).
In 2019, the quality of the portfolio continued to improve, with an increase in
the
share of AAA and AA ratings. The share of investment grade ratings increased slightly
and accounts for 88% of the portfolio versus 87% in 2018, which reflects the good
quality of the portfolio.
♦ Application
of the IFRS 9 standard
The principles used to calculate expected credit loss (ECL) are described in the
accounting
policies and principles (Credit Risk section) which include, in particular, the market
inputs, assumptions and estimation techniques used.
As such, in order to calculate expected credit loss in the next 12 months and for
the remaining life, as well as to determine whether the credit risk of financial instruments
has increased significantly since the initial recognition, the Group draws mainly
on data used as part of the regulatory calculation system (internal rating system,
calculation of guarantees and loss given defaults).
Two distinct types of forward-looking macroeconomic information are used when estimating
expected loss: central forward-looking information, used to ensure the homogeneity
of the macroeconomic vision for all group entities, and local forward-looking information,
which can be used to adjust the parameters of the central scenario to take into account
specific local characteristics.
For the construction of the central forward-looking, the Group relies on 4 prospective
macroeconomic scenarios drawn up by Crédit Agricole S.A.'s Economic Research Department
(ECO), which are weighted according to their expected probability of occurrence. The
baseline scenario, which is based on budget assumptions, is supplemented by three
other scenarios (adverse, moderate adverse and favourable). Quantitative models for
assessing the impact of macroeconomic data on the evolution of ECL are also used in
internal and regulatory stress tests.
The economic variables are updated quarterly and relate to the factors affecting
the
Group's main portfolios (for example: Change in French and Euro zone countries' GDP,
unemployment rate in France and Italy, household investment, oil prices, etc.).
The economic outlook is reviewed each quarter by the IFRS 9 Coordination Committee
which brings together the main Group entities as well as any departments of Crédit
Agricole S.A. that are involved in the IFRS 9 process.
The baseline scenario used in the central forward-looking forecasting models of
the
Group and its entities can be summarised as follows: despite a slowdown, growth remained
strong and above potential in the United States in 2019, notwithstanding a slight
downward revision. In the euro area, growth continues to be consolidated. In 2020,
the United States is expected to slow down, with the corollary that this will spread
to all of Europe. Nevertheless, no major inflationary risk or bond tensions are anticipated.
The gradual monetary tightening is less severe than expected in the United States.
Long-term rates are not recovering markedly. In the Euro zone, the rise in core long-term
rates, which remain very low, is slower than expected.
♦ Impairment and
risk hedging policy
Accounting standard IFRS 9 came into effect on 1 January 2018, replacing IAS 39.
It
specifies the new accounting classification rules for financial assets, redefines
the model and principles of credit risk impairment of financial assets, specifies
the methods for recognising the effects of credit risk on liabilities, and finally
details the new hedge accounting methods.
INDIVIDUALLY IMPAIRED
ASSETS
The breakdown of impaired loans and receivables due from credit institutions and
customers
by type of borrower and geographic area is presented in Note 3.1 of the consolidated
financial statements. These financial statements specify impairment on doubtful and
irrecoverable loans and receivables.
ECL BUCKET 1 &
2
Impairment for credit risk under the new IFRS 9 standard differs from the collective
provisions of the old IAS 39 standard by the following three main concepts:
| ― |
a wider scope of calculation: the impairment applies to all asset
transactions recognised
at amortised cost or at fair value through equity;
|
| ― |
a different impairment philosophy: while provisioning under IAS
39 was based on recognised
losses, impairment under IFRS 9 must be estimated on the basis of losses expected
from the date of origination. The measurement of this impairment is called Expected
Credit Loss (ECL);
|
| ― |
the ECL estimate must be made with credit risk parameters that
incorporate the bank's
outlook on the evolution of the economy and its impact on the portfolio. IFRS 9 thus
introduces the concept of Forward Looking;
|
| ― |
a mechanism for allocating healthy exposures to two distinct
risk categories known
as Buckets 1 and 2: a healthy exposure whose risk deterioration from the beginning
is deemed significant will be placed in Bucket 2 resulting in impairment calculated
over a horizon equal to the contractual residual duration of the transaction. Conversely,
when the degradation is considered insignificant, the exposure is placed in Bucket
1 and impairment is calculated over a risk horizon of 1 year.
|
The amount of ECL Buckets 1 and 2 is €686.2 million at 31 December 2019.
♦ Country risk
policy
2019 ended on a slightly positive note with an easing of the US/ China trade dispute
and an upward revision of world growth by the IMF to 3.3% in 2020. China's growth
slowed to a 10-year low of 6.0% in 2019, compared to 6.5% in 2018. Against this backdrop,
the bank's activity in emerging countries expanded nicely. During the year, seven
countries saw their rating fall and six saw it rise.
♦ Outlook 2020
In 2019, the year was marked by major social protests in emerging countries (Chile,
Hong Kong, Iraq, Lebanon) that led to the fall of the presidents in office in some
cases (Bolivia, Algeria, Sudan). The main central banks resumed their expansionary
policy of lowering rates, thereby stimulating activity. Continued low rates are expected
to further increase the already high level of global indebtedness to 226% of GDP in
2018, according to the IMF. It should be noted that some countries, in Africa in particular,
have taken on debt on the bond markets at a worrisome level. Foreign currency debt
exposes emerging countries, especially the most fragile, to significant volatility.
The uncertain external environment and declining aggregate demand are weighing on
these countries, which are often dependent on their exports. World trade is no longer
expected to play a positive role in growth in 2020 and should at best remain neutral.
The US/China lull should not hide the long-term tensions between the two powers. Oil
prices are expected to remain stable despite heightened geopolitical tensions in the
Gulf. 2020 is opening with an increased geopolitical risk both in Asia (Hong Kong,
Taiwan) and in the MENA region (Iran/ US, Iran/Saudi Arabia, Libya, Strait of Hormuz).
2020 is also an election year, notably in the United States, which may lead to significant
political decisions by the Trump administration. Other elections have been or will
be held in various countries (Taiwan, Israel, Hong Kong, South Korea).
However, the ongoing 2019 N-Coronavirus V pandemic is expected to affect all of
the
above factors, but it is too early to quantify its impact.
In this potentially more uncertain environment, Crédit Agricole CIB will maintain
an active presence with its local and international customers to support them in their
business development, both inside and outside France, by ensuring obedience to the
compliance rules in force and adopting a prudent and selective approach.
♦ Evolution of
exposure to emerging economies
At December 31, 2019, CACIB outstandings for countries with a rating below "B",
excluding
downgraded Western European countries (Italy, Spain, Portugal, Greece, Cyprus and
Iceland) amounted to €56.7 billion, up 35% from the end of 2018. Emerging countries
represent only 13.2% of CACIB's total portfolio (€437 billion). The concentration
of outstandings in countries with a rating below "B", excluding downgraded Western
European countries, remained stable compared with the end of 2018, with 82% of the
portfolio concentrated in nine countries. The portfolio for the country scope concerned
remains highly concentrated on two regions: Asia and the Middle East and North Africa,
representing 70% of this portfolio.
Lastly, at 31 December 2019, the share of investment grade countries (between D+
and
B) remained stable at 70% of CACIB's outstandings in emerging countries in the scope
in question, leaving the share of non-investment grade countries in the scope in question
in the overall CACIB portfolio at just 4%.
♦ Asia
Asia is still the region with the highest exposure, with outstanding amounts of
€20
billion, or 37% of the commercial exposure for the corresponding country scope. This
amount has remained stable relative to the previous year, while the portfolio is still
highly concentrated on China and India.
♦ Middle-East
and North Africa
The Middle East and North Africa is the second-largest exposure of the scope under
review with 30% of emerging outstanding amounts, or €17.2 billion, a 25% increase
in comparison to the previous year. The strategy is to concentrate on a few countries
and counterparties and on short operations with significant amounts while sharply
reducing peripheral countries and counterparties. The main exposures are concentrated
in Saudi Arabia, the United Arab Emirates and Qatar.
♦ Latin America
This region accounts for 15% of the emerging markets portfolio, or €8.4 billion,
up
29% compared to 2018. The portfolio is still focused primarily on Brazil and Mexico.
Exposures for Bolivia are non-existent and marginal for Argentina.
♦ Central &
Eastern Europe
The share of the Central and Eastern Europe region increased by 47% compared to
the
previous year, with an outstanding amount of €8.2 billion, or 14% of the portfolio,
mainly concentrated in Russia.
♦ Sub-Saharan
Africa
At the end of December 2019, this region accounted for 3% of the trade portfolio
concerned,
or €2 billion, half of which was concentrated in South Africa and Ghana.
2.5 MARKET RISKS
Market Risks are managed within the Market and Counterparty Risks Department (MCR).
This department is responsible for identifying, measuring and monitoring market risks,
liquidity and counterparty risks on market transactions. These are defined as the
risks of potential loss to which Crédit Agricole CIB is exposed through market positions
it holds, depending on the fluctuation of the different market parameters, as well
as the independent valuation of the results.
For example, relevant market risks for Crédit Agricole CIB include the following,
which are potential losses related to:
| ― |
Interest rates variation
These risks are considered in detail: maturity, underlying interest
rate indices,
currencies;
|
| ― |
Share price changes
Crédit Agricole CIB's equity risk is mainly focused on big European
corporates (financing,
equity investment guarantee, the running of company savings schemes, convertible issues,
loans and borrowing) and EMTN on equity indices;
|
| ― |
Deterioration in credit quality
Through its market-making activity for the main OECD sovereign
debt issues and its
customers' bond issues; Crédit Agricole CIB is exposed to changes in the risk premium
on securities in which it deals;
|
| ― |
Changes in exchange rates
Crédit Agricole CIB's activity on behalf of our investor or corporate clients exposes
us to currency market fluctuations.
On the other hand, its presence in many countries leads to structural
foreign exchange
positions, managed within the framework of the Asset-Liability Committees;
|
| ― |
Price volatility
The market value of some derivative products changes depending
on the volatility of
the underlying, rather than in relation to the market's volatility. These risks are
subject to specific limits.
|
Market risk control
system
SCOPE OF INTERVENTION
The scope of Market Risk Department's intervention mainly concerns all the trading
portfolios of the entities consolidated in the Crédit Agricole CIB financial statements
as subsidiaries or branches in France and abroad; the main business lines are: Credit
and Rates, Volatilities and Currencies, Equities.
MCR is also in charge of monitoring market risk within the Treasury and the Credit
Portfolio Management (CPM) Department, whose dual mission is to manage Crédit Agricole
CIB's macro counterparty risk and minimise the cost of capital for the banking book.
MCR ORGANISATION
AND MISSIONS
The organisation of the MCR Department complies with regulatory standards and developments
in market activity.
The basic principles guiding the MCR's organisation and operations are:
| ― |
the independence of the Risk function in relation to the operational
departments (Front
Offices) and the other functional departments (Back Offices, Middle Offices, Finance);
|
| ― |
an organisation that simultaneously ensures appropriate and specialised
treatment
for each type of market activity and the consistent application of methodologies and
practices, regardless of where the activity is being performed or its accounting location.
|
These different missions are distributed as follows:
| ― |
Market Activity Monitoring, which is responsible for:
| ― |
the daily validation of the results, market and liquidity risk
indicators for all
activities governed by market risk limits;
|
| ― |
controlling and validating market parameters in an independent
environment from the
Front Office.
Lastly, through joint responsibility with the Finance Department,
it participates
in the quarterly reconciliation between the MCR result and accounting result;
|
|
| ― |
Risk Management monitors and controls market risks for all product lines, specifically:
| ― |
establishing sets of limits, monitoring breaches and reestablishing
compliance with
the limits, and monitoring significant changes in results, which are notified to the
Market Risk Committee;
|
| ― |
analysing risks carried by product line;
|
| ― |
second-level validation of risks and monthly reserves.
|
|
| ― |
cross-functional teams round out this system by ensuring the harmonisation of
methods
and treatment among product lines. They combine the following functions:
| ― |
the IPV (Independent Price Valuation) team, notably tasked with
validating valuation
parameters and mapping observability;
|
| ― |
the MRA (Market Risks Analytics) team responsible for validating
pricing models;
|
| ― |
the teams in charge of the Internal Quantitative Model:
| ― |
the Econometrics team, tasked with the historical series used
in risk measurements;
|
| ― |
the Methodologies team, tasked with methodologies for market
risk measurement;
|
| ― |
the Stress Models and CCR (Credit & Counterparty Risks) team,
tasked with methodological
and regulatory subjects related to market activities;
|
|
| ― |
the International Consolidation team, whose main mission is to
produce the consolidated
information for the department;
|
| ― |
the Regulatory Oversight team;
|
|
| ― |
the COO (Chief Operational Officer) and his team coordinate Group-wide issues:
| ― |
projects, new activities, budgets, reports and committees.
|
|
MARKET RISK DECISION
AND MONITORING COMMITTEE
The entire mechanism is placed under the authority of a set of committees:
| ― |
the Group Risk Committee (Crédit Agricole S.A.) sets overall
limits in regard to the
Group's risk appetite framework;
|
| ― |
the Strategies & Portfolios Committee (Crédit Agricole CIB)
validates the strategic
guidelines and the acceptable risk constraints, in line with the Group and Bank's
risk appetite policy. This Committee, chaired by Crédit Agricole CIB's General Management,
includes, among others, a member representing Crédit Agricole S.A.'s Risk Management
Department, Risk Managers for Market Activities and Front-Office representatives of
Market Activities;
|
| ― |
the Market Risk Committee (Crédit Agricole CIB) grants limits
to the operating divisions
within the framework of the allocations set by the Strategies & Portfolios Committee
and ensures compliance with the monitoring indicators, specific management rules and
defined limits. This Committee, chaired by Crédit Agricole CIB's General Management,
is composed of a member representing Crédit Agricole S.A.'s Risk Management Department,
the Risk Managers of Market Activities and the Front-Office representatives of Market
Activities.
|
| ― |
The Liquidity Risk Committee (Crédit Agricole CIB) monitors and
analyses liquidity
risks and their evolution. It ensures compliance with monitoring indicators, specific
management rules and defined limits and the proper application of Group standards.
It also serves as the Liquidity Emergency Plan Committee in the event of a crisis.
Chaired by the General Management, the CRL includes the head of Group Financial Risks,
the head of the Group Treasury, the heads of GMD, of Treasury and Foreign Exchange,
the heads of the Finance Department and ALM and the heads of Market Risk.
|
SIGNIFICANT EVENTS
IN 2019 WHICH HAD AN IMPACT ON THE MARKET RISK SCOPE
Crédit Agricole CIB continued to work on the deployment of its new Market Risk
ecosystem.
The implementation of the new system includes the following elements: implementation
of data management principles, centralisation of valuation methods, industrialisation,
audit trails and market risk analysis and control measures.
Following the ECB 2017 Targeted Review of Internal Models (TRIM) regarding the
review
of internal models, Crédit Agricole CIB is, in the context of the calculation of capital
requirements for market risk, authorised to continue the use of its value-at-risk
(VaR) models, the stressed value-at-risk models (SVaR), the models for additional
risk of default and migration (IRC) and models for counterparty credit risk (CCR)
and to extend the initial margin model in the internal models.
The authorisation is accompanied by obligations to be fulfilled in 2019 and 2020,
which are reported to the ECB on a quarterly basis.
In addition, throughout the year, Crédit Agricole CIB was audited for various aspects
by regulators (PRA, FED, HKMA, etc.). During the summer, market risks were sought
out by the ECB in the context of surveys on subjects relating to the regulatory Trading
Book, the ICAAP (Internal Capital Adequacy Assessment Process) and aspects of the
Fundamental Review of the Trading Book. Crédit Agricole CIB responded in a timely
manner during the summer period.
2.5.2 Market risk
measurement and management methodology
VALUE AT RISK
(VAR)
VaR is calculated on daily frequency on all positions. It represents the potential
loss with a 99% confidence interval and a one day horizon. Since VaR does not recognise
extreme market conditions, it should not be confused with the concept of maximum loss.
Stressed VaR and stress scenarios are used in addition to this system in order to
measure these extreme risks.
CHANGE IN REGULATORY
VAR IN 2019
Graph No. 1 (see page 170) shows the evolution in Crédit Agricole CIB's VaR for
the
regulatory scope in 2018-2019.
In 2019, the regulatory VaR averaged €7 million (up from the average €5.6 million
reported in 2018) and ranged between a lower limit of €4.2 million and an upper limit
of €13 million.
During 2019, Crédit Agricole CIB's Regulatory VaR remained moderate until September,
when intense shocks were observed on the long-term pillars of the euro yield curve.
These shocks, once integrated into the historical VaR, mechanically increased the
VaR level.
Graph No. 2 (see page 170) shows the evolution of the quarterly averages of the
regulatory
VaR and other VaRs for each of Crédit Agricole CIB's business lines since 1 January
2018.
All Crédit Agricole CIB activities are based on internal model, except a very few
products still based on standard methodology.
► Change in regulatory
VaR
|
31.12.2019 |
31.12.2018 |
| € million |
Minimum |
Average |
Maximum |
End of year |
Minimum |
Average |
| Total VaR |
4 |
7 |
13 |
10 |
4 |
6 |
| Netting Effect |
(2) |
(4) |
(7) |
(6) |
(4) |
(5) |
| Rates VaR |
2 |
4 |
9 |
6 |
2 |
3 |
| Equity VaR |
1 |
1 |
2 |
1 |
1 |
2 |
| Fx VaR |
1 |
2 |
5 |
4 |
1 |
2 |
| Credit VaR |
2 |
3 |
5 |
4 |
2 |
3 |
|
31.12.2018 |
| € million |
Maximum |
End of year |
| Total VaR |
8 |
5 |
| Netting Effect |
(8) |
(6) |
| Rates VaR |
4 |
3 |
| Equity VaR |
3 |
2 |
| Fx VaR |
5 |
3 |
| Credit VaR |
5 |
2 |
► Graph 1: Crédit
Agricole CIB regulatory VaR over the period 2018-2019 (€ million)
► Graph 2: Evolution
of quarterly averages of the regulatory VaR and the VaR by product
line over the period 2018-2019 (€ million)
► Graph 3: Backtesting
of Crédit Agricole CIB regulatory VaR in 2019 (€ million)
♦ VaR Backtesting
(graph N° 3)
The VaR backtesting method for the Crédit Agricole CIB regulatory scope compares
daily
VaR amounts with the so-called clean P&L (daily results exluding reserves) on
the
one hand and with the daily theoretical P&L (daily results restated for reserves
and
new trades) on the other.
At the end of December 2019, over a rolling one-year period, there were six backtesting
exceptions with a theoretical loss greater than the VaR (excluding new trades). The
concentration of exceptions around the months of August and September is linked to
the hedging book for counterparty risks on market transactions.
CAPITAL REQUIREMENTS
RELATED TO THE VaR
At 31 December 2019, the capital requirements related to the VaR amounted to €139
million.
| € million |
31.12.2019 |
Minimum |
Maximum |
Average |
31.12.2018 |
| VaR |
139 |
61 |
148 |
91 |
64 |
STRESSED REGULATORY
VaR STATISTICS
If the historical data used to calculate VaR shocks originate in a sluggish market
situation, i.e. low volatility, the resulting VaR will have a low level. To compensate
for this pro-cyclical bias, the regulator introduced the stressed VaR.
Stressed VaR is calculated using the "initial" VaR model for a confidence interval
of 99% and a one day horizon, and over a period of stress that corresponds to the
most severe period for the most significant risk factors. At the end of 2019, the
Stressed VaR period covers the period November 2007 to November 2008.
CHANGE IN STRESSED
REGULATORY VAR IN 2019
Graph No. 4 (below) shows the changes in Crédit Agricole CIB's stressed regulatory
VaR over the 2018-2019 period.
The Stressed VaR in 2019, on average, was €18 million, slightly above 2018's but
with
a narrower range of variation, as shown in the table of statistics below, which show
the continuation of a prudent management policy of Crédit Agricole CIB.
The following table compares the data for stressed regulatory VaR with that of
regulatory
VaR.
|
31.12.2019 |
31.12.2018 |
| € million |
Minimum |
Average |
Maximum |
End of year |
Minimum |
Average |
| Stressed regulatory VaR |
14 |
18 |
24 |
16 |
11 |
16 |
| Regulatory VaR |
4 |
7 |
13 |
10 |
4 |
6 |
|
31.12.2018 |
| € million |
Maximum |
End of year |
| Stressed regulatory VaR |
25 |
19 |
| Regulatory VaR |
8 |
5 |
CAPITAL REQUIREMENTS
RELATED TO THE STRESSED VaR
At 31 December 2019, the capital requirements related to the stressed VaR amounts
to €267 million.
| € million |
31.12.2019 |
Minimum |
Maximum |
Average |
31.12.2018 |
| Stressed VaR |
267 |
220 |
292 |
250 |
250 |
► Graph 4: Stressed
regulatory VaR 1 day, 99% confidence interval (€ million)
STRESS TESTS
Stress tests were developed to assess the ability of financial institutions to
withstand
a shock to their activities. This shock may be economic (economic downturn for example)
or geopolitical (conflict between countries).
To satisfy regulatory requirements and complete its VaR measurements, Crédit Agricole
CIB thus applies stress scenarios to its market activities in order to determine the
impact of particularly strong (unpredictable or non-modelable in the VaR) disruptions
on the value of its accounts. These scenarios are developed using three complementary
approaches:
1. Historical approaches, which replicate the impact of major past crises on the
current
portfolio. The following historical scenarios were used:
| ― |
1994 crisis: bond crisis scenario;
|
| ― |
1998 crisis: credit market crisis scenario, which assumes an
equity market downturn,
sharp interest rate hikes and declines in emerging country currencies;
|
| ― |
1987 crisis: stock market crash scenario;
|
| ― |
October 2008 crisis and November 2008 crisis (these latter two
scenarios reproduce
the market conditions following the bankruptcy of the investment bank Lehman Brothers).
|
2. Hypothetical scenarios, which anticipate plausible shocks and are developed
in
collaboration with economists. The hypothetical scenarios are:
| ― |
economic recovery (rising equity and commodity markets, strong
increase in short term
interest rates and appreciation of the US Dollar, and tightening of credit spreads);
|
| ― |
tightening of liquidity (sharp increase in short-term rates,
widening of credit spreads,
equity market decline);
|
| ― |
a scenario representing economic conditions in a situation of
international tensions
between China and the United States (increased volatility and falling equity markets,
decline of futures prices and rising volatility in the commodities market, flattening
interest rate curves, slide in the US Dollar relative to other currencies, and widening
of credit spreads).
|
3. Two so-called contrasting approaches (one decennial scenario and one extreme
scenario)
which consist in adapting assumptions to simulate the most severe situations depending
on the structure of the portfolio when the scenario is calculated:
| ― |
a so-called "adverse decennial" approach, assessing the impact
of large scale and
unfavorable market movements for each activity individually. The calibration of the
shocks is such that the scenario has a probability of occurrence about once every
ten years and the initial period during which the bank suffered from the events before
reacting is around ten days. The measured losses under this scenario are supervised
through a limit;
|
| ― |
a so-called "extreme adverse" approach that measures the impact
of market shocks of
greater intensity and for a period greater than the decennial adverse stress in order
to simulate rarer but nevertheless possible events. Shocks simulated under extreme
adverse stress are about twice as hard as those in the decennial adverse stress. Their
impact on the stress result can be significantly more severe for non-linear products
with an optional component.
|
These indicators are also subject to a limit set in agreement with Crédit Agricole
S.A..
Overall stresses are calculated on a weekly basis and presented to the Crédit Agricole
CIB Market Risk Committee once a month. Meanwhile, specific stress scenarios are developed
for each business line. They are produced on weekly basis. These specific scenarios
make it possible to analyse the associated risks of the different business lines.
Regularly stresses are set up in anticipation of ad-hoc market events: Brexit,
French
elections, etc.
Graph No. 5 below shows the comparison of the evolution of stress scenarios in
2018
and 2019.
► Graph 5: 2018
and 2019 average values of stress scenarios (€ million)
Between 2018 and 2019, decennial adverse and extreme adverse stresses increased.
On
average, they rose from €120 million and €323 million in 2018 to €154 million and
€413 million in 2019, respectively. The increase in extreme adverse stress is mainly
related to interest rate activities. The stress levels (excluding CVA) observed in
2019 are generally far below the limits.
2.5.3 Other indicators
The VaR measurement is combined with a complementary or explanatory set of indicators,
most of which include limits:
| ― |
the sets of limits enable specific control of risks. Reproduced
for each activity
and mandate, they specify the authorised products, maximum maturities, maximum positions
and maximum sensitivities; they also include a system of loss alerts;
|
| ― |
other analytical indicators are used by Risk Management. They
include in particular
notional indicators in order to reveal unusual transactions;
|
| ― |
in accordance with CRD III directive (entry into force on 31
December 2011), Crédit
Agricole CIB has established specific default risk measurements on credit portfolios.
|
CAPITAL REQUIREMENTS
RELATED TO THE IRC
The Incremental Risk Charge (IRC) is an additional capital requirement on so called
linear credit positions (i.e. excluding credit correlation positions), required by
the regulator in CRD III following the subprime crisis.
The purpose of the IRC is to quantify unexpected losses caused by credit events
affecting
issuers, i.e. defaults or rating migrations (both upgrades and downgrades). In other
words, the IRC recognises two risk measures:
1. Default risk (potential gains and losses due to the default of the issuer);
2. Migration risk, which represents potential gains and losses following a migration
of the issuer's credit rating and the shocks of related spreads.
The IRC is calculated with a confidence interval of 99.9% over a one year risk
horizon
using Monte Carlo simulations.
The simulated default and credit migration scenarios are then valued using Crédit
Agricole CIB pricers. These values show a distribution, from which a 99.9% quantile
calculation makes it possible to obtain the IRC.
At the end of December 2019, the capital requirements related to the IRC totalled
€148 million.
| € million |
31.12.2019 |
Minimum |
Maximum |
Average |
31.12.2018 |
| IRC |
148 |
133 |
216 |
164 |
200 |
STANDARD CRD 3
METHOD REQUIREMENTS
Standard CRD 3 is an additional capital requirement for issuer risk not covered
by
the IRC and the CRM (Comprehensive Risk Measure). The final measure required by the
supervisory authorities is the standard method for securitisation positions in the
trading book.
The capital requirement in connection with the standard method was €5 million at
31
December 2019.
| € million |
31.12.2019 |
Minimum |
Maximum |
Average |
31.12.2018 |
| Standard CRD 3 method |
5 |
5 |
5 |
5 |
5 |
CAPITAL REQUIREMENTS
RELATED TO PRUDENT VALUATION
In the framework of CRD IV, the Basel III Committee requires the implementation
of
a complementary prudential measure (Prudent Valuation) to the accounting market valuation
for all positions in Trading Book and Banking Book recognised at fair value with a
90% confidence interval.
Prudent Valuation is broken down into nine accounting valuation adjustments: market
price uncertainty, close-out costs, model risk, concentrated positions, unearned credit
spreads, investing and funding costs, early termination, future administrative costs
and operational risks. All of these various categories are then aggregated and deducted
from Common Equity Tier One.
The calculation of valuation adjustments based on regulatory requirements had an
impact
of €746 million for Crédit Agricole CIB (including €348 million for market risks)
on capital at the end of December 2019.
2.6 ASSET AND
LIABILITY MANAGEMENT - STRUCTURAL FINANCIAL
Financial Management policies of Crédit Agricole CIB are defined by the Asset and
Liability Management Committee in close coordination with Crédit Agricole S.A., which
approves the main lines in the area of financial risks through the Group Risks Committee
(CRG).
This committee is chaired by the Deputy Chief Executive Officer in charge of Finance.
The committee includes the members of the Executive Committee, the heads of Finance,
of Treasury, a representative of the Crédit Agricole S.A. Finance Division and representatives
of the Crédit Agricole S.A. and Crédit Agricole CIB Market Risk Management.
It is led by Crédit Agricole CIB's Head of Financial and Strategic Financial and
Strategic
Steering. It meets quarterly and it is the decision-making body for the Group Asset
and Liability Management policy. It intervenes either in direct management or in supervision
and in general coordination for the areas of Asset and Liability Management that are
formally delegated to foreign branches and subsidiaries.
The Finance Department (via the Financial and Strategic Steering Department) is
responsible
for implementing the decisions of the Asset-Liability Management Committee.
Financial Risk Management includes the monitoring and the supervision of interest-rate
risks (excluding trading activities), structural and operational foreign exchange
risks and liquidity risks of Crédit Agricole CIB in France and abroad. It particularly
includes direct management of equity and long-term financing positions. The cost of
Financial Risk Management is reinvoiced to the business lines according to their contribution
to risks.
2.6.1 Global interest
rate risk
Global interest rate risk or interest rate risk on the banking book of a financial
institution is the risk incurred when a change in interest rates occurs, as a result
of all balance sheet and off-balance sheet transactions, except transactions subject
to market risk.
OBJECTIVES AND
POLICY
Global interest-rate risk management aims to protect commercial margins against
rate
variations and to ensure a better stability over time of the equity and long-term
financing components' intrinsic value.
The intrinsic value and the interest margin are linked to the sensitivity in the
interest
rate variation of the net present value and in cash flow variation of the financial
instruments in the on and off balance sheet. This sensitivity arises when assets and
liabilities have different maturities and dates for interest-rate refixing.
RISK MANAGEMENT
Each operating entity manages its exposure under the control of its own Asset and
Liability Management Committee in charge of ensuring compliance with the Group limits
and standards.
The Headquarters' Financial and Strategic Steering Department - as part of its
coordination
and oversight mission - and the Counterparty and Market Risks that participate in
the Local Committees ensure the consistency of methods and practices within the Group
as well as the monitoring of the limits allocated to each of its entities.
The Group's overall interest rate risk exposure is presented to Crédit Agricole
CIB's
Assets and Liabilities Management Committee. This committee:
| ― |
examines consolidated positions which are determined at the end
of each quarter;
|
| ― |
ensures that Crédit Agricole CIB complies with its limits;
|
| ― |
decides on management measures based on propositions made by
the Financial and Strategic
Steering Department.
|
METHOD
Crédit Agricole CIB uses the (fixed-rate) gap method according to the Crédit Agricole
Group Standard reference to measure its overall interest rate risk.
This consists of determining maturity schedules and interest rates for all assets,
liabilities and hedging derivatives at fixed or adjustable interest rates:
| ― |
until the adjustment date for adjustable rate items;
|
| ― |
until the contractual date for fixed rate items; and
|
| ― |
using model-based conventions for items without a contractual
maturity.
|
The gap measurement includes the rate hedging effect on fair value and cash flow
hedges.
EXPOSURES
Crédit Agricole CIB's exposure to overall interest rate risk on customer transactions
is limited given the rate matching rule for each customer financing with the Treasury.
The interest rate risk mainly comes from capital, investments, modelling of unpaid
liabilities, and from maturities under one year of the banking book's Treasury activities.
The Group is mainly exposed to the Euro zone and, to a lesser extent US Dollar,
interest
rate variation.
Crédit Agricole CIB manages its exposure to interest rate risk within the framework
of exposure limits in terms of gaps and net present value (NPV) for all currencies
defined by Crédit Agricole S.A.
Interest rate gaps measure the surplus or deficit of fixed rate resources. Conventionally,
a positive gap represents an exposure to a risk of falling interest rates during the
period.
The results of these measurements at 31 December 2019 reflect that Crédit Agricole
CIB is exposed to a fall in interest rates.
| In billions of euros |
0-1 year |
1-5 years |
5-10 years |
| Average gap US dollar |
- 3.82 |
- 0.17 |
+ 0.00 |
| Average gap Euro |
-0.02 |
+ 0.89 |
+ 0.36 |
In terms of net banking income sensitivity for the first year, Crédit Agricole
CIB
could lose €50 million of revenues in case of a 200-basis-point decrease in interest
rates, i.e. a 0.90% sensitivity for a reference net banking income of €5,611 million
in 2019.
Based on these same sensitivity calculations, the net present value of the loss
incurred
in the next ten years in the event of an adverse 200 basis point movement in the yield
curve equals 1.04%, i.e. €252 million of the Group's prudential capital.
In addition, the income impacts of eight stress scenarios (five historical and
three
hypothetical) regarding the interest rate gap are measured on a quarterly basis and
reported to the Asset and Liability Management Committee.
The scenarios are those used by Crédit Agricole CIB's Treasury Department:
| ― |
the historical scenarios include: a major equity market crash
(Black Monday in 1987);
a surge in interest rates (bond crash in 1994); a sharp increase in issuer spreads
(rise in credit spreads in 1998); the 2008 financial crisis linked to the US mortgage
market (two scenarios);
|
| ― |
the hypothetical scenarios are based on: the assumption of an
economic recovery (rise
of the equity market, rates in general, the USD spot rate and oil and a decrease in
issuer spreads); a liquidity crisis following the Central Bank's decision to increase
its key rates; frictions in international relations as a result of stalled business
relationships between China and the United States (increase in US rates, collapse
of the US equity market, widening of credit spreads and depreciation of the US Dollar
compared to other currencies, especially the euro).
|
Simulations are made using the sensitivity of Crédit Agricole CIB's interest-rate
mismatch. Sensitivity is defined as the gain or loss arising from a 2% change in interest
rates. This sensitivity is calculated in EUR and USD. The calculation is based on
average outstandings.
The shocks contained in these scenarios are calculated on a 10-day basis, according
to Crédit Agricole CIB's stress scenario methodology. Sensitivity is "shocked" in
various ways. The result of a stress test corresponds to the net present value of
changes in the scenario's characteristics.
The application of stress scenarios highlights relatively limited impacts since
the
net present value of the maximum potential loss incurred represents €60 million that
is 0.25% of shareholders' equity, and 1.08% of revenues at 31 December 2019.
INTERNAL CAPITAL
REQUIREMENT ASSESSMENT
A measurement of the Pillar 2 capital requirement assessment is carried out to
assess
currency risks taking into account:
| ― |
a change in the economic value resulting from the application
of a set of internal
scenarios;
|
| ― |
one-year net interest margin driven by interest rate shocks.
|
At 31 December 2019, the estimated internal capital requirement for interest rate
risk is €17 million. 2.6.2 Foreign exchange risk
The foreign exchange risk is the financial risk associated with an unfavourable
change
in exchange rates on the foreign exchange market. It is primarily assessed by measuring
net residual exposure, taking into account gross foreign exchange positions and hedging
and differentially between structural and operational foreign exchange risk.
STRUCTURAL FOREIGN
EXCHANGE RISK
The Group's structural foreign exchange risk results from its other than temporary
investments in assets denominated in foreign currencies, mainly the equity of its
foreign operating entities, whether they result from acquisitions, transfers of funds
from head office or the capitalisation of local earnings.
In most cases, the Group's policy is to borrow the currency in which the investment
is made in order to immunise that investment from foreign exchange risk. These borrowings
are documented as investment hedging instruments. In certain cases, and particularly
for less liquid currencies, the investment leads to the purchase of the currency concerned;
the foreign exchange risk is then hedged with forward operations if possible.
Overall, the Group's main gross structural foreign exchange positions are denominated
in US dollars, in US dollar linked currencies (mainly Middle Eastern and some Asian
currencies), in sterling and in Swiss franc.
The Group's policy for managing structural foreign exchange positions aims at achieving
two main goals:
| ― |
regulatory (by way of exception) to protect the Group's solvency
ratio against currency
fluctuations; for this purpose, unhedged structural currency positions will be scaled
so as to equal the proportion of risk weighted assets denominated in the currencies
concerned and unhedged by other types of equity in the same currency;
at 31 December 2019 the immunisation ratio of the CET 1 solvency
ratio for the US
dollar and related currencies block was 80%.
|
| ― |
proprietary interests, to reduce the risk of loss of value for
the assets under consideration.
|
Structural foreign exchange risk hedging is centrally managed and implemented on
the
recommendations of the Structural Exchange Rate Committee and decisions of the Bank's
Asset and Liability Management Committee.
Crédit Agricole CIB's structural currency positions are also included with those
of
Crédit Agricole S.A., which are presented four times a year to its Assets and Liabilities
Committee, chaired by Crédit Agricole S.A.'s Chief Executive Officer. They are also
presented once a year to the Group Risk Committee.
OPERATIONAL FOREIGN
EXCHANGE RISK
The Bank is further exposed to operational exchange rate positions on its foreign
currency income and expenses, both at head office and in its foreign operations.
The Group's general policy is to limit net operational exchange rate positions
as
far as possible by periodically hedging them, usually without prior hedging of earnings
not yet generated except if they have a high probability and a high risk of impairment.
The management of operational foreign exchange positions depends, according to
their
level of importance, on the annual Crédit Agricole Group Risk Committee or the Crédit
Agricole CIB Asset and Liability Management Committees.
The different foreign currencies' contributions to the balance sheet are detailed
in Note 3.2 "Foreign exchange risk".
2.6.3 Liquidity
and financing risk
The Crédit Agricole CIB Group is, like all credit institutions, exposed to the
risk
of not having sufficient funds to honour its commitments. This risk could for example
be realised in the event of a mass withdrawal of customer or investor deposits or
during a confidence crisis or even a general liquidity crisis in the market (access
to interbank, monetary and bond markets).
OBJECTIVES AND
POLICY
Crédit Agricole CIB's first goal in terms of managing its liquidity is to always
be
able to cope with any prolonged, high-intensity liquidity crises.
The Crédit Agricole CIB Group is part of the Crédit Agricole Group's scope when
it
comes to liquidity risk management and uses a system for managing, measuring and containing
its liquidity risk that involves maintaining liquidity reserves, organising its funding
activities (limitations on short-term funding, staggered scheduling of long-term funding,
diversifying sources of funding) and balanced growth in the assets and liabilities
sides of its balance sheet. A set of limits, indicators and procedures aims to ensure
that this system works correctly.
This internal approach incorporates compliance with all local regulations on liquidity.
RISK MANAGEMENT
At Crédit Agricole CIB, responsibility for liquidity risk management is shared
by
several departments:
| ― |
the Financial and Strategic Steering Department manages liquidity
risks (framing liquidity
needs, anticipating regulatory changes, formalising financing plan, etc.);
|
| ― |
the Execution Management department carries out market transactions
in accordance
with the instructions of the Financial and Strategic Steering Department and the Financing
Plan validated by the Scarce Resources Committee;
|
| ― |
the Risk Department is in charge of validating the system and
monitoring compliance
with the rules and limits.
|
♦ Governance
Crédit Agricole CIB Group's Rare Resources Committee defines and follows the asset-liability
management policy. Together with the Management Committee, it makes up the executive
governance body and sets all the operational limits for Crédit Agricole CIB. It is
a decision-making body for tracking the raising of MLT funds and monitoring short
and long-term limits.
The Liquidity Risk Committee ensures the implementation of Group standards for
monitoring
liquidity risk at operational level. It validates the methodologies used, establishes
limits on the liquidity risk indicators specific to Crédit Agricole CIB, monitors
the limits and thresholds for alerts and, if applicable, approves proposals for managing
overruns. It also serves as the Liquidity Emergency Plan Committee in the event of
a crisis.
♦ Operational
Steering
The Financial and Strategic Steering Department manages rare liquidity resources
within
a framework constrained by the regulations, the group's standards and the defined
budget trajectory. Liquidity risk management is part of the level of risk appetite
validated by the Crédit Agricole CIB Board of Directors. This department is responsible
for steering and monitoring liquidity risk, anticipating regulatory changes and, where
applicable, related hedging requirements, planning issuance programmes and invoicing
liquidity to the consuming business lines.
The Execution Management department is responsible for the operational management
of liquidity refinancing.
The treasury ensures the day-to-day management of Crédit Agricole CIB Group's short-term
refinancing, the coordination of issuance spreads and the management of the Treasury's
liquid assets portfolio. Within each cost centre, the local Treasurer is responsible
for managing funding activities within the allocated limits. He reports to the Crédit
Agricole CIB Treasurer and the local Assets and Liabilities Committee. He is also
responsible for ensuring compliance with all local regulations applicable to short-term
liquidity.
The operational management of medium and long-term refinancing is delegated to
ALM
Execution, in charge of monitoring the longterm liquidity raised by the Bank's market
desks, the monitoring of issuance programmes and the control of consistency in issuance
prices.
2019 REFINANCING
CONDITIONS
In addition to traditional sources of short-term liquidity, Crédit Agricole CIB
actively
diversifies its sources of financing by implementing a policy whereby it maintains
diversified access to these markets via multi-format issue programmes (Commercial
Paper/Certificate of Deposit) and intended for various geographical areas (New York,
London, Tokyo, Australia, Hong Kong, etc.).
Crédit Agricole CIB's long-term liquidity resources are primarily sourced from
interbank
loans and various debt security issues. Crédit Agricole CIB uses its Euro Medium Term
Notes (EMTN) programmes. At 31 December 2019, amounts issued under EMTN programmes
represented approximately €26.2 billion.
The issues made as part of these programmes in order to meet the needs of Crédit
Agricole
CIB's international and domestic customers are "structured" issues, i.e. the coupon
that is paid and/or the amount that is reimbursed upon maturity includes a component
that is linked to one or more market indices (equity, interest rate, exchange rate
or commodity). Likewise, some issues are known as credit linked notes i.e. the reimbursement
is reduced in the event of default of a third party defined contractually at the time
of the issue.
Crédit Agricole CIB also still holds two Covered Bonds issued by Crédit Agricole
S.A.
and backed by Crédit Agricole CIB's export credit loans.
♦ Maintenance
of a well-balanced balance sheet in 2019
In 2019, Crédit Agricole CIB continued to strengthen its balance sheet structure
by
increasing the volume of stable funding through customers deposits.
PROCESS
Crédit Agricole CIB's liquidity management and control system is structured around
several risk indicators, the definition and control of which are the subject of standards
approved by the governance bodies of Crédit Agricole CIB and Crédit Agricole Group:
| ― |
short-term indicators comprising mainly stress scenario simulations
(all currencies
and the dollar) the aim of which is to regulate the liquidity risk based on the tolerance
levels defined by the Group; short-term debt facilitating regulation of the maximum
amount of short-term net market financing; the measurement of static gaps and the
monitoring of diversification indicators;
|
| ― |
medium to long-term indicators serving as a means to move towards
one year for all
currencies as well as the major currencies; concentration of the maturities of MLT
refinancing sources for the main currencies, the aim of which is to allow for a renewal
at maturity without excessive demand on the market;
|
| ― |
balance sheet indicators, including the stable funding position,
defined as the long-term
sources surplus over long-term assets, which aim to protect business lines from reliance
on refinancing on the money market.
|
The system also incorporates regulatory indicators:
| ― |
the purpose of the Liquidity Coverage Ratio (LCR) is to ensure
that the banks have
access to a reserve of High-Quality Liquid Assets to cover the cash outflows in the
event of a 30-day liquidity crisis. A minimum of 100% compliance with this ratio is
required as from 1 January 2018. It stands at an average of 116% in 2019;
|
| ― |
additional liquidity analysis reports called Additional Liquidity
Monitoring Metric
(ALMM) attached to the LCR;
|
| ― |
the Net Stable Funding Ratio (NSFR), whose calculation procedures
were initially described
in a publication by the Basel Committee dated October 2014, compares the stock of
liabilities with an effective or potential maturity of at least one year to assets
with similar effective or potential maturity. Each year, the defining of the NSFR
includes assigning a weighting to each in the balance sheet reflecting its potential
to have a maturity of more than one year. The final text of the NSFR, which was integrated
into the banking package in CRR2, was adopted by the European Parliament on 14 May
2019. The NSFR will become binding in Q2 2021.
|
The liquidity risk associated with securitisation activities is monitored by the
business
lines in charge, but also centrally by the Market Risk and Asset and Liability Management
(ALM) Departments. The impact of these activities is incorporated into the Internal
Liquidity Model indicators mainly the stress scenarios, liquidity ratios and liquidity
gaps.
2.6.4 Interest
rate risk and foreign exchange risk hedges
Within the framework of managing its financial risks, Crédit Agricole CIB uses
instruments
(interest-rate swaps and forex transactions) for which a hedging relation is established
based on the management intention that is followed.
The Note 3.4 to the Group consolidated financial statements presents the market
values
and notional amounts of derivative financial instruments held for hedging.
FAIR VALUE HEDGES
The aim is to protect the intrinsic value of fixed-rate financial assets and liabilities
that are sensitive to changes in interest rates, by hedging them with instruments
that are also at fixed rate. When hedging takes place through derivatives (swaps),
the derivatives are termed fair value hedge derivatives.
The hedges performed by the Finance Department in charge of Asset and Liability
Management
relate to the outstanding amounts of unpaid client deposits in Wealth Management,
which are treated as fixed rate financial liabilities.
CASH FLOW HEDGES
The second aim is to protect interest margin so that interest flows generated by
variable
rate assets financed by fixed rate liabilities (working capital in particular) are
not affected by the future fixing of interest rates on these items.
When the required neutralisation takes place through derivatives (swaps), these
derivatives
are termed cash flow hedge derivatives. According to IFRS 7, future interests related
to balance sheet items under cash flow hedge strategy are detailed, by maturity, in
the table below..
|
At 31.12.2019 |
| € million |
>1 year < 5 years |
>5 years |
Total |
| Cash flow hedged (To be received) |
|
64 |
64 |
| Cash flow hedged (to be paid) |
137 |
|
137 |
♦ IFRS documentation
of fair value and cash flow hedges
The hedging relationships of macro-hedges managed by the Finance Department in
charge
of Asset and Liability Management are documented from the outset and verified quarterly
by carrying out prospective and retrospective tests.
For this purpose, hedged items are classified by maturity, using the characteristics
of contracts or, for items without contractual maturities (such as demand deposits),
runoff models based on each product's behaviour. The comparison between this maturity
schedule and that of the derivative instrument allows the efficiency of the hedging
to be assessed.
FOREIGN EXCHANGE
NET INVESTMENT HEDGING
The instruments used to manage structural foreign exchange risk are classified
as
hedges of net investments in foreign currencies. The effectiveness of these hedges
is quarterly documented.
2.7 OPERATIONAL
RISKS
Operational risk is the risk of loss resulting from shortcomings in internal procedures
or information systems, human error or external events that are not linked to a credit,
market or liquidity risk.
2.7.1 Operational
risk management
The Risk and Permanent Control/Operational Risk Management Department is responsible
for supervising the system, and it is overseen by the Management Board through the
operational risk section of Crédit Agricole CIB's Internal Control Committee.
GOVERNANCE
Operational risk management relies mainly on a network of ORMs (Operational Risk
Management)
that cover all the Group's subsidiaries and business lines.
The system is monitored by Internal control committees under the authority of each
entity's management. Head office Control functions are invited to the meetings of
these Committees.
IDENTIFICATION
AND ASSESSMENT OF QUALITATIVE RISKS
In accordance with principles in force within the Crédit Agricole S.A. Group, Crédit
Agricole CIB's Risk and Permanent Control Department implemented a qualitative and
quantitative system designed to identify, assess, prevent and monitor operational
risk, as required by the Basel II reform.
The Risk and Control Self-Assessment process applies to all Group entities. These
risk maps allow Crédit Agricole CIB to supervise the most sensitive processes and
to draw up control plans. They are annually updated.
DETECTION OF OPERATIONAL
LOSSES AND REPORTING OF SIGNIFICANT INCIDENTS
A unified procedure for loss detection and for reporting significant incidents
has
been set up across the whole scope of Crédit Agricole CIB. The data required by the
internal model for calculating the economic capital allocation, in accordance with
the Basel II advanced method, are consolidated into a single database that provides
historical data for a rolling six-year period.
CALCULATION AND
ALLOCATION OF ECONOMIC CAPITAL
Capital requirements are calculated quarterly at the Crédit Agricole CIB level,
based
on historical loss data together with risk scenarios.
Capital requirement is calculated using the internal AMA methodology (Advanced
Measurement
Approach) of Crédit Agricole Group applied on Crédit Agricole CIB's scope. This model
has been validated at the end of 2007 by the French Regulatory and resolution supervisory
authority (ACPR).
PRODUCTION OF
OPERATIONAL SCORECARDS
RPC/MRO produces a quarterly operational risk scorecard that highlights significant
events and changes in the cost of those risks. These scorecards provide global confirmation
of the main sources of risks: litigation with customers and management of processes
(including those relating to market transactions) which determine the priorities of
preventative or remedial action plans.
EXPOSURES
The graph below provides the breakdown of the operational losses by nature over
the
2017-2019 period.
INSURANCE AND
RISK COVERAGE
Crédit Agricole CIB has broad insurance coverage of its insurable operating risks
in accordance with guidelines set by its parent company, Crédit Agricole S.A., with
the aim of protecting its balance sheet and its income statement.
Crédit Agricole CIB is covered by all Group policies taken out by Crédit Agricole
S.A. from major high-risk insurers, for risks including: cyber risk, fraud, all risk
securities (or theft), operating loss, professional civil liability, operational liability,
Executive and non-Executive Corporate Officers' civil liability and property damage
(buildings and IT, third party claims for buildings with the greatest exposure to
this risk).
In addition, Crédit Agricole CIB, like all the Crédit Agricole S.A. Group's business-line
subsidiaries, manages smaller risks itself. High-frequency and low intensity risks
that cannot be insured on satisfactory financial terms are retained in the form of
deductibles or are pooled within the Crédit Agricole S.A. Group by one of the Crédit
Agricole Group's insurance companies.
This general framework may vary according to local regulations and the specific
requirements
of countries in which the Crédit Agricole CIB Group operates. It is generally complemented
by local insurance.
2.8 LEGAL RISKS
The main legal and tax proceedings outstanding for Crédit Agricole CIB and its
fully
consolidated subsidiaries are described in the section on "Legal risks" in the chapter
on "Risk factors and Pillar 3" of the 2018 Registration Document. The cases presented
below are those that have evolved since 5 April 2019, the date on which Registration
Document no D. 19-0277 was filed with the AMF.
Any legal risks outstanding at 31 December 2019 that could have a negative impact
on the Group's net assets have been covered by provisions corresponding to the best
estimation by the Executive Management on the basis of the information it had. They
are mentioned in Note 6.15 of the consolidated financial statements. To date, to the
best of Crédit Agricole CIB's knowledge, there is no other governmental, judiciary
or arbitration proceeding (or any proceeding known by the Company, in abeyance or
that threatens it) that could have or has had, within the previous 12 months, any
substantial effect on the financial situation or the profitability of the Company
and/or the Group.
2.8.1 Litigation
and exceptional events
OFFICE OF FOREIGN
ASSETS CONTROL (OFAC)
In October 2015, Crédit Agricole S.A. and its subsidiary Crédit Agricole Corporate
and Investment Bank (Crédit Agricole CIB) reached agreements with the US and New York
authorities that had been conducting investigations regarding US dollar transactions
with countries subject to US economic sanctions. The events covered by this agreement
took place between 2003 and 2008.
Crédit Agricole CIB and Crédit Agricole S.A., which cooperated with the US and
New
York authorities in connection with their investigations, have agreed to pay a total
penalty amount of $787.3 million (i.e. €692.7 million). The payment of this penalty
has been allocated to the pre-existing reserve that had already been taken and, therefore,
has not affected the accounts for the second half of 2015.
The agreements with the Board of Governors of the Federal Reserve System (Fed)
and
the New-York State Department of Financial Services (NYDFS) are with CASA and Crédit
Agricole CIB. The agreement with the Office of Foreign Assets Control (OFAC) of the
US Department of the Treasury is with Crédit Agricole CIB. Crédit Agricole CIB also
entered into separate deferred prosecution agreements (DPAs) with the United States
Attorney's Office for the District of Columbia (USAO) and the District Attorney of
the County of New York (DANY), the terms of which are three years. On October 19,
2018 the two deferred prosecution agreements with USAO and DANY ended at the end of
the three year period, Crédit Agricole CIB having complied with all its obligations
under the DPAs.
Crédit Agricole continues to strengthen its internal procedures and its compliance
programmes regarding laws on international sanctions and will continue to cooperate
fully with the US and New York authorities with its home regulators, the European
Central Bank and the French Regulatory and Resolution Supervisory Authority (ACPR),
and with the other regulators across its worldwide network.
Pursuant to the agreements with NYDFS and the US Federal Reserve, Crédit Agricole's
compliance programme is subject to regular reviews to evaluate its effectiveness,
including a review by an independent consultant appointed by NYDFS for a term of one
year and annual reviews by an independent consultant approved by the Federal Reserve.
EURIBOR/LIBOR
AND OTHER INDEXES
Crédit Agricole S.A. and its subsidiary Crédit Agricole CIB, in their capacity
as
contributors to a number of interbank rates, have received requests for information
from a number of authorities as part of investigations into: (i) the calculation of
the Libor (London Interbank Offered Rates) in a number of currencies, the Euribor
(Euro Interbank Offered Rate) and certain other market indices; and (ii) transactions
connected with these rates and indices. These demands covered several periods from
2005 to 2012.
As part of its cooperation with the authorities, Crédit Agricole S.A. and its subsidiary
Crédit Agricole CIB carried out investigations in order to gather the information
requested by the various authorities and in particular the American authorities -
the DOJ (Department of Justice) and CFTC (Commodity Future Trading Commission) - with
which they are in discussions. It is currently not possible to know the outcome of
these discussions, nor the date when they will be concluded.
Furthermore, Crédit Agricole CIB is currently under investigation opened by the
Attorney
General of the State of Florida on both the Libor and the Euribor.
Following its investigation and an unsuccessful settlement procedure, on 21 May
2014,
the European Commission sent a statement of objection to Crédit Agricole S.A. and
to Crédit Agricole CIB pertaining to agreements or concerted practices for the purpose
and/or effect of preventing, restricting or distorting competition in derivatives
related to the Euribor.
In a decision dated 7 December 2016, the European Commission jointly fined Crédit
Agricole S.A. and Crédit Agricole CIB €114,654,000 for participating in a cartel in
euro interest rate derivatives. Crédit Agricole S.A. and Crédit Agricole CIB are challenging
this decision and have asked the European Court of Justice to overturn it.
Additionally, the Swiss competition authority, COMCO, is conducting an investigation
into the market for interest rate derivatives, including the Euribor, with regard
to Crédit Agricole S.A. and several Swiss and international banks. Moreover, in June
2016 the South Korean competition authority (KFTC) decided to close the investigation
launched in September 2015 into Crédit Agricole CIB and the Libor index on various
currencies, Euribor and Tibor indices. The investigation into certain foreign exchange
derivatives (ABS-NDF) has been closed by the KFTC according to a decision notified
to Crédit Agricole CIB on 20 December 2018.
Concerning the two class actions in the United States of America in which Crédit
Agricole
S.A. and Crédit Agricole CIB have been named since 2012 and 2013 along with other
financial institutions, both as defendants in one ("Sullivan" for the Euribor) and
only Crédit Agricole S.A. as defendant for the other ("Lieberman" for Libor), the
"Lieberman" class action is at the preliminary stage that consists in the examination
of its admissibility; proceedings are still suspended before the US District Court
of New York State. Concerning the"Sullivan" class action, Crédit Agricole S.A. and
Crédit Agricole CIB introduced a motion to dismiss the applicants' claim. The US District
Court of New York State upheld the motion to dismiss regarding Crédit Agricole S.A.
and Crédit Agricole CIB in first instance. On 14 June 2019, the plaintiffs appealed
this decision.
Since 1 July 2016, Crédit Agricole S.A. and Crédit Agricole CIB, together with
other
banks, are also party to a new class action suit in the United States ("Frontpoint")
relating to the SIBOR (Singapore Interbank Offered Rate) and SOR (Singapore Swap Offer
Rate) indices. After having granted a first motion to dismiss filed by Crédit Agricole
SA and Crédit Agricole CIB, the New York Federal District Court, ruling on a new request
by the plaintiffs, excluded Crédit Agricole SA from the Frontpoint case on the grounds
that it had not contributed to the relevant indexes. The Court considered, however,
taking into account recent developments in case law, that its jurisdiction could apply
to Crédit Agricole CIB, as well as to all the banks that are members of the SIBOR
index panel. The allegations contained in the complaint regarding the SIBOR/USD index
and the SOR index were also rejected by the court, therefore the index SIBOR/Singapore
dollar alone is still taken into account. On 26 December, the plaintiffs filed a new
complaint aimed at reintroducing into the scope of the Frontpoint case the alleged
manipulations of the SIBOR and SOR indexes that affected the transactions in US dollars.
Crédit Agricole CIB, alongside the other defendants, objected to this new complaint
at the hearing held on 2 May 2019 before the New York Federal District Court. On July
26, 2019, the Federal Court granted the defendants' motion to dismiss. The plaintiffs
filed a notice of appeal on August 26, 2019.
These class actions are civil actions in which the plaintiffs claim that they are
victims of the methods used to set the Euribor, Libor, SIBOR and SOR rates, and seek
repayment of the sums they allege were unlawfully received, as well as damages and
reimbursement of costs and fees paid.
BANQUE SAUDI FRANSI
Crédit Agricole Corporate Investment Bank (Crédit Agricole CIB) had received in
2018
a request for arbitration submitted by Banque Saudi Fransi (BSF) before the International
Chamber of Commerce (ICC). The dispute related to the performance of a technical services
agreement between BSF and Crédit Agricole CIB that is no longer in force. BSF had
quantified its claim at SAR 1,023,523,357, the equivalent of about € 242 million.
Crédit Agricole CIB and BSF have recently entered into an agreement effectively ending
the ICC arbitration proceedings. This agreement has no significant impact on Crédit
Agricole CIB's Financial Statements.
BONDS SSA
Several regulators requested information to Crédit Agricole S.A. and to Crédit
Agricole
CIB for investigations relating to activities of different banks involved in the secondary
trading of Bonds SSA (Supranational, Sub-Sovereign and Agencies) denominated in American
dollars. Through the cooperation with these regulators, Crédit Agricole CIB proceeded
to internal inquiries to gather the required information available. On 20 December
2018, the European Commission issued a Statement of Objections to a number of banks
including Crédit Agricole S.A. and Crédit Agricole CIB within its inquiry on a possible
infringement of rules of European Competition law in the secondary trading of Bonds
SSA denominated in American dollars. Crédit Agricole S.A. and Crédit Agricole CIB
became aware of these objections and issued a response on 29 March 2019, followed
by an oral hearing on 10-11 July 2019.
Crédit Agricole CIB is included with other banks in a putative consolidated class
action before the United States District Court for the Southern District of New York.
That action was dismissed on 29 August 2018 on the basis that the plaintiffs failed
to allege an injury sufficient to give them standing. However the plaintiffs have
been given an opportunity to attempt to remedy that defect. The plaintiffs filed an
amended complaint on 7 November 2018. Crédit Agricole CIB as well as the other defendants
have filed motions to dismiss the amended complaint. A judgment issued on 30 September
2019 dismissed the class action for lack of jurisdiction of Southern District Court
of the New York.
On 7 February 2019, another class action was filed against CACIB and the other
defendants
named in the class action already pending before the United States District Court
for the Southern District of New York.
On 11 July 2018, Crédit Agricole S.A. and Crédit Agricole CIB were notified with
other
banks of a class action filed in Canada, before the Ontario Superior Court of Justice.
Another class action, not notified to date, would have been filed before the Federal
Court of Canada. It is not possible at this stage to predict the outcome of these
investigations, proceedings or class actions or the date on which they will end.
O'SULLIVAN AND
TAVERA
On November 9, 2017, a group of individuals, (or their families or estates), who
claimed
to have been injured or killed in attacks in Iraq filed a complaint ("O'Sullivan I")
against several banks including Crédit Agricole S.A., and its subsidiary Crédit Agricole
Corporate and Investment Bank (Crédit Agricole CIB), in US Federal District Court
in New York.
On December 29, 2018, the same group of individuals, together with 57 new plaintiffs,
filed a separate action ("O'Sullivan II") against the same defendants.
On December 21, 2018, a different group of individuals filed a complaint ("Tavera")
against the same defendants.
All three complaints allege that Crédit Agricole S.A., Crédit Agricole CIB, and
other
defendants conspired with Iran and its agents to violate US sanctions and engage in
transactions with Iranian entities in violation of the US Anti-Terrorism Act and the
Justice Against Sponsors of Terrorism Act. Specifically, the complaints allege that
Crédit Agricole S.A., Crédit Agricole CIB, and other defendants processed US dollar
transactions on behalf of Iran and Iranian entities in violation of sanctions administered
by the US Treasury Department's Office of Foreign Assets Control, which allegedly
enabled Iran to fund terrorist organizations that, as is alleged, attacked plaintiffs.
The plaintiffs are seeking an unspecified amount of compensatory damages.
On 2 March 2018, Crédit Agricole CIB and other defendants filed a motion to dismiss
the O' Sullivan I Complaint. On 28 March 2019, the Court granted defendants' motion
to dismiss. On 22 April 2019, the plaintiffs filed a motion to amend their complaint.
Defendants submitted an opposition to that motion on 20 May 2019 and plaintiffs filed
a reply on 10 June 2019.
INTERCONTINENTAL
EXCHANGE, INC. ("ICE")
On January 15, 2019 a class action ("Putnam Bank") was filed before a federal court
in New-York (US District Court Southern District of New-York) against the Intercontinental
Exchange, Inc. ("ICE") and a number of banks including Crédit Agricole S.A., Crédit
Agricole CIB and Crédit Agricole Securities-USA. This action has been filed by plaintiffs
who allege that they have invested in financial instruments indexed to the USD ICE
LIBOR. They accuse the banks of having collusively set the index USD ICE LIBOR at
artificially low levels since February 2014 and made thus illegal profits.
On January 31, 2019 a similar action ("Livonia") has been filed before the US District
Court Southern District of New-York, against a number of banks including Crédit Agricole
S.A., Crédit Agricole CIB and Crédit Agricole Securities-USA. On February 1, 2019,
these two class actions were consolidated for pre-trial purposes. On March 4, 2019,
a third class action ("Hawaï Sheet Metal Workers retirement funds") was filed against
the same banks in the same court and consolidated with the two previous actions on
April 26 2019.
On July 1st, 2019, the plaintiffs filed a "Consolidated Class Action Complaint".
On
August 30, 2019, the Defendants filed a motion to dismiss against this consolidated
complaint.
BINDING AGREEMENTS
Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB) does not depend
on any industrial, commercial or financial patent, license or contract.
2.9 NON-COMPLIANCE
RISKS
Non-compliance risk is defined as the risk of judicial, administrative or disciplinary
sanction, significant financial loss or damage to reputation, which arises from non-compliance
with the provisions relating to banking and financial activities, be they legislative,
regulatory, professional or ethical in nature, or instructions from the executive
body, in particular pursuant to the guidelines of the supervisory body.
A compliance control system, which is part of Crédit Agricole CIB Group's permanent
control system, ensures control of these risks.
2.9.1 Prevention
and control of non-compliance risks
Non-compliance risk control within the Crédit Agricole CIB Group is carried out
by
the Compliance Department. The purpose of the Compliance function is to:
| ― |
protect Crédit Agricole CIB against any potentially harmful or
unlawful external actions:
fight against fraud and corruption, prevention of money laundering, fight against
terrorism financing, obligations in the fields of assets freeze and embargoes, etc.;
|
| ― |
protect the Bank's reputation in the markets as well as its clients'
interests against
violations of the internal ethical standards and failures to meet the professional
obligations to which Crédit Agricole CIB Group and its employees are subject (insider
dealing, price manipulation, dissemination of false information, conflicts of interest,
failure to advise, etc.) as well as against internal or mixed fraud and internal corruption.
|
For this purpose, the Compliance Department:
| ― |
provides any useful advice and assists its employees and executive
managers by giving
them advice and training in the field of compliance;
|
| ― |
defines and organises the compliance control mechanism (governance
system, compliance
risk mapping, governance texts, monitoring and controlling systems both for the Head
Office and for entities within the scope of consolidated internal control in France
and internationally);
|
| ― |
carries out or makes carried out necessary a priori or a posteriori
controls, depending
on the activity, and in particular monitors transactions conducted by the Bank for
its own account or for its customers;
|
| ― |
organises, in collaboration with the Risks and Permanent Control
Department, the escalation
of information on possible incidents of compliance and ensures the rapid implementation
of the necessary corrective measures;
|
| ― |
manages the relationships with regulatory and market supervision
authorities;
|
| ― |
provides the necessary reporting on the quality of the mechanism
and the level of
compliance risks to Crédit Agricole S.A.'s Executive Management, Board of Directors,
and Compliance Department, as well as to French and foreign authorities and regulators.
|
The non-compliance risks control system is designed to guard against the risks
of
non-compliance with laws, regulations and internal standards, particularly in relation
to investment services, client protection, the prevention of money laundering and
terrorism financing, compliance with international sanctions and internal and external
fraud prevention. Specific operational management and monitoring resources are used:
staff training, adoption of written internal rules, dedicated tools, permanent compliance
controls, fulfilment of declaration obligations to regulatory authorities, etc. The
Compliance Management Committee oversees the noncompliance risk management system
and ensures its relevance and effectiveness to guarantee an adequate level of security.
At the same time, the Head of Compliance regularly informs Crédit Agricole CIB's governance
and Crédit Agricole S.A.'s Compliance Department of the non-compliance risks incurred
by the Bank.
Crédit Agricole CIB Group's compliance function is part of the Crédit Agricole
S.A.
Group's compliance business line. The Crédit Agricole CIB Group's Compliance business
line includes all compliance teams at the head office and local managers of the international
network and their teams. In order to develop the integration and guarantee the independence
of this function, the hierarchical and functional links are as follows:
| ― |
the Head of Compliance reports hierarchically to the Head of
Compliance of Crédit
Agricole S.A. and functionally to the Chief Executive Officer of Crédit Agricole CIB;
|
| ― |
the Local Compliance Officers of Crédit Agricole CIB's CIB report
hierarchically to
the International Compliance Officer and functionally to the Senior Country Officer.
In some cases, specifically approved by the Director of Compliance (Crédit Agricole
CIB Dubai, Crédit Agricole CIB Brazil and Crédit Agricole CIB Russia), the local system
provides for Local Compliance Officers to functionally report to the local Legal and
Compliance Officer;
|
| ― |
the Compliance Manager of the Wealth Management business reports
hierarchically to
the Compliance Director of Crédit Agricole CIB and functionally to the Managing Director
of Private Banking.
|
In 2019, the Compliance business line continued and intensified its actions to
strengthen
its resources in terms of profiles and expertise and adapting its processes.
The Crédit Agricole CIB Compliance organisation therefore revolves around two complementary
axes:
| ― |
a geographical system guaranteeing compliance by each entity
with the Bank's global
compliance rules, as well as laws, regulations and local professional standards, under
the responsibility of the LCO (Local Compliance Officer) who performs the tasks at
local level;
|
| ― |
the Compliance Department at the headquarters consists of 3 operational divisions
organised by type of compliance risk, and 4 cross-divisional functions, with global
responsibility for their respective areas of compliance, and a central point of entry
both at the headquarters level and at the Crédit Agricole CIB's CIB entities:
| ― |
of Global Business Compliance, responsible for the system for
compliance by businesses
with internal and external standards, such as detection and prevention of market abuse
and identification, prevention and management of conflicts of interest and related
controls. In addition, Business Compliance is responsible for the compliance of the
business lines within the meaning of the AMF general regulations, Article 313-4;
|
| ― |
of Financial Security, responsible for the Bank's overall system
for identification,
mapping, prevention, control and reporting of risk related to financial crime: prevention
of money laundering, combat against the financing of terrorism, obligations on embargoes
and freezing of assets, as well as external corruption. The SF division ensures the
processing and control of financial security alerts at the head office and also intervenes
as a last resort in high-risk situations (embargoes);
|
| ― |
the fight against fraud and corruption, in charge of the prevention
and detection
of corruption and fraud risks within the Bank;
|
| ― |
the Corporate Secretary, in charge of coordinating cross-divisional
topics involving
the Compliance function: governance, reporting, coordination of regulatory monitoring,
interactions with regulators, compliance training strategy and HR topics. The Corporate
Secretary ensures the supervision, coordination and reporting related to the compliance
control system.
The General Secretary is also in charge of assisting the Bank's
General Management
in the decision-making bodies by issuing an opinion covering all non-compliance risks
on the files submitted to it (for example, compliance notices issued by the Bank's
main credit committees);
|
| ― |
the Data & Processing team, in charge of managing the risks
of non-compliance related
to data processing (including the protection of personal data);
|
| ― |
the Change Management team, in charge of change management within
Compliance, the
digital transformation and the management of Compliance projects;
|
| ― |
International, in charge of exchanging the best practices within
Compliance, to ensure
the coordination of the Local Compliance Officers (LCOs), to align the standards within
the teams and to deploy training for all CPL employees in all locations.
|
|
Compliance at the CA Indosuez Wealth (Group) holding, which is responsible for
overseeing
and coordinating the entities of the Banque Privee (wealth management), is organised
around three separate areas ("Regulatory Compliance", Financial Security and Fight
against Fraud and Corruption), thus reinforcing the key role Compliance plays in the
governance of the Business Line. These three departments report to the Banque Privee
(wealth management) Compliance Officer.
The Compliance function's main governance body is the Compliance Management Committee,
which includes the Legal (LGL), Finance (FIN), Permanent Control and Risks (RPC) and
Crédit Agricole CIB Periodic Control (GIA) functions and is chaired by the Deputy
Chief Executive Officer of Crédit Agricole CIB. The Compliance Department of Crédit
Agricole S.A. is also a permanent member of this committee. Furthermore, the Compliance
Department is responsible for governance of the NAP system and chairs the top-level
New Activities and Products (NAP) Committee of Crédit Agricole CIB.
In 2019, the Crédit Agricole CIB Compliance Department continued to provide support
and advice to the Bank's Executive Management and business lines.
Furthermore, the Compliance Department has launched various projects and initiatives
to continue improving its organisation, tools and processes and increase its resources.
The aim is to increase its effectiveness in dealing with regulatory changes and the
expectations of regulators, and in general to foster a compliance culture within all
of the Bank's business processes. Within this framework, a number of projects and
initiatives to reinforce the governance of the system and the management of compliance
risks were carried out in 2019, and notably:
| ― |
taking into account regulatory developments with the continuation
of the ongoing projects,
in particular, Benchmark MIFID II, Sapin II, etc.;
|
| ― |
implementing overall plans to strengthen the non-compliance risk
management system
(beyond purely local initiatives) with the continuation of work on the NAP system,
ongoing work to strengthen the fight against corruption and tax evasion, strengthening
the whistleblowing system through a tool deployed in all entities that allows employees
to escalate alerts in a confidential and secure manner;
|
| ― |
the development of new tools and solutions based on artificial
intelligence to respond
in an innovative way to challenges and needs with regard to business and support function
compliance;
|
| ― |
the mobilisation of teams with regard to international sanctions
remediation;
|
| ― |
supporting the Bank's Executive Management in its actions to
foster a Compliance culture
with the organisation of the fifth edition of the Compliance Awards event, which seeks
to recognise and reward efforts to build a Compliance culture, as well as the teams
whose day-to-day work helps to protect the Bank and its clients.
|
5 Basel III Pillar
3 disclosures
3. BASEL III PILLAR
3 DISCLOSURES
(EU) Regulation No. 575/2013 of the European Parliament and the Council of 26 June
2013 requires supervised financial institutions (mainly credit institutions and investment
firms) to disclose quantitative and qualitative information on their risk management
activities. Crédit Agricole CIB Group's risk management system and exposure levels
are presented in this section as well as in the "Risk factors" section.
Basel III is based on three pillars:
| ― |
Pillar 1 determines the minimum capital requirements and the
level of ratios according
to the current regulatory framework;
|
| ― |
Pillar 2 completes the regulatory approach with the quantification
of a capital requirement
covering the major risks to which the Bank is exposed, based on the methodologies
specific to it (see Part 3.2: "Management of economic capital");
|
| ― |
Pillar 3 introduces new standards for financial disclosure to
the market; the latter
is more detailed in terms of regulatory capital components and risk assessments, both
for the regulations applied and the business during the period.
|
Crédit Agricole CIB Group has chosen to disclose its Pillar 3 Prudential information
in a separate section from its Risk Factors in order to isolate the items that meet
the regulatory publication requirements.
The principal aim of managing the Group's solvency is to assess its share capital
and at all times ensure that the Group has sufficient capital to cover the risks to
which it is or might be exposed in view of its business activities, thus ensuring
the Group's access to financial markets under the desired conditions.
To achieve this objective, the Group applies the Internal Capital Adequacy and
Assessment
Process (ICAAP).
The ICAAP is developed in accordance with the interpretation of the main regulatory
texts specified below (Basel agreements, guidelines of the European Banking Authority,
prudential expectations of the European Central Bank). More specifically, it includes:
| ― |
governance of capital management, adapted to the specificities
of the Crédit Agricole
CIB group's subsidiaries, and enabling centralised and coordinated monitoring at the
Group level;
|
| ― |
measurement of regulatory share capital requirements (Pillar
1);
|
| ― |
measurement of economic capital requirements, which is based
on the process of identification
of risks and quantification of the capital requirements according to an internal approach
(Pillar 2);
|
| ― |
management of regulatory share capital requirements based on
forecast, short and medium
term, measurements, consistent with the budget forecast on the basis of a central
macroeconomic scenario;
|
| ― |
the control of ICAAP stress tests, which aim to simulate the
destruction of capital
after three years of an adverse economic scenario (see chapter 5 - Risk Management,
paragraph: "Different types of stress tests" in the 2019 Universal Registration Document);
|
| ― |
the management of economic capital (see Part 3.2 "Management
of economic capital");
|
| ― |
a qualitative ICAAP that formalizes in particular the major areas
for risk management
improvement.
|
ICAAP is also an integrated process that interacts with the Group's other strategic
processes (ILAAP: Internal Liquidity Adequacy and Assessment Process, risk appetite,
budget process, recovery plan, risk identification, etc.).
Other than solvency, Crédit Agricole CIB also manages the leverage and resolution
ratios (MREL & TLAC) on its own behalf or on behalf of its contribution to the
Crédit
Agricole group.
Lastly, key solvency ratios are an integral part of the risk appetite system applied
within the Group (described in chapter 5 - Risk management - in the Universal Registration
Document).
| Key metrics at group level - Crédit
Agricole Group |
|
31.12.2019 in €m
|
|
Available own funds (amounts) |
|
| 1 |
Common Equity Tier 1 (CET1) capital |
14,613 |
| 2 |
Tier 1 capital |
20,184 |
| 3 |
Total capital |
24,035 |
|
Risk-weighted exposure amounts |
|
| 4 |
Total risk-weighted exposure amount |
120,474 |
|
Capital ratios (as a percentage of risk-weighted exposure
amount) |
|
| 5 |
Common Equity Tier 1 ratio (%) |
12.1% |
| 6 |
Tier 1 ratio (%) |
16.8% |
| 7 |
Total capital ratio (%) |
20.0% |
|
Additional own funds requirements based on SREP (as a
percentage of risk-weighted
exposure amount)
|
|
| EU 7a |
Additional CET1 SREP requirements (%) |
1.50% |
| EU 7b |
Additional AT1 SREP requirements (%) |
n/a |
| EU 7c |
Additional T2 SREP requirements (%) |
n/a |
| EU 7d |
Total SREP own funds requirements (%) |
1.50% |
|
Combined buffer requirement (as a percentage of risk-weighted
exposure amount) |
|
| 8 |
Capital conservation buffer (%) |
2.50% |
| EU 8a |
Conservation buffer due to macro-prudential or systemic
risk identified at the level
of a Member State (%)
|
n/a |
| 9 |
Institution specific countercyclical capital buffer (%) |
0.19% |
| EU 9a |
Systemic risk buffer (%) |
n/a |
| 10 |
Global Systemically Important Institution buffer (%) |
n/a |
| EU 10a |
Other Systemically Important Institution buffer (%) |
n/a |
| 11 |
Combined buffer requirement (%) |
2.69% |
| EU 11a |
Overall capital requirements (%) |
8.69% |
| 12 |
CET1 available after meeting the total SREP own funds
requirements (%) |
3.44% |
|
Leverage ratio |
|
| 13 |
Leverage ratio total exposure measure |
571,522 |
| 14 |
Leverage ratio (%) |
3.56% |
|
Additional own funds requirements to address risks of
excessive leverage (as a percentage
of leverage ratio total exposure amount)
|
|
| EU 14a |
Additional CET1 leverage ratio requirements (%) |
n/a |
| EU 14b |
Additional AT1 leverage ratio requirements (%) |
n/a |
| EU 14c |
Additional T2 leverage ratio requirements (%) |
n/a |
| EU 14d |
Total SREP leverage ratio requirements (%) |
n/a |
| EU 14e |
Applicable leverage buffer |
n/a |
| EU 14f |
Overall leverage ratio requirements (%) |
n/a |
|
Liquidity Coverage Ratio |
|
| 15 |
Total high-quality liquid assets (HQLA) (Weighted value
- average) |
94,981 |
| 16 |
Total net cash outflows (adjusted value) |
80,838 |
| 17 |
Liquidity coverage ratio (%) |
117% |
|
Net Stable Funding Ratio |
|
| 18 |
Total available stable funding |
150,555 |
| 19 |
Total required stable funding |
190,843 |
| 20 |
NSFR ratio (%) |
79% |
3.1 MONITORING
OF THE REGULATORY CAPITAL
3.1.1 Applicable
regulatory framework
Tightening up the regulatory framework, Basel 3 agreements enhanced the quality
and
level of regulatory capital required and added new risk categories to the regulatory
framework. In addition, a specific regulatory framework. allowing an alternative to
bank default, was introduced following the 2008 financial crisis. The legislation
concerning the regulatory requirements applicable to credit institutions and investment
firms was published in the Official Journal of the European Union on 26 June 2013
(Capital Requirements Directive 2013/36/EU, known as "CRD4", transposed notably by
French Order No. 2014-158 of 20 February 2014 and the Capital Requirements Regulation.
known as "CRR", Regulation 575/2013) entered into force on 1 January 2014, in accordance
with the transitional provisions specified in the legislation.
The European Bank Recovery and Resolution Directive (known as BRRD, Directive 2014/59/EU)
was published on 12 June 2014 with effective date 1 January 2015 and the European
Single Resolution Mechanism Regulation (known as SRMR, Regulation 806/2014) was published
on 30 July 2014 with effective date 1st January 2016, in accordance with the transitional
provisions of the texts.
On 7 June 2019 four texts constituting the banking package were published in the
Official
Journal of the European Union for gradual implementation by the end of June 2021:
| ― |
BRRD 2: Directive (EU) 2019/879 of the European Parliament and
of the Council of 20
May 2019 amending Directive 2014/59/ EU
|
| ― |
SRMR 2: Regulation (EU) 2019/877 of the European Parliament and
of the Council of
20 May 2019 amending Regulation (EU) No 806/2014
|
| ― |
CRD 5: Directive (EU) 2019/878 of the European Parliament and
of the Council of 20
May, 2019 amending Directive 2013/36/EU
|
| ― |
CRR 2: Regulation (EU) 2019/876 of the European Parliament and
of the Council of 20
May 2019 amending Regulation (EU) No 575/2013
|
The BRRD 2 and CRD 5 Directives will be transposed into French law. Regulations
CRR
2 and SRMR 2 entered into force 20 days after their publication. i.e. on 27 June 2019
(although not all the provisions are immediately applicable).
In the CRR 2/CRD 4 regime (pending the transposition of CRD 5), four levels of
capital
requirements are calculated:
| ― |
the Common Equity Tier 1 (CET1) ratio;
|
| ― |
the Tier 1 (T1) ratio;
|
| ― |
the total capital ratio;
|
| ― |
the leverage ratio.
|
These ratios are calculated in a phased-in approach with the goals of gradually
managing
the transition: on the one hand, from the Basel II calculation rules to the Basel
III rules (the transitional provisions have been applied to all equity capital until
1st January 2018 and apply to hybrid debt instruments until 1st January 2022) and,
on the other, the eligibility criteria defined by CRR 2 (until 28 June 2025).
A ratio is already added to this process with the aim of assessing the adequacy
of
the capacities to absorb losses and to recapitalise "global systemically important"
banks (G-SIB). This Total Loss Absorbing Capacity (TLAC) ratio completes the Minimum
Requirement for Own Funds and Eligible Liabilities (MREL) resolution ratio defined
in BRRD. The CACIB Group does not have any requirement specific to TLAC or MREL, however
as a subsidiary of the Crédit Agricole Group it contributes to these ratios and enters
into the monitoring and steering process set up by the Group .
3.1.2 Supervision
Credit institutions and certain approved investment activities referred to in Annex
1 to Directive 2004/39/EC are subject to solvency and large exposure ratios on an
individual and, where applicable, "sub-group" basis.
The French Regulatory Control and Resolution Authority (ACPR) has accepted that
certain
subsidiaries of the Group may benefit from an individual exemption under the conditions
specified by Article 7 of the CRR Regulation. In that regard, the ACPR has provided
Crédit Agricole CIB with an exemption on an individual basis.
The transition to sole supervision by the European Central Bank on 4 November 2014
did not call into question the individual exemptions previously granted by the ACPR.
3.1.3 Regulatory
supervision scope
Difference between
the accounting and the regulatory scope of consolidation
Entities consolidated for accounting purposes, but excluded from the regulatory
scope
of consolidation of credit institutions on a consolidated basis predominantly comprise
ad hoc entities that are equity-accounted for regulatory purposes. In addition, entities
consolidated for accounting purposes using the proportional method at 31 December
2013 and now consolidated under the equity method for accounting purposes, in accordance
with IFRS 11, continue to be consolidated proportionally for prudential purposes.
Information on these entities as well as their consolidation method for accounting
purposes are presented in the notes to the consolidated financial statements at 31
December 2019.
► Differences
in the treatment of equity investments between the accounting and prudential
scopes
| Type of investment |
Accounting treatment |
Fully loaded Basel III regulatory
capital treatment |
| Subsidiaries with a financial activity |
Consolidation by full integration |
Full consolidation generating capital requirements for
the subsidiary's operations. |
| Jointly held subsidiaries with a financial activity |
Equity method |
Proportional consolidation. |
| Subsidiaries with an insurance activity |
Consolidation by full integration |
CET1 instruments held by more than 10%-owned entities
are deducted from CET1, above
the exemption limit of 17.65% of CET1. This exemption, which is applied after computing
a 10% threshold, is aggregated with the undeducted share of deferred tax assets that
depends on future profitability linked to temporary differences.
|
|
|
Deduction of AT1 and T2 instruments at the level of their
respective capital. |
| Investments of more than 10% that have a financial activity
by type |
Equity method Investments in credit institutions |
CET1 instruments held by more than 10%-owned entities
are deducted from CET1, above
the exemption limit of 17.65% of CET1. This exemption, which is applied after computing
a 10% threshold, is aggregated with the undeducted share of deferred tax assets that
depends on future profitability linked to temporary differences.
|
|
|
Deduction of AT1 and T2 instruments at the level of their
respective capital. |
| Investments of 10% or less that have a financial or insurance
activity |
Equity investments and securities held for sale |
Deduction of CET1, AT1 and T2 instruments in entities
where the ownership interest
is less than 10%, above an exemption limit of 10% of CET1.
|
| ABCP (Asset-backed commercial paper) securitisation vehicles |
Full consolidation |
Risk-weighting of equity-accounted amount and commitments
made on these entities (liquidities
facilities and letters of credit).
|
(1)
The EAD is the amount in the event of default. It encompasses balance sheet assets
plus a proportion of off-balance sheet commitments.
3.1.4 Overall
process
♦ Capital planning
Regulatory capital is controlled under a planning process called capital planning.
Capital planning is intended to provide projections of equity capital and the use
of scarce resources (risk weighted assets and balance sheet) over the horizon of the
Medium-Term Plan underway on the scope of consolidation of the Crédit Agricole CIB
group and on its contribution to the Crédit Agricole group, in order to prepare trajectories
of solvency (CET1, Tier 1 and total capital), leverage and resolution (MREL and TLAC)
ratios.
It applies the budgetary elements of the financial trajectory, including projected
structural transactions, accounting and prudential regulatory developments and model
effects applied to risk bases. It also translates the issuance policy (subordinated
debt and debt eligible for TLAC) and the distribution policy with regard to the capital
structure objectives defined to be consistent with the strategy of the Group.
It determines the margins for manoeuvre within which the Group can grow. It also
enables
compliance with the various prudential requirements and the distribution restriction
threshold to be verified, and is used to calculate the maximum distributable amount
as defined by the CRR for Additional Tier 1 debt. It is also used to set various risk
thresholds used for risk appetite.
Capital planning is submitted to various governance bodies and is communicated
to
the competent authorities, either in the context of regular discussions or for special
transactions (such as authorization requests).
♦ Governance
The Scarce Ressources Committee meets each quarter, chaired by the Deputy Chief
Executive
Officer in charge of finance, and including the head of risk management, the head
of financial control, the head of cash management and financing, and representatives
of Crédit Agricole S.A.
The main tasks of this committee are:
| ― |
review the short- and medium-term projections of the Crédit Agricole
CIB group in
matters of solvency, leverage and resolution;
|
| ― |
validate the structural assumptions affecting solvency in coherence
with the medium-term
plan;
|
| ― |
set the rules for the management and allocation of capital within
the group between
the various business lines of the bank;
|
| ― |
decide the liability management operations (management of subordinated
debt);
|
| ― |
discuss subjects relative to economic capital;
|
| ― |
obtain news concerning supervision and regulation;
|
| ― |
study relevant problems concerning subsidiaries;
|
| ― |
prepare any decisions to be submitted to the Board of Directors.
|
3.1.5 Solvency
ratios
♦ Solvency ratio
numerator (see Part 3.1.6 "Definition of capital")
Basel III defines three levels of capital:
| ― |
Common Equity Tier 1 (CET1);
|
| ― |
Tier 1 capital, which consists of Common Equity Tier 1 and Additional
Tier 1 capital
(AT1);
|
| ― |
Total capital, consisting of Tier 1 capital and Tier 2 capital.
|
♦ Solvency ratios
denominator (see Part 3.4 "Composition and changes in risk weighted
assets")
Basel III defines several types of risk: credit risks, market risks and operational
risks, which give rise to risk weighted asset calculations. They are outlined below.
Pursuant to Regulation (EU) No. 575/2013 of 26 June 2013, two approaches are used
to measure exposure to credit risk:
| ― |
the standardised approach, which is based on external credit
ratings and fixed weightings
for each Basel exposure class;
|
| ― |
the "Internal Ratings Based" approach (IRB), which is based on
the bank's own internal
rating system.
|
There are two subsets of the IRB approach:
| ― |
the "Foundation Internal Ratings-Based" approach, under which
institutions may use
exclusively their own default probability estimates;
|
| ― |
the "Advanced Internal Ratings-Based" approach, under which institutions
use all their
internal estimates of risk components: probability of default, loss given default,
exposures given default, maturity.
|
MINIMUM REQUIREMENTS
OF PILLAR 1
Requirements under Pillar 1 are governed by Regulation (EU) No. 575/2013 of the
European
Parliament and Council of 26 June 2013 (CRR). The regulator also fixes, on a discretionary
basis, the minimum requirements, within the framework of Pillar 2.
♦ Minimum requirements
of Pillar 1
Capital ratios before buffers: the minimum phased-in CET1 requirement is 4.5%.
The
minimum phased-in Tier 1 requirement is 6% and the minimum phased-in total capital
requirement stood at 8%.
Capital buffers are added to these ratios:
| ― |
the capital conservation buffer (2.5% of risk weighted assets
in 2019);
|
| ― |
the countercyclical buffer (rate in principle within a range
of 0 to 2.5%), the buffer
at the Group level being an average weighted by the values exposed to relevant risk
(EAD (1)) for the buffers defined at the level of each country where the
Group operates; when
the rate of a countercyclical buffer is calculated at the level of one of the countries
of operation, the date of application is no more than 12 months after the date of
publication, except in the case of exceptional circumstances;
|
| ― |
the buffer for systemic risk and for Global Systemically Important
Banks (G-SIB) (in
the range 0% to 3.5%). These two buffers are not cumulative, with double counting
eliminated by the regulator of the consolidating entity. Only Crédit Agricole Group
is a G-SIB. Crédit Agricole CIB does not fall within this category.
|
These buffers come into force on an incremental basis from 1 January 2016 to 2019
(25% of the required buffer in 2016, 50% in 2017, etc.) The buffer for systemic risk
can be implemented by a national authority if it provides documentary evidence to
the European Banking Authority.
(1)
EAD (exposure at default) is the exposure amount in the event of default. It encompasses
balance sheet assets plus a proportion of off-balance sheet commitments.
At the end of 2018, countercyclical buffers on Hong Kong, Iceland, Norway, the
Czech
Republic, the United Kingdom, Slovakia and Sweden were recognised by the High Council
for Financial Stability (HCSF). In 2019, countercyclical buffers on France, Lithuania
and Denmark also came into force. Concerning French exposure, the High Council for
Financial Stability (HCSF) raised this rate to 0.25% from the date of entry into force
on 1 July 2019. Given the exposure of the Group in these countries, the countercyclical
buffer rate for the Group on 31 December 2019 stands at 0.187%. It will reach 0.24%
at the end of June 2020, in particular to take into account the doubling of the French
countercyclical buffer starting from 2 April 2020.
These buffers must be covered by CET1.
► Minimum requirements
on the basis of information known at the end of December 2019
| 1st January... |
2014 |
2015 |
2016 |
2017 |
2018 |
2019 |
| CET1 |
4.00% |
4.50% |
4.50% |
4.50% |
4.50% |
4.50% |
| T1 |
5.50% |
6.00% |
6.00% |
6.00% |
6.00% |
6.00% |
| T1 + T2 |
8.00% |
8.00% |
8.00% |
8.00% |
8.00% |
8.00% |
| 1st January... |
2020 |
| CET1 |
4.50% |
| T1 |
6.00% |
| T1 + T2 |
8.00% |
♦ Minimum requirements
of Pillar 2
Crédit Agricole CIB was notified by the European Central Bank (ECB) in 2017 of
the
new minimum capital requirements following the results of the Supervisory Review and
Evaluation Process (SREP).
Since 2017, the ECB has developed the methodology used, dividing the prudential
requirement
into two parts:
| ― |
a Pillar 2 Requirement (P2R). This requirement applies to all
levels of equity capital
and must be made up entirely of common equity Tier 1 capital; non-compliance with
this requirement leads automatically to distribution restrictions (super-subordinated
debt coupons, dividends, variable remunerations). Consequently, this requirement is
public;
|
| ― |
Pillar 2 Guidance (P2G). At this stage, this guidance is not
public. At 31 December
2019, Crédit Agricole CIB must respect a minimum consolidated CET1 ratio (including
the Pillar 1, Pillar 2 R and the equity capital conservation buffer and the counter-cyclical
buffer) of at least 8.69%.
|
COMBINED BUFFER
REQUIREMENTS AND DISTRIBUTION RESTRICTION THRESHOLD
The regulations provide for the establishment of capital buffers which are gradually
being implemented:
| ― |
the capital conservation buffer (2.5% of risk weighted assets
in 2019);
|
| ― |
the countercyclical buffer (rate in principle within a range
of 0 to 2.5%), the buffer
at institution level being an average weighted by the values exposed to relevant risk
(EAD (1)) for the buffers defined at the level of each country where the
institution operates;
when the rate of a countercyclical buffer is calculated at the level of one of the
countries of operation, the date of application is no more than 12 months after the
date of publication, except in the case of exceptional circumstances;
|
| ― |
the buffers for systemic risk (0 to 3% in general, up to 5% after
agreement from the
European Commission, and more exceptionally above that figure); for Global Systemically
Important Banks (G-SIB, between 0% and 3.5%); or for other systemically important
institutions (O-SII, between 0% and 2%). These buffers are not cumulative, and in
general, with some exceptions, the highest applies. Only the Crédit Agricole Group
is a G-SIB and has a buffer of 1% since 1 January 2019, phased-in at 0.75% in 2018.
Crédit Agricole CIB is not subject to such requirements.
|
These buffers entered into force in 2016 and must be covered by Common Equity Tier
1 capital. The capital conservation buffer and the systemic risk buffers were applied
on an annual incremental basis until 2019 (75% of the buffer required in 2018; 100%
in 2019).
At the end of June 2019, countercyclical buffers for Hong Kong, Iceland, Lithuania,
Norway, the Czech Republic, the United Kingdom, Slovakia and Sweden were activated
by the appointed national authorities. In the second half of 2019, countercyclical
buffers also came into force in France, Bulgaria, Denmark, Luxembourg and Ireland.
As for French exposures, the High Council for Financial Stability (HCFS) raised the
rate to 0.25% from 1 July 2019 and will raise the rate to 0.50% from 2 April 2020.
Given the exposure of the Group in these countries, the countercyclical buffer
rate
for the Group on 31 December 2019 stands at 0.19%. It should reach 0.25% at 30 June
2020, taking into account the raising of the French buffer rate as from 2 April 2020.
CET1 should cover those buffers.
(1)
The EAD is the amount in the event of default. It encompasses balance sheet assets
plus a proportion of off-balance sheet commitments.
► Details of the
calculation of the countercyclical buffer at the end of December
2019
|
31.12.2019 |
|
General credit exposures |
Trading book exposure |
Securitisation exposure |
| € million |
Standard approach |
IRB approach |
Sum of long and short position
of trading book |
Value of trading book exposure
for internal models |
Standard approach |
IRB approach |
| Germany |
12 |
9,464 |
|
|
|
2,498 |
| Norway |
|
1,310 |
|
|
|
|
| Sweden |
38 |
1,574 |
|
|
|
14 |
| Hong kong |
565 |
3,821 |
|
|
|
|
| Czech Republic |
|
167 |
|
|
|
|
| Denmark |
|
524 |
|
|
|
|
| United Kingdom |
310 |
14,753 |
|
|
|
1,495 |
| Lituania |
|
1 |
|
|
|
|
| Slovakia |
|
1 |
|
|
|
|
| Bulgaria |
|
22 |
|
|
|
|
| Ireland |
6 |
3,740 |
|
|
|
69 |
| France |
5,761 |
38,005 |
140 |
1,849 |
|
11,618 |
| Other countries 1 |
5,584 |
137,707 |
|
|
503 |
28,269 |
| Total |
12,264 |
201,625 |
140 |
1,849 |
503 |
41,465 |
|
31.12.2019 |
|
Own funds requirements |
Countercyclical capital buffer
rate (in %) 31.12.2019
|
| € million |
General credit exposure |
Trading book exposure |
Securitisation exposure |
Total |
Breakdown by country (in %)
|
|
| Germany |
199 |
|
25 |
224 |
3.504% |
|
| Norway |
31 |
|
|
31 |
0.492% |
0.01% |
| Sweden |
44 |
|
1 |
45 |
0.691% |
0.02% |
| Hong kong |
111 |
|
|
111 |
1.734% |
0.04% |
| Czech Republic |
4 |
|
|
4 |
0.066% |
|
| Denmark |
8 |
|
|
8 |
0.126% |
|
| United Kingdom |
361 |
|
18 |
379 |
5.919% |
0.06% |
| Lituania |
|
|
|
|
0.001% |
|
| Slovakia |
|
|
|
|
0.001% |
|
| Bulgaria |
1 |
|
|
1 |
0.008% |
|
| Ireland |
85 |
|
1 |
86 |
1.338% |
0.01% |
| France |
968 |
159 |
133 |
1,260 |
19.702% |
0.05% |
| Other countries 1 |
4,037 |
|
434 |
4,471 |
69.903% |
|
| Total |
5,650 |
159 |
587 |
6,396 |
100.000% |
0.19% |
|
31.12.2019 |
|
Countercyclical capital buffer
rate forecast (in %) 31.12.20202 |
| € million |
|
| Germany |
0.01% |
| Norway |
0.01% |
| Sweden |
0.02% |
| Hong kong |
0.04% |
| Czech Republic |
|
| Denmark |
|
| United Kingdom |
0.06% |
| Lituania |
|
| Slovakia |
|
| Bulgaria |
|
| Ireland |
0.01% |
| France |
0.10% |
| Other countries 1 |
|
| Total |
0.24% |
1
For which no countercyclical buffer has been defined by the competent authority
2
The countercyclical capital buffer rate projected at 31 December 2020 is calculated
by using the buffer rates by country known to date and applicable in no later than
twelve months and the breakdown of capital requirements by country as at 31 December
2019 based on the decisions known to date.
► Countercyclical
buffer requirements (in millions of euros) (CCYB2)
| Countercyclical buffer requirement |
31.12.2019 |
31.12.2018 |
| Total risk exposure |
120,474 |
118,668 |
| Institution-specific countercyclical buffer (%) |
0.188% |
0.105% |
| Institution-specific countercyclical buffer (in million
of euros) |
227 |
125 |
Summarised
| Combined buffer requirement |
31.12.2019 |
31.12.2018 |
| Phased capital conservation buffer |
2.50% |
1.88% |
| Phased systemic buffer |
|
|
| Countercyclical buffer |
0.19% |
0.11% |
| Combined buffer requirement |
2.69% |
1.99% |
The transposition of Basel regulations into European law (CRD 4) introduced a mechanism
for distribution restriction that applies to dividends, AT1 instruments and variable
remuneration. The principle of the Maximum Distributable Amount (MDA), the maximum
amount that a bank is allowed to dedicate on distributions, is intended to restrict
distributions where they would result in non-compliance with the combined buffer requirement.
The distance to the MDA triggering threshold is the lowest of the respective distances
to the SREP requirements in CET1, Tier 1 equity capital and total equity capital.
|
CET1 SREP requirement |
Tier 1 SREP requirement |
Overall capital SREP requirement |
| Pillar 1 minimum requirement |
4.50% |
6.00% |
8.00% |
| Pillar 2 requirement (P2R) |
1.50% |
1.50% |
1.50% |
| Capital Conservation buffer |
2.50% |
2.50% |
2.50% |
| Countercyclical buffer |
0.19% |
0.19% |
0.19% |
| SREP requirement (a) |
8.69% |
10.19% |
12.19% |
| 31.12.19 Phased-in solvancy ratios (b) |
12.13% |
16.75% |
19.95% |
| Distance to SREP requirement (b-a) |
344 pb |
656 pb |
776 pb |
| Distance to MDA trigger threshold |
344 pb (€4 bn) |
|
|
On 31 December 2019, Crédit Agricole CIB posted a buffer of 344 basis points above
the MDA trigger, i.e. approximately €4 billion in CET1 capital.
♦ Overall capital
requirement
Finally, after taking into account the requirements under Pillar 1, those under
Pillar
2 and the overall capital buffer requirement, the SREP capital requirement is as follows:
| SREP own funds requirement |
31.12.2019 |
31.12.2018 |
| Pillar 1 minimum CET1 requirement |
4.50% |
4.50% |
| Additional Pillar 2 requirement (P2R) |
1.50% |
1.50% |
| Combined buffer requirement |
2.69% |
1.96% |
| CET1 requirement |
8.69% |
7.96% |
| AT1 |
1.50% |
1.50% |
| Tier 2 |
2.00% |
2.00% |
| Overall capital requirement |
12.19% |
11.46% |
As of 31 December 2019, Crédit Agricole CIB Group must therefore comply with a
minimum
CET1 ratio of 8.69%. This level includes the requirements under Pillar 1, Pillar 2
P2R, the capital conservation buffer and the countercyclical buffer (based on the
decisions known to date).
The notification received by the Crédit Agricole S.A. in December 2019 confirmed
these
requirements.
♦ Pillar 2 adjustments
The following tables and items take into account adjustments made as part of Pillar
2 in accordance with the request of the European Central Bank; these currently only
relate to the prudential deduction of irrevocable payment commitments relating to
the Single Resolution Fund (SRF) and the Deposit and Resolution Guarantee Fund (FGDR).
As such, compared to the regulatory declarations made under Pillar 1, an additional
deduction of €140 million was made on CET1; consequently, the risk-weighted assets
were adjusted downwards by €140 million as at 31 December 2019.
3.1.6 Definition
of capital
3.1.6.1 CATEGORY
1 (TIER 1) EQUITY CAPITAL
This includes Common Equity Tier 1 (CET1) and Additional Tier 1 (AT1).
♦ Common Equity
Tier 1 (CET1)
This includes:
| ― |
capital;
|
| ― |
reserves, including share premiums, retained earnings, income
net of tax after dividend
payments as well as accumulated other comprehensive income, including unrealized capital
gains and losses on financial assets held to collect and sell purposes and conversion
differences;
|
| ― |
eligible non-controlling interests, which are partially derecognised,
or even excluded,
depending on whether or not the subsidiary is an eligible credit institution; this
partial derecognition corresponds to the excess of the amount of equity capital required
to cover the subsidiary's capital requirements; it applies to each tier of equity
capital;
|
| ― |
deductions, which mainly include the following items:
| ― |
CET1 instruments under the liquidity contract and buyback programmes;
|
| ― |
intangible assets, including start-up costs and goodwill;
|
| ― |
the prudent valuation (prudent valuation defined by the prudential
regulations which
involves the adjustment of the amount of assets and liabilities measured at fair value
according to a prudential method which aims to deduct any possible value corrections)
;
|
| ― |
deduction of Deferred Tax Assets (DTAs) that rely on future profitability
arising
from tax loss carry forwards;
|
| ― |
deduction of negative amounts resulting from a deficit in provisions
compared to expected
losses (EL) ;
|
| ― |
deduction of instruments of the CET1 held in financial investments
less than or equal
to 10% (minor investments) beyond an exemption limit of 10% of CET1 equity capital;
the elements not deducted are taken into account in the risk weighted assets (variable
weighting according to the types of instruments and the Basel method) ;
|
| ― |
deduction from deferred tax assets dependent on future profits
related to time differences
beyond an exemption limit of 17.65% of CET1 capital; this exemption, applied after
application of a first exemption of 10% of CET1, is common with the non-de-ducted
share of the instruments of CET1 held in financial investments greater than 10%; the
elements not deducted are taken into account in the risk weighted assets (weighting
at 250%);
|
| ― |
the deduction from the CET1 of instruments held in financial
investments greater than
10% (significant investments) beyond an exemption limit of 17.65% of CET1 capital;
this exemption, applied after application of a first exemption of 10% of CET1, is
common with the non-deducted share of deferred tax assets dependent on future profits
related to time differences; the elements not deducted are taken into account in the
risk weighted assets (weighting at 250%);
|
| ― |
adjustments requested by the supervisor with regard to Pillar
2 (irrevocable payment
commitments relating to the Single Resolution Fund and to the Deposit and Resolution
Guarantee Fund).
|
|
The CRR 2 Regulation adds eligibility criteria; in particular in the case where
instruments
issued by an institution established in the European Union are subject to third country
law, these must include a bail-in clause in order to be fully eligible. These provisions
apply to each category of capital instruments (CET1, AT1, Tier 2).
♦ Additional Tier
1 capital (AT1)
ADDITIONAL TIER
1 CAPITAL ELIGIBLE UNDER BASEL III ON A FULLY LOADED BASIS
This includes:
| ― |
additional category 1 (Additional Tier 1 or capital AT1) eligible
under Basel 3, which
consists of undated debt instruments without any redemption incentive or obligation
(in particular step-up features).
|
AT1 instruments are subject to a bail-in mechanism triggered when the CET1 ratio
is
below a threshold that must be set at no lower than 5.125%. Instruments may be converted
into equity or suffer a reduction in their nominal value. Payments must be totally
flexible: no automatic remuneration mechanisms and/ or suspension of coupon payments
at the Issuer's discretion are permitted.
At 31 December 2019, the CET1 ratio of Crédit Agricole CIB was 12.1%. Thus, the
CET1
equity capital represented a capital buffer of €8.4 billion relative to loss absorption
thresholds.
At 31 December 2019, there was no applicable restriction on the payment of coupons.
| ― |
direct deductions of AT1 instruments (including market making);
|
| ― |
deductions of investments in financial-sector entities related
to this tier;
|
| ― |
AT1 capital components or other deductions (including AT1-eligible
non-controlling
interests).
|
ADDITIONAL TIER
1 EQUITY CAPITAL ELIGIBLE ON A PHASED-IN BASIS
During the transitional phase, the amount of Tier 1 capital used in the ratios
corresponds
to:
| ― |
additional Tier 1 equity capital eligible under CRR 2 (AT1);
|
| ― |
additional Tier 1 capital instruments eligible for CRR issued
between 1 January 2014
and 27 June 2019;
|
| ― |
a fraction of the non-eligible Tier 1 CRR issued before January 1, 2014, equal
to
the lower of:
| ― |
the regulatory amount of ineligible Tier 1 instruments at the
end of the reporting
period (after any calls, redemptions, etc.);
|
| ― |
30% (threshold for 2019) of the Tier 1 stock at 31 December 2012,
which stood at €4,691
million, or a maximum recognizable amount of €1,407 million.
|
|
The amount of Tier 1 capital exceeding the prudential threshold is integrated into
phased-in Tier 2 capital, up to the regulatory capital threshold applicable to Tier
2 capital.
► Deeply subordinated
notes and preferred shares at 31 December 2019
| Issuer |
Issue date |
Amount of issue (in millions)
|
Currency |
Dates of Call |
Compensation |
Step-up (Y/N) |
| Deeply subordinated notes |
|
|
|
|
|
|
| Crédit Agricole CIB |
21/12/2005 |
85 |
USD |
01/01/2016 then annually |
Libor 12M+ 150 bps |
N |
| Crédit Agricole CIB |
28/09/2007 |
1,000 |
USD |
01/01/2018 then annually |
Libor 12M+ 252 bps |
N |
| Crédit Agricole CIB |
19/03/2004 |
500 |
USD |
01/01/2014 then annually |
5.81% then as from 01/01/2014 Libor12M+ 170bps |
N |
| Crédit Agricole CIB |
04/05/2004 |
2 470
|
USD |
01/01/2014 then annually |
6.48% then as from 01/01/2014 Libor12M+ 156 bps |
N |
| Crédit Agricole CIB |
16/11/2015 |
600 |
EUR |
23/12/2020 then quarterly |
Euribor 3M+ 679.5 bps |
N |
| Crédit Agricole CIB |
16/11/2015 |
600 |
EUR |
23/12/2022 then quarterly |
Euribor 3M+ 670.5 bps |
N |
| Crédit Agricole CIB |
16/11/2015 |
600 |
EUR |
23/12/2025 then quarterly |
Euribor 3M+ 663 bps |
N |
| Crédit Agricole CIB |
09/06/2016 |
720 |
USD |
23/06/2026 then quarterly |
Libor 3M+ 686 bps |
N |
| Crédit Agricole CIB |
27/06/2018 |
500 |
EUR |
27/06/2028 then quarterly |
Euribor3M+ 535 bps |
N |
| Crédit Agricole CIB |
24/09/2018 |
500 |
EUR |
24/09/2028 then quarterly |
Euribor3M+ 485 bps |
N |
| Crédit Agricole CIB |
26/02/2019 |
470 |
USD |
8/26/2024 |
Euribor3M+ 475 bps |
N |
| Crédit Agricole CIB |
18/06/2019 |
300 |
EUR |
6/18/2024 |
Euribor3M+ 488 bps |
N |
| Preferred shares (equivalent to deeply subordinated notes) |
|
|
|
|
|
|
| Indosuez Holdings II S.C.A |
22/12/1993 |
80 |
USD |
22/12/2008 then at any time |
Libor 6M+ 230 bps |
N |
| Total |
|
|
|
|
|
|
| Issuer |
Regulatory treatment |
Eligible under CRD4 (Y/N) |
Coupon suspension conditions |
Write down condition |
Regulatory amount at 31.12.2019
€ million1 |
Regulatory amount at 31.12.2018
€ million1 |
| Deeply subordinated notes |
|
|
|
|
|
|
| Crédit Agricole CIB |
T1 |
N |
Reduction that may lead to non-payment of interest in
the event of insufficient earnings |
Occurrence of a regulatory event |
76 |
74 |
| Crédit Agricole CIB |
T1 |
N |
Reduction that may lead to non-payment of interest in
the event of insufficient earnings |
Occurrence of a regulatory event |
893 |
872 |
| Crédit Agricole CIB |
T1 |
N |
Reduction that may lead to non-payment of interest in
the event of insufficient earnings |
Occurrence of a regulatory event |
447 |
436 |
| Crédit Agricole CIB |
T1 |
N |
Reduction that may lead to non-payment of interest in
the event of insufficient earnings |
Occurrence of a regulatory event |
179 |
410 |
| Crédit Agricole CIB |
NA |
Y |
At issuer's or supervisor's discretion; subject to limitations
applied in the event
of non- compliance with CACIB's overall requirements
|
Occurrence of a regulatory event |
600 |
600 |
| Crédit Agricole CIB |
NA |
Y |
|
Occurrence of a regulatory event |
600 |
600 |
| Crédit Agricole CIB |
NA |
Y |
|
Occurrence of a regulatory event |
600 |
600 |
| Crédit Agricole CIB |
NA |
Y |
|
Occurrence of a regulatory event |
643 |
628 |
| Crédit Agricole CIB |
NA |
Y |
|
Occurrence of a regulatory event |
500 |
500 |
| Crédit Agricole CIB |
NA |
Y |
|
Occurrence of a regulatory event |
500 |
500 |
| Crédit Agricole CIB |
NA |
Y |
At issuer's or supervisor's discretion; subject to limitations
applied in the event
of non- compliance with CACIB's overall requirements
|
Occurrence of a regulatory event |
420 |
|
| Crédit Agricole CIB |
NA |
Y |
At issuer's or supervisor's discretion; subject to limitations
applied in the event
of non- compliance with CACIB's overall requirements
|
Occurrence of a regulatory event |
300 |
|
| Preferred shares (equivalent to deeply subordinated notes) |
|
|
|
|
|
|
| Indosuez Holdings II S.C.A |
T1 |
N |
Reduction that may lead to non-payment of interest in
the event of insufficient earnings |
|
|
70 |
| Total |
|
|
|
|
5,757 |
5,291 |
1
Amounts before application of the Basel III grandfathering provisions. the application
of this grandfathering clause means that the total of CRD IV ineligible deeply subordinated
notes and preference shares retained in Tier 1 capital stands at €1 407 million.
2
This shares issue was partially reimbursed of $270 millions during the first half
of 2019.
NB : The totality of Tier 1 is eligible for grandfathering up to the step-up date
for innovative securities or up to the deadline for recognition stipulated in the
regulations.
3.1.6.2 TIER 2
CAPITAL (TIER 2)
This includes:
| ― |
subordinated debt instruments, which must have a minimum maturity
of five years; they
must not carry any early repayment incentives; these instruments are subject to a
haircut during the five-year period prior to their maturity date;
|
| ― |
grandfathering as presented for the phased-in AT1 debt above;
|
| ― |
directly held Tier 2 instruments (including market making);
|
| ― |
the surplus provisions relative to expected eligible losses determined
in accordance
with the internal ratings approach, limited to 0.6% of risk-weighted assets under
IRB;
|
| ― |
deductions of investments in financial-sector entities related
to this tier, predominantly
in the insurance sector (since most subordinated banking receivables are not eligible);
|
| ― |
any deduction of eligible holding instruments issued by systemically
important institutions
(To avoid double accounting of commitments to meet the requirements of the TLAC ratio,
systemically important institutions must deduct their holdings of eligible commitment
instruments issued by other systemically important institutions; these holdings must
first be deducted from the institution's eligible commitments, then where they are
insufficient, Tier 2 capital instruments);
|
| ― |
Tier 2 capital components or other deductions (including Tier
2 eligible non-controlling
interests).
|
| ― |
The Tier 2 amount taken in the fully-loaded ratios corresponds
to the Tier 2 equity
capital instruments eligible for CRR No. 575/2013 as amended by CRR No. 2019/876 (CRR
2).
|
During the transitional phase, the amount of Tier 2 capital used in the ratios
corresponds
to:
| ― |
CRR 2 eligible Tier 2;
|
| ― |
additional Tier 2 CRR eligible capital instruments issued between
1 January 2014 and
27 June 2019;
|
| ― |
a fraction of the Tier 2 non-eligible CRR issued before 1 January, 2014, equal
to
the lower of:
| ― |
regulatory ineligible Tier 2 securities at the closing date and,
as applicable, the
remainder of Tier 1 securities exceeding the 30% threshold (threshold for 2019) of
ineligible Tier 1 securities;
|
| ― |
30% (threshold for 2019) of the non-eligible CRR Tier 2 stock
at 31 December 2012;
the non-eligible CRR Tier 2 stock at 31 December 2012 stood at €680 million, or a
maximum recognisable amount of €204 million.
|
|
To facilitate readability, the tables of perpetual subordinated securities, equity
investments redeemable at 31 December 2019 are presented in Pillar 3, available on
the website: https://www. credit-agricole.com/finance/finance/publications-financieres.
► Undated subordinated
notes
| Issuer |
Date of issue |
Amount of issue (in € million)
|
Currency |
Call dates |
Compensation |
Step-up (Y/N) |
| Undated subordinated notes |
|
|
|
|
|
|
| Crédit Agricole CIB |
12/08/1998 |
30 |
EUR |
12/08/2003 then at any time |
Euribor3M +55 bps |
N |
| Total |
|
|
|
|
|
|
| Issuer |
Regulatory treatment |
CRD4 eligibilty (Y/N) |
Regulatory capital amount 31.12.2019
€ million
|
Regulatory capital amount 31.12.2018
€ million
|
| Undated subordinated notes |
|
|
|
|
| Crédit Agricole CIB |
T2 |
N |
30 |
30 |
| Total |
|
|
30 |
30 |
► Subordinated
notes
| Issuer |
Date of issue |
Amount of issue (in € million)
|
Maturity |
Currency |
Non-call dates |
Compensation |
| Subordinated loans |
|
|
|
|
|
|
| Crédit Agricole CIB |
26/03/2015 |
1700 |
15/03/2025 |
USD |
15/03/2020 then quaterly |
Libor 3M+ 252 bps |
| Crédit Agricole CIB |
20/06/2016 |
750 |
20/06/2026 |
EUR |
|
Euribor 3M+ 255 bps |
| Crédit Agricole CIB |
07/11/2016 |
500 |
07/11/2026 |
EUR |
07/11/2021 then quaterly |
Euribor 3M+ 212,2 bps |
| Crédit Agricole CIB |
13/02/2018 |
250 |
14/02/2028 |
EUR |
|
Euribor 3M+ 111 bps |
| Crédit Agricole CIB |
25/03/2019 |
250 |
25/03/2029 |
EUR |
|
Euribor 3M+ 168,35 bps |
| Total |
|
|
|
|
|
|
| Issuer |
Step-up (Y/N) |
Regulatory treatment |
CRD4 eligibility (Y/N) |
Regulatory capital amount 31.12.2019
€ million
|
Regulatory capital amount 31.12.2018
€ million
|
| Subordinated loans |
|
|
|
|
|
| Crédit Agricole CIB |
N |
T2 |
Y |
1,519 |
1,483 |
| Crédit Agricole CIB |
N |
T2 |
Y |
750 |
750 |
| Crédit Agricole CIB |
N |
T2 |
Y |
500 |
500 |
| Crédit Agricole CIB |
N |
T2 |
Y |
250 |
250 |
| Crédit Agricole CIB |
N |
T2 |
Y |
250 |
|
| Total |
|
|
|
3,269 |
2,983 |
3.1.6.3 TRANSITIONAL
PROVISIONS
To facilitate compliance by credit institutions with the CRR2/ CRD4 (pending transposition
of CRD 5), less stringent transitional provisions have been provided for, notably
with the progressive introduction of new prudential treatment of equity capital components.
All these transitional provisions ended on 1st January 2018, with the exception
of
those concerning hybrid debt instruments, which will end on 1st January 2022.
Hybrid debt instruments included in equity capital eligible for Basel III, and
which
are no longer eligible for inclusion due to the new regulations coming into force,
under certain conditions may be eligible under the acquired rights clause; any instrument
issued after 31 December 2011 and not complying with the CRR regulations was excluded
as from 1st January 2014; instruments whose issue date was earlier may, under certain
conditions, be subject to grandfather clauses. Under this clause, these instruments
are gradually excluded over an eight-year period, with a 10% reduction each year.
In 2014, 80% of the global inventories declared at 31 December 2012 were recognised,
then 70% in 2015, etc. The derecognised portion may be included in the lowest tier
of equity capital (from AT1 to Tier 2, for example) if it satisfies the corresponding
criteria.
CRR 2 has come to complement these provisions by introducing a grandfathering clause:
non-eligible instruments issued between 1st January 2014 and 27 June 2019 remain eligible
under phase-in until 28 June 2025.
3.1.6.4 SIMPLIFIED
PRUDENTIAL CAPITAL AS AT 31 DECEMBER 2019
► Solvency ratios
|
31.12.2019 |
31.12.2018 |
| € million |
Phased-in |
Fully loaded |
Phased-in |
Fully loaded |
| Capital and reserves Group share 1 |
17,103 |
17,103 |
16,165 |
16,165 |
| (+) Tier 1 capital in accordance with French Prudential
Supervisory and Resolution
Authority stipulations (shareholder advance)
|
|
|
|
|
| (+) Eligible minority interests 1 |
96 |
96 |
112 |
112 |
| (-) Prudent valuation |
(746) |
(746) |
(840) |
(840) |
| (-) Deductions of goodwill and other intangible assets |
(1,407) |
(1,407) |
(1,327) |
(1,327) |
| (-) Deferred tax assets that rely on future profitability
not arising from temporary
differences
|
(17) |
(17) |
(26) |
(26) |
| (-) Shortfall in adjustments for credit risk relative
to expected losses under the
internal ratings-based approach and El equity
|
(11) |
(11) |
(7) |
(7) |
| (-) Amount exceeding the exemption threshold for CET1
instruments of financial stakes
in which the institution owns a significant holding and of the deductible deferred
tax assets that rely on future profitability arising from temporary differences 2 |
|
|
(100) |
(100) |
| CET1 instruments held by financial sector entities in
which the credit institution
has a significant investment
|
189 |
189 |
1,478 |
1,478 |
| The deductible deferred tax assets that rely on future
profitaility arising from temporary
differences
|
366 |
366 |
344 |
344 |
| Utilisation of the exemption thershold of 10% (i) individually
for CET 1 instruments
of financial sector entities on the one hand (ii) deferred tax on the other hand
|
1,461 |
1,461 |
1,379 |
1,379 |
| (-) Transparent treatment of UCITS |
(6) |
(6) |
(9) |
(9) |
| Transitional adjustments and other deductions applicable
to CET1 capital |
(398) |
(398) |
(282) |
(282) |
| COMMON EQUITY TIER 1 (CET1) |
14,613 |
14,613 |
13,686 |
13,686 |
| Equity instruments eligible as AT1 capital |
4,149 |
4,149 |
3,435 |
3,435 |
| Ineligible AT1 capital instruments qualifying under grandfathering
clause |
1,407 |
|
1,863 |
|
| Tier 1 or Tier 2 instruments of entities operating mainly
in the insurance sector
in which the institution has a significant investment deducted from Tier 1 capital
|
|
|
|
|
| Other Tier 1 components |
14 |
14 |
(7) |
(7) |
| ADDITIONAL TIER 1 CAPITAL |
5,570 |
4,163 |
5,291 |
3,428 |
| TIER 1 CAPITAL |
20,184 |
18,776 |
18,977 |
17,114 |
| Equity instruments and subordinated borrowings eligible
as Tier 2 capital |
3,269 |
3,269 |
2,983 |
2,983 |
| Ineligible equity instruments and subordinated borrowings |
209 |
|
30 |
|
| Surplus provisions relative to expected losses eligible
under the internal ratings-based
approach and general credit risk adjustments under the standardised approach
|
365 |
365 |
380 |
380 |
| Tier 2 instruments of entities operating mainly in the
insurance sector in which the
institution has a significant investment deducted from Tier 2 capital
|
|
|
|
|
| Other Tier 2 components |
8 |
|
|
|
| TIER 2 CAPITAL |
3,851 |
3,634 |
3,394 |
3,364 |
| TOTAL CAPITAL |
24,035 |
22,410 |
22,371 |
20,477 |
| TOTAL RISK WEIGHTED ASSETS |
120,474 |
120,474 |
118,668 |
118,668 |
| CET1 RATIO |
12.1% |
12.1% |
11.5% |
11.5% |
| TIER 1 RATIO |
16.8% |
15.6% |
16.0% |
14.4% |
| TOTAL CAPITAL RATIO |
20.0% |
18.6% |
18.9% |
17.3% |
1
This line is detailed in the table below showing the reconciliation of accounting
and regulatory capital.
2
This line includes the transitional adjustment for exceeding the ceiling on CET1
instruments of entities in the financial sector in which the establishment holds a
major stake.
The Common Equity Tier 1 (CET1) capital stood at €14.6 billion at 31 December 2019,
up by €0.9 billion compared with end 2018. Events that affected the CET1 during 2019
primarily concerned the currency effect of +€0.1 billion, the retained earnings for
2019 of +€1 billion, the payment of the Group's AT1 coupons as dividends of -€0.2
billion, the decrease in the deduction as a prudent evaluation (+€0.1 billion) and
of that made for exceeding the exemption limit of Crédit Agricole CIB portfolio of
financial investment instruments, despite the partial disposal of the investment in
the BSF (-€0.1 billion) as well as by the increased deductions of goodwill and intangible
assets (-€0.1 billion).
You will recall that since 1 January 2018, there are no longer transitional arrangements
applied to elements of CET1.
Fully loaded Tier 1 capital amounted to €18.1 billion at 31 December 2019 and was
€1.7 billion higher than that of 31 December 2018, whilst the phased-in amount was
€20.2 billion, up by €1.2 billion compared with 31 December 2018. This includes the
CET1 capital described above and the Additional Tier 1 (AT1) capital, which underwent
the following changes:
| ― |
the hybrid securities included in Tier 1 capital eligible for
Basel III amounted to
€4.1 billion, up €0.7 billion over 2019;
|
| ― |
the entire stock prior to 1 January 2014 was ineligible on a
fully loaded basis. Phased-in,
the grandfathering provisions make it possible to maintain an amount of debt corresponding
to a maximum of 30% of the stock at 31 December 2012. The amount of these "grandfathered"
securities decreased mainly due to the foreign exchange impact and the depreciation
of the "grandfathered" stock: at 31 December 2019, the amount of the residual inventory
benefiting from grandfathering was slightly higher than the maximum possible basis,
despite the latter having been reduced.
|
Fully loaded Tier 2 capital, at €3.6 billion, was up by €0.3 billion compared with
31 December 2018:
| ― |
the hybrid securities included in Tier 2 capital eligible for
Basel III amounted to
€3.3 billion, up €0.3 billion;
|
| ― |
surplus provisions relative to expected losses eligible under
the internal ratings-based
approach and general credit risk adjustments including tax effects under the standardised
approach came to €0.4 billion at 31 December 2019, stable compared with 31 December
2018.
|
In all, fully loaded total capital at 31 December 2019 stood at €22.4 billion,
or
€1.9 billion lower than at 31 December 2018. Phased-in total capital amounted to €24
billion, up €1.9 billion compared with 31 December 2018.
3.1.6.5 CHANGES
IN REGULATORY EQUITY CAPITAL IN 2019
| € million |
Phased-in 31.12.2019 vs 31.12.2018 |
| Common Equity Tier 1 capital at 31/12/2018 |
13,686 |
| Increase in share capital and reserves (including dividend
payment in shares) |
(54) |
| Capital repayment1 |
|
| Income of the year before dividend distribution |
1,553 |
| Expected dividend |
(511) |
| Exceptional dividend distribution |
|
| Advance dividend payment |
|
| Unrealised capital gains and losses on available-for-sale
securities and other unrealised
capital gain and losses
|
(65) |
| Prudent valuation |
94 |
| Minority interests |
(16) |
| Change in goodwill and other intangible assets |
(80) |
| Shortfall in adjustments for credit risk relative to
expected losses under the internal
ratings-based approach deducted CET1
|
(5) |
| Regulatory adjustments2 |
12 |
| COMMON EQUITY TIER 1 CAPITAL AT 31/12/2019 |
14,613 |
| Additional Tier 1 capital at 31/12/2018 |
5,291 |
| Issues |
714 |
| Redemptions |
|
| Regulatory adjustments |
(434) |
| ADDITIONAL TIER 1 CAPITAL AT 31/12/2019 |
5,570 |
| TIER 1 CAPITAL AT 31/12/2019 |
20,184 |
| Tier 2 capital at 31/12/2018 |
3,394 |
| Issues and foreign currency impacts on debt stock |
464 |
| Redemptions and foreign currency impacts on debt stock |
|
| Regulatory adjustments including amortisation3 |
(7) |
| TIER 2 CAPITAL AT 31/12/2019 |
3,851 |
| TOTAL CAPITAL AT 31/12/2019 |
24,035 |
1
Capital repayment: shareholder advance.
2
Change is related to foreign currency impacts.
3
Tier 2 instruments are subject to a haircut during the 5-year period prior to their
maturity date.
3.1.6.6 RECONCILIATION
OF ACCOUNTING AND REGULATORY CAPITAL
|
31.12.2019 |
31.12.2018 |
|
Phased-in |
Fully loaded |
Phased-in |
Fully loaded |
| EQUITY, GROUP SHARE (CARRYING AMOUNT) 1 |
22,033 |
22,033 |
20,308 |
20,308 |
| Expected dividend payment on result of year Y |
|
|
|
|
| Advance dividend paid |
|
|
|
|
| Payment on exceptional dividend |
|
|
|
|
| Net income not taken into account in regulatory capital |
(511) |
(511) |
(489) |
(489) |
| Filtered unrealised gains/(losses) on change in own credit
risk on structured products |
136 |
136 |
71 |
71 |
| Filtered unrealised gains/(losses) on change in own credit
risk on derivatives |
(310) |
(310) |
(163) |
(163) |
| Filtered unrealised gains/(losses) on cash flow hedges |
|
|
|
|
| Transitional regime applicable to unrealised gains/(losses) |
(96) |
(96) |
(112) |
(112) |
| AT1 instruments included in equity (carrying amount) |
(4,149) |
(4,149) |
(3,435) |
(3,435) |
| Other regulatory adjustments |
|
|
(15) |
(15) |
| Capital and reserves Group share |
17,103 |
17,103 |
16,165 |
16,165 |
| Minority interests (carrying amount) |
96 |
96 |
112 |
112 |
| (-) items not recognised under regulatory framework |
|
|
|
|
| (-) preferred shares |
|
|
|
|
| Minority interests |
|
|
|
|
| Other equity instruments |
|
|
|
|
| Deductions of goodwill and other intangible assets |
(1,407) |
(1,407) |
(1,327) |
(1,327) |
| Deferred tax assets that rely on future profitability
not arising from temporary differences |
(17) |
(17) |
(26) |
(26) |
| Shortfall in adjustments for credit risk relative to
expected losses under the internal
ratings-based approach deducted from the CET1
|
(11) |
(11) |
(7) |
(7) |
| Amount exceeding the exemption threshold for CET1 instruments
of financial stakes
in which the institution owns a significant holding and of the deductible deferred
tax assets that rely on future profitability arising from temporary differences
|
|
|
(100) |
(100) |
| (-) transparent treatment of UCITS |
(6) |
(6) |
(9) |
(9) |
| Advance prudent valuation |
(746) |
(746) |
(840) |
(840) |
| Amount exceeding the exemption threshold for CET1 instruments
of financial stakes
in which the institution owns a significant holding and of the deductible deferred
tax assets that rely on future profitability arising from temporary differences
|
|
|
|
|
| Other CET1 components |
(398) |
(398) |
(282) |
(282) |
| TOTAL CET1 |
14,613 |
14,613 |
13,686 |
13,686 |
| AT1 equity instruments (including preferred shares) |
5,557 |
4,149 |
5,298 |
3,435 |
| Tier 1 or Tier 2 instruments of financial-sector entities
in which the institution
holds a significant investment deducted from Tier 1 capital
|
|
|
|
|
| Transitional adjustments, other deductions and minority
interests |
14 |
14
|
(7) |
(7) |
| Other components of Tier 1 capital |
|
|
|
|
| Total Additional Tier 1 |
5,570 |
4,163 |
5,291 |
3,428 |
| TOTAL TIER 1 |
20,184 |
18,776 |
18,977 |
17,114 |
| Tier 2 equity instruments |
3,478 |
3,269 |
3,014 |
2,983 |
| Surplus provisions relative to expected losses eligible
under the internal ratings-based
approach
|
365 |
365 |
380 |
380 |
| General credit risk adjustments under the standardised
approach |
|
|
|
|
| Tier 2 instruments of entities operating mainly in the
insurance sector in which the
institution has a significant investment deducted from Tier 2 capital
|
|
|
|
|
| Transitional adjustments, other deductions and minority
interests |
8 |
|
|
|
| Other Tier 2 items |
|
|
|
|
| TOTAL TIER 2 |
3,851 |
3,634 |
3,394 |
3,364 |
| Ownership interests and investments in insurance companies |
|
|
|
|
| TOTAL CAPITAL |
24,035 |
22,410 |
22,371 |
20,477 |
1
The impact of transitional adjustments is included in the phased-in figures.
3.1.7 Other ratios
3.1.7.1 LEVERAGE
RATIO
The objective of the leverage ratio is to help preserve financial stability by
acting
as a safety net to complement risk-based capital requirements and by limiting the
accumulation of excessive leverage in times of economic recovery. It was defined by
the Basel Committee in the context of the Basel 3 agreements and transposed into European
law via Article 429 CRR, amended by Delegated Act 62/2015 of 10, October 2014 and
published in the Official Journal of the European Union on 18 January 2015. The leverage
ratio is defined as the Tier 1 capital divided by the exposure measure i.e. balance
sheet and off-balance-sheet assets after certain restatements of derivatives, transactions
between Group affiliates, securities financing transactions, items deducted from the
numerator, and off-balance-sheet items.
Since the publication of European Regulation CRR 2 in the Official Journal of the
European Union on 27 June 2019, the leverage ratio has become a minimum Pillar 1 requirement
applicable as from 28 June 2021.
As of 1 January 2015, publication of the lever ratio is mandatory at least once
a
year; institutions can choose to publish a fully loaded ratio or a phased-in ratio.
If the institution decides to change its publication choice, at the time of first
publication it must reconcile the data for all of the ratios previously published
with the data for the new ratios selected for publication.
► Leverage ratio:
Joint statement (LRCOM-T)
| € million |
|
CRR Leverage ratio exposures |
| On-balance sheet exposures (excluding derivatives and
SFTs) |
|
|
| 1 |
On-balance sheet items (excluding derivatives, SFTs and
fiduciary assets, but including
collateral)
|
315,615 |
| 2 |
(Asset amounts deducted in determining Tier 1 capital) |
|
|
|
(2,599) |
| 3 |
TOTAL ON-BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES,
SFTS AND FIDUCIARY ASSETS)
(SUM OF LINES 1 AND 2)
|
313,016 |
| Derivative exposures |
|
|
| 4 |
Replacement cost associated with all derivatives transactions
(ie net of eligible
cash variation margin)
|
14,179 |
| 5 |
Add-on amounts for PFE associated with all derivatives
transactions (mark-to-market
method)
|
32,057 |
| EU-5a |
Exposure determined under Original Exposure Method |
|
| 6 |
Gross-up for derivatives collateral provided where deducted
from the balance sheet
assets pursuant to the applicable accounting framework
|
4,586 |
| 7 |
(Deductions of receivables assets for cash variation
margin provided in derivatives
transactions)
|
|
|
|
(23,706) |
| 8 |
(Exempted CCP leg of client-cleared trade exposures) |
|
| 9 |
Adjusted effective notional amount of written credit
derivatives |
14,844 |
| 10 |
(Adjusted effective notional offsets and add-on deductions
for written credit derivatives) |
|
|
|
(6,099) |
| 11 |
TOTAL DERIVATIVE EXPOSURES (SUM OF LINES 4 TO 10) |
35,861 |
| SFT exposures |
|
|
| 12 |
Gross SFT assets (with no recognition of netting), after
adjusting for sales accounting
transactions
|
221,127 |
| 13 |
(Netted amounts of cash payables and cash receivables
of gross SFT assets) |
|
|
|
(110,611) |
| 14 |
Counterparty credit risk exposure for SFT assets |
2,660 |
| EU-14a |
Derogation for SFTs: Counterparty credit risk exposure
in accordance with Article
429b
|
|
|
(4) and 222 of Regulation (EU) No 575/2013 |
|
| 15 |
Agent transaction exposures |
|
| EU-15a |
(Exempted CCP leg of client-cleared SFT exposure) |
|
| 16 |
TOTAL SECURITIES FINANCING TRANSACTION EXPOSURES (SUM
OF LINES 12 TO 15A) |
113,176 |
| Other off-balance sheet exposures |
|
|
| 17 |
Off-balance sheet exposures at gross notional amount |
206,239 |
| 18 |
(Adjustments for conversion to credit equivalent amounts) |
|
|
|
(83,397) |
| 19 |
OTHER OFF-BALANCE SHEET EXPOSURES (SUM OF LINES 17 TO
18) |
122,842 |
| Exempted exposures in accordance with Article 429(7)
and |
|
|
| (14) of Regulation (EU) No 575/2013 (on and off balance
sheet) |
|
|
| EU-19a |
(Intragroup exposures (solo basis) exempted in accordance
with Article 429(7) of Regulation
(EU) No 575/2013 (on and off balance sheet))
|
|
|
|
(13,373) |
| EU-19b |
(Exposures exempted in accordance with Article 429 |
|
|
(14) of Regulation (EU) No 575/2013 (on and off balance
sheet)) |
|
| Capital and total exposures |
|
|
| 20 |
Tier 1 capital |
20,324 |
| 21 |
TOTAL LEVERAGE RATIO TOTAL EXPOSURE MEASURE (SUM OF LINES
3, 11, 16, 19, EU-19A AND
EU-19B)
|
571,522 |
| Leverage ratio |
|
|
| 22 |
Leverage ratio |
3.56% |
| Choice on transitional arrangements and amount of derecognised
fiduciary items |
|
|
| EU-23 |
Choice on transitional arrangements for the definition
of the capital measure |
Transitional |
| EU-24 |
Amount of derecognised fiduciary items in accordance
with Article 429(11) of Regulation
(EU) NO 575/2013
|
|
► Summary of the
reconciliation between accounting assets and exposures for the purposes
of the leverage (LR-SUM T)
| € million |
|
Applicable Amount |
| 1 |
Total assets as per published financial statements |
545,017 |
| 2 |
Adjustment for entities which are consolidated for accounting
purposes but are outside
the scope of regulatory consolidation
|
|
| 3 |
(Adjustment for fiduciary assets recognised on the balance
sheet pursuant to the applicable
accounting framework but excluded from the leverage ratio total exposure measure in
accordance with Article 429(13) of Regulation (EU) No 575/2013)
|
|
| 4 |
(Adjustments for derivative financial instruments) |
(83,026) |
| 5 |
Adjustments for securities financing transactions (SFTs) |
2,662 |
| 6 |
Adjustment for off-balance sheet items (ie conversion
to credit equivalent amounts
of off-balance sheet exposures)
|
122,842 |
| EU-6a |
(Adjustment for intragroup exposures excluded from the
leverage ratio total exposure
measure in accordance with Article 429 (paragraph 7) of Regulation (EU) No 575/2013)
|
(13,373) |
| EU-6b |
(Adjustment for exposures excluded from the leverage
ratio total exposure measure
in accordance with Article 429 (paragraph 14) of Regulation (EU) No 575/2013)
|
|
| 7 |
Other adjustments |
(2,599) |
| 8 |
Leverage ratio total exposure measure |
571,522 |
The qualitative elements (LRQua) required by the Implementing Regulation (EU) 2016/200
dated 15 February 2016 are the following.
► Breakdown of
balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
(LRSPL)
| € million |
|
CRR Leverage ratio exposures |
| EU-1 |
Total on-balance sheet exposures (excluding derivatives,
SFTs, and exempted exposures),
of which:
|
301,959 |
| EU-2 |
Trading book exposures |
34,687 |
| EU-3 |
Banking book exposures, of which: |
267,273 |
| EU-4 |
Covered bonds |
|
| EU-5 |
Exposures treated as sovereigns |
89,732 |
| EU-6 |
Exposures to regional governments, MDB, international
organisations and PSE not treated
as sovereigns
|
2,416 |
| EU-7 |
Institutions |
24,051 |
| EU-8 |
Secured by mortgages of immovable properties |
252 |
| EU-9 |
Retail exposures |
13,951 |
| EU-10 |
Corporate |
113,287 |
| EU-11 |
Exposures in default |
3,931 |
| EU-12 |
Other exposures (eg equity, securitisations, and other
non-credit obligation assets) |
19,652 |
♦ Description
of the procedures used to manage the risk of excessive leverage
The leverage ratio is not sensitive to risk factors and, on this basis, it is considered
to be a measurement that supplements the solvency and liquidity risk management system
(solvency ratio/ resolution ratio) already limiting the size of the balance sheet.
Within the framework of monitoring excessive leverage, controls at Group level set
limits on the size of the balance sheet for some businesses that use few risk-weighted
assets.
♦ Description
of factors which had an impact on the leverage ratio during the period
to which the leverage ratio reported by the institution relates
The leverage ratio was impacted by the increase in phased-in equity capital explained
in Section 3.1.6.4 and also by the progression in exposures mainly on the financing
amounts outstanding.
3.1.7.2 RESOLUTION
RATIOS
♦ MREL Ratio
The MREL ratio (Minimum Requirement for own funds and Eligible Liabilities) is
defined
in the European Bank Recovery and Resolution directive (BRRD) published on 12 June
2014 to be applied from 1 January 2015 (except the provisions on the internal bail-in
and the MREL applicable in 2016).
More generally, the BRRD sets out a framework for the resolution of banks throughout
the European Union, aiming to equip the resolving authorities with joint instruments
and powers to prevent banking crises, preserve financial stability and reduce the
exposure of tax-payers to losses. The ACPR, the resolution authority, believes that
the Single Point of Entry (SPE) resolution strategy, is the most appropriate for the
Crédit Agricole Group. Pursuant to this strategy, Crédit Agricole S.A. in its capacity
as the Central Body of the Crédit Agricole Network, would be the "single point of
entry" if a resolution procedure were commenced in respect of the Crédit Agricole
Group. The MREL ratio corresponds to the minimum requirement of own funds and eligible
liabilities in order to absorb losses in the event of resolution. It is calculated
as the amount of own funds and eligible liabilities expressed as a percentage of the
institution's total liabilities and capital, after certain regulatory adjustments
(Total Liabilities and Own Funds, TLOF) or expressed as Risk Weighted Assets (RWA).
The following are eligible for MREL: prudential equity capital, subordinated securities
with a residual maturity of over a year (including those not eligible prudentially
and the discounted part of Tier 2), non-preferred senior debts with a residual maturity
of over a year and certain preferred senior debts with residual maturities of over
a year. The preferred senior debt eligible for MREL is subject to the assessment of
the Unique Resolution Council (CRU). The MREL ratio serves to calibrate an eligible
liabilities requirement and does not prejudice debts which would effectively be called
on to suffer losses in the case of resolution. In 2018, the Single Resolution Board
(SRB) notified Crédit Agricole Group of its first consolidated MREL requirement, which
was already applicable and has been met by the Group since then. This requirement
could potentially change when the ratio for the year is set by the SRB and in connection
with the changes in the European regulatory framework. The MREL Policy, published
by the SRB in January 2019, describes the general framework that will apply to requirements
set by the SRB later in 2019, including a subordinated MREL requirement (in which
senior debt instruments will generally be excluded, consistent with TLAC standards).
The objective of Crédit Agricole Group is to achieve, by the end of 2022, a subordinated
MREL ratio (excluding potentially eligible preferred senior debt) of 24-25% of RWAs
and to maintain the subordinated MREL ratio above 8% of the TLOF. This level would
enable recourse to the Single Resolution Fund (subject to the decision of the resolution
authority) before applying the bail-in to preferred senior debt, creating an additional
layer of protection for investors in preferred senior debt. The MREL decisions at
the individual level by the CRU, which will be binding on Crédit Agricole CIB, are
expected in 2020. This objective defined by the resolution authority may be different
from the objective set for the Group.
♦ TLAC Ratio
The ratio, whose modalities were indicated in a Term Sheet published on 9 November
2015, was established by the Financial Stability Board (FSB) at the request of the
G20. The FSB defined the calculation of a ratio aimed at estimating the adequacy of
the bail-in and recapitalization capacities of global systemically important banks
(G-SIB). This Total Loss Absorbing Capacity (TLAC) ratio provides resolution authorities
with the means to assess whether G-SIB have sufficient bail-in and recapitalization
capacity before and during resolution. Consequently, the resolution authorities will
be able to implement an ordered resolution strategy, which minimises the impacts on
financial stability, guarantees the continuity of the critical economic functions
of the G-SIBs, and limits demands on tax-payers. It applies to global systemically
important financial institutions, and therefore to Crédit Agricole Group. Crédit Agricole
CIB, however, is not subject to it, as it is not classified as a G-SIB by the FSB.
The elements that could absorb losses consist of equity, subordinated notes and
debts
to which the resolution authority can apply the bail-in. The TLAC ratio requirement
was transposed into European Union law via CRR2 and is applicable since 27 June 2019.
As from that date, at all times Crédit Agricole Group must comply with the following
requirements:
| ― |
TLAC ratio above 16% of risk-weighted assets (RWA), plus -in
accordance with CRD 5
- a combined buffer requirement (including, for Crédit Agricole Group, a capital conservation
buffer of 2.5%, a G-SII buffer of 1% and the countercyclical buffer). Considering
the combined buffer requirement, Crédit Agricole Group will have to adhere to a TLAC
ratio of above 19.5% (plus the countercyclical buffer);
|
| ― |
TLAC ratio of above 6% of the Leverage Ratio Exposure (LRE).
As from 1 January 2022,
the minimum TLAC ratio requirements will increase to 18% of risk-weighted assets -
plus the combined buffer requirement at that date - and 6.75% of the leverage ratio
exposure.
|
3.1.8 Supervision
Credit institutions and certain approved investment activities referred to in Annex
1 to Directive 2004/39/EC are subject to solvency and large exposure ratios on an
individual and, where applicable, "sub-group" basis.
The French Regulatory Control and Resolution Authority (ACPR) has accepted that
certain
subsidiaries of the Group may benefit from individual exemption, or, where applicable,
on a subconsolidated basis under in the conditions specified by Article 7 of the CRR
Regulation. In that regard, the ACPR has provided Crédit Agricole CIB with an exemption
on an individual basis.
The transition to single supervision on 4 November 2014 by the European Central
Bank
did not call into question the individual exemptions previously granted by the ACPR.
3.2 MANAGEMENT
OF ECONOMIC CAPITAL
3.2.1 Overall
process
In order to assess and continuously maintain adequate equity capital to cover the
risks to which it is exposed, Crédit Agricole CIB complements the measurement of regulatory
capital requirements (Pillar 1) by a measure of economic capital needs, which is based
on the risk identification process and an internal valuation approach (Pillar 2).
The assessment of economic capital requirements is one of the elements of the ICAAP
process (Internal Capital Adequacy Assessment Process), which also covers:
| ― |
the programme of stress tests - to introduce a forward-looking
view of the impact
of more adverse scenarios on the level of risk and on the solvency of Crédit Agricole
CIB;
|
| ― |
as well as controlling the capital requirements through capital
planning, capital
allocation and the control of profitability.
|
The implementation, and also the updating of the ICAAP process, is the responsibility
of each institution.
Economic capital is controlled in accordance with an interpretation of the principal
regulatory requirements:
| ― |
the Basel agreements;
|
| ― |
CRD 4 via its transposition into French regulations by the Decree
of 3 November 2014;
|
| ― |
the European Banking Authority guidelines;
|
| ― |
and the ECB's regulatory requirements for the ICAAP and ILAAP
of November 2018, as
well as the consistent collection of information on this subject.
|
Crédit Agricole CIB applies the standards and methods defined by the Crédit Agricole
Group and is careful to ensure that the process for the measurement of economic capital
requirements is subject to appropriate organisation and governance.
3.2.2 Economic
capital requirement
The economic capital requirement quantifies the requirements for capital for each
of the major risks identified in the annual risk identification process.
The process for the identification of major risks aims, during an initial step,
to
record, as comprehensively as is possible, all of the risks likely to impact the balance
sheet, income statement, regulatory ratios or the reputation of a particular entity
or of Crédit Agricole CIB overall and to classify them into categories and subcategories,
using the same terms as those used for the whole of the Crédit Agricole Group. In
a second step, the objective is to assess the importance of these risks systematically
and comprehensively in order to identify the major risks.
The list of major risks is updated annually and approved:
| ― |
credit risks;
|
| ― |
financial risks, including in particular market risks;
|
| ― |
and the financial risks in the banking book (exchange rate, issuer);
|
| ― |
operational risks; and
|
| ― |
other risks, including activity risk;
|
| ― |
assessment of the risk management and control policy for the
entities within the scope
of deployment according to different areas, this assessment is a part of the risk
identification policy;
|
| ― |
if necessary, the identification and formalisation of areas for
improvement of the
risk control and permanent control system, in a formal action plan per entity;
|
| ― |
identification of any items that have not been correctly analysed
by the quantitative
ICAAP measurements.
|
► Differences
between accounting and regulatory scopes of consolidation and mapping
of financial statement categories with regulatory risk categories (LI1)
|
31.12.2019 |
|
Carrying values as reported in
published financial statements |
Carrying values under scope of
regulatory consolidation |
Carrying values of
items |
| € billions |
|
|
Subject to credit risk framework |
Subject to counterparty credit
risk framework |
Subject to the securitisation framework |
Subject to the market risk framework |
| ASSETS |
|
|
|
|
|
|
| Cash, central banks |
58 |
58 |
58 |
|
|
|
| Available-for-sale financial assets |
249 |
250 |
|
223 |
|
145 |
| Other financial assets at fair value through profit or
loss |
1 |
1 |
1 |
|
|
|
| Hedging derivative instruments |
2 |
1 |
|
1 |
|
|
| Accounted debt's instruments at fair value through recyclable
own funds |
9 |
9 |
7 |
|
2 |
|
| Accounted own funds' instruments at fair value through
non recyclable own funds |
1 |
1 |
1 |
|
|
|
| Loans and receivables due from credit institutions |
16 |
16 |
16 |
1 |
|
|
| Loans and receivables due from customers |
144 |
144 |
144 |
0 |
|
|
| Held-to-maturity financial assets |
38 |
27 |
27 |
|
|
|
| Revaluation adjustment on interest rate hedged portfolios |
|
|
|
|
|
|
| Deferred tax assets |
1 |
1 |
1 |
|
|
|
| Accruals, prepayments and sundry assets |
|
33 |
29 |
4 |
|
|
| Non-current assets held for sale |
|
|
|
|
|
|
| Deferred participation benefits |
|
|
|
|
|
|
| Investments in equity-accounted entities |
|
|
|
|
|
|
| Investment property |
|
|
|
|
|
|
| Property, plant and equipment |
1 |
1 |
1 |
|
|
|
| Intangible assets |
|
|
|
|
|
|
| Goodwill |
1 |
1 |
|
|
|
|
| TOTAL ASSETS |
553 |
545 |
285 |
230 |
2 |
145 |
| LIABILITIES |
|
|
|
|
|
|
| Central banks |
2 |
2 |
|
|
|
|
| Available-for-sale financial liabilities |
225 |
225 |
|
75 |
|
|
| Financial liabilities at fair value through options |
30 |
27 |
|
|
|
|
| Hedging derivative instruments |
1 |
1 |
|
|
|
|
| Due to credit institutions |
44 |
48 |
|
2 |
|
|
| Due to customers |
133 |
152 |
|
1 |
|
|
| Debt securities |
57 |
31 |
|
|
|
|
| Revaluation adjustment on interest rate hedged portfolios |
|
|
|
|
|
|
| Current and deferred tax liabilities |
3 |
2 |
2 |
|
|
|
| Accruals, deferred income and sundry liabilities |
29 |
29 |
5 |
|
|
|
| Liabilities associated with non-current assets held for
sale |
|
|
|
|
|
|
| Insurance company technical reserves |
|
|
|
|
|
|
| Provisions |
1 |
2 |
|
|
|
|
| Subordinated debt |
5 |
5 |
|
|
|
|
| Total liabilities |
531 |
523 |
7 |
78 |
|
|
| TOTAL EQUITY |
22 |
22 |
|
|
|
|
| of which equity - group share |
22 |
22 |
|
|
|
|
| of which share capital and reserves |
14 |
14 |
|
|
|
|
| of which consolidated reserves |
7 |
7 |
|
|
|
|
| Other comprehensive income |
|
|
|
|
|
|
| Other comprehensive income on non-current assets held
for sale and discontinued operations |
|
|
|
|
|
|
| Net income/(loss) for the year |
2 |
2 |
|
|
|
|
| of which Non-controlling interests |
|
|
|
|
|
|
| TOTAL EQUITY AND LIABILITIES |
553 |
545 |
7 |
78 |
|
|
|
31.12.2019 |
|
Carrying values of items |
| € billions |
Not subject to capital requirements
or subject to deduction from capital |
| ASSETS |
|
| Cash, central banks |
|
| Available-for-sale financial assets |
|
| Other financial assets at fair value through profit or
loss |
|
| Hedging derivative instruments |
|
| Accounted debt's instruments at fair value through recyclable
own funds |
|
| Accounted own funds' instruments at fair value through
non recyclable own funds |
|
| Loans and receivables due from credit institutions |
|
| Loans and receivables due from customers |
|
| Held-to-maturity financial assets |
|
| Revaluation adjustment on interest rate hedged portfolios |
|
| Deferred tax assets |
|
| Accruals, prepayments and sundry assets |
|
| Non-current assets held for sale |
|
| Deferred participation benefits |
|
| Investments in equity-accounted entities |
|
| Investment property |
|
| Property, plant and equipment |
|
| Intangible assets |
|
| Goodwill |
1 |
| TOTAL ASSETS |
1 |
| LIABILITIES |
|
| Central banks |
2 |
| Available-for-sale financial liabilities |
150 |
| Financial liabilities at fair value through options |
27 |
| Hedging derivative instruments |
1 |
| Due to credit institutions |
46 |
| Due to customers |
151 |
| Debt securities |
31 |
| Revaluation adjustment on interest rate hedged portfolios |
|
| Current and deferred tax liabilities |
|
| Accruals, deferred income and sundry liabilities |
24 |
| Liabilities associated with non-current assets held for
sale |
|
| Insurance company technical reserves |
|
| Provisions |
2 |
| Subordinated debt |
5 |
| Total liabilities |
438 |
| TOTAL EQUITY |
22 |
| of which equity - group share |
22 |
| of which share capital and reserves |
14 |
| of which consolidated reserves |
7 |
| Other comprehensive income |
|
| Other comprehensive income on non-current assets held
for sale and discontinued operations |
|
| Net income/(loss) for the year |
2 |
| of which Non-controlling interests |
|
| TOTAL EQUITY AND LIABILITIES |
460 |
The carrying amounts for the regulatory scope of consolidation (column b) are not
equal to the sum of their breakdown by the risk (coloumns c to g) as an exposure may
be subject to several types of risk.
► Main sources
of differences between carrying and regulatory amounts of exposures
(LI2)
|
|
31.12.2019 |
|
|
|
Items subject to: |
| € billion |
|
TOTAL |
Credit risk framework |
Counterparty credit risk framework |
Securitisation framework |
Market risk framework1 |
| 1 |
Asset carrying value amount under the scope of regulatory
consolidation (as per template
EU LI1) 2 |
545 |
285 |
230 |
2 |
145 |
| 2 |
Liabilities carrying value aount under the regulatory
scope of consolidation (as per
template EU LI1)
|
84 |
7 |
78 |
|
|
| 3 |
Total net amount under the regulatory scope of consolidation |
461 |
278 |
152 |
2 |
145 |
| 4 |
Off-balance-sheet amounts 3 |
252 |
78 |
|
38 |
|
| 5 |
Differences in valuations |
|
|
|
|
|
| 6 |
Differences in netting rules |
(117) |
|
(117) |
|
|
| 7 |
Difference due to consideration of provisions |
3 |
3 |
|
|
|
| 8 |
Differences due to the use of credit risk mitigation
techniques (CRMs) |
(11) |
(11) |
|
|
|
| 9 |
Differences due to credit conversion factors |
(66) |
|
|
|
|
| 10 |
Differences due to Securitisation with risk transfer |
|
|
|
|
|
| 11 |
Other adjustments |
47 |
13 |
34 |
|
|
| 12 |
Exposure amount considered for regulatory purposes |
470 |
360 |
69 |
40 |
|
1
Exposures related to market risk include the exposures subject to the calculation
of counterparty risk on the derivatives.
2
The "Total" column includes the assets deductible from the prudential capital.
3
In line item "Off-balance sheet amounts", the amounts shown in the Total column,
which relates to exposures pre-CCF, do not equal the sum of the amounts shown in the
remaining columns, as these are post-CCF.
3.3 NOTES TO THE
REGULATORY CAPITAL REQUIREMENTS
► Description
of the differences between the scopes of consolidation (LI3: entity
by entity) (1)
| Name of entity |
Accounting consolidation method |
Regulatory consolidation
method |
Description of entity |
|
|
Full consolidation |
Proportional integration |
Equity method |
|
| UBAF |
MEE |
|
X |
|
FINANCIAL AND INSURANCE ACTIVITIES - financial services
activities, except insurance
and pension funds
|
| CAIRS Assurance S.A. |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Insurance |
| Atlantic Asset Securitization LLC |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| LMA SA |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Héphaïstos EUR FCC |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Héphaïstos GBP FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Héphaïstos USD FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Héphaïstos Multidevises FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Eucalyptus FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Pacific USD FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Shark FCC |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Vulcain EUR FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Vulcain Multi-Devises FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Vulcain USD FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Pacific EUR FCC |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Pacific IT FCT |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| Triple P FCC |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| ESNI (compartiment Crédit Agricole CIB) |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Auxiliary activities
in financial services and
insurance
|
| Elipso Finance S.r.l |
MEE |
|
X |
|
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| La Fayette Asset Securitization LLC |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| TSUBAKI ON (FCT) |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| TSUBAKI OFF (FCT) |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| La Route Avance |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
| FCT CFN DIH |
Overall |
|
|
X |
FINANCIAL AND INSURANCE ACTIVITIES - Financial services
activities, except insurance
and pension funds
|
(1)
The scope of consolidation is fully described in Note 11 to the consolidated financial
statements.
► Composition
of capital at 31 December 2019
The table below is presented under the format of Annex IV and VI of Commission
Implementing
Regulation No. 1423/103 of 20 December 2013. In order to simplify matters, the headings
used below are those of in Annex VI, namely the phased-in headings.
| € million |
|
31.12.2019 |
| Numbering (phased-in) |
|
Phased-in |
Fully loaded |
| Common Equity Tier 1 (CET1) capital: instruments and
reserves |
|
|
|
| 1 |
Capital instruments and the related share premium accounts |
9,425 |
9,425 |
|
of which: Crédit Agricole S.A. shares |
9,425 |
9,425 |
| 2 |
Retained earnings |
|
|
| 3 |
Accumulated other comprehensive income (and other reserves,
to include unrealised
gains and losses under the applicable accounting standards)
|
6,906 |
6,906 |
| 3a |
Fund for general banking risk |
|
|
| 4 |
Amount of qualifying items referred to in Article 484(3)
and the related share premium
accounts subject to phase out from CET1
|
|
|
|
Public sector capital injections grandfathered until
1 January 2018 |
|
|
| 5 |
Minority interests (amount allowed in consolidated CET1) |
96 |
96 |
| 5a |
Independently reviewed interim profits net of any foreseeable
charge or dividend |
1,042 |
1,042 |
| 6 |
Common Equity Tier 1 (CET1) capital before regulatory
adjustments |
17,468 |
17,468 |
| Common Equity Tier 1 (CET1) capital: regulatory adjustments |
|
|
|
| 7 |
Additional value adjustments (negative amount) |
(746) |
(746) |
| 8 |
Intangible assets (net of related tax liability) (negative
amount) |
(1,407) |
(1,407) |
| 9 |
Empty set in the EU |
|
|
| 10 |
Deferred tax assets that rely on future profitability
excluding those arising from
temporary differences (net of related tax liability where the conditions in Article
38(3) are met) (negative amount)
|
(17) |
(17) |
| 11 |
Fair value reserves related to gains or losses on cash
flow hedges |
(310) |
(310) |
| 12 |
Negative amounts resulting from the calculation of expected
loss amounts |
(11) |
(11) |
| 13 |
Any increase in equity that results from securitised
assets (negative amount) |
(244) |
(244) |
| 14 |
Gains or losses on liabilities valued at fair value resulting
from changes in own
credit standing
|
136 |
136 |
| 15 |
Defined-benefit pension fund assets (negative amount) |
|
|
| 16 |
Direct and indirect holdings by an institution of own
CET1 instruments (negative amount) |
|
|
| 17 |
Holdings of the CET1 instruments of financial sector
entities where those entities
have reciprocal cross with the institution designed to inflate artificially the own
funds of the institution (negative amount)
|
|
|
| 18 |
Direct and indirect holdings by the institution of the
CET1 instruments of financial
sector entities where the institution does not have a significant investment in those
entities (amount above the 10% threshold and net of eligible short positions) (negative
amount)
|
|
|
| 19 |
Direct, indirect and synthetic holdings by the institution
of the CET1 instruments
of financial sector entities where the institution has a significant investment in
those entities (amount above 10% threshold and net of eligible short positions) (negative
amount)
|
|
|
| 20 |
Empty set in the EU |
(154) |
(154) |
| 20a |
Exposure amount of the following items which qualify
for a RW of 1,250%, where the
institution opts for the deduction alternative
|
(6) |
(6) |
| 20b |
of which: qualifying holdings outside the financial sector
(negative amount) |
(6) |
(6) |
| 20c |
of which: securitisation positions (negative amount) |
|
|
| 20d |
of which: free deliveries (negative amount) |
|
|
| 21 |
Deferred tax assets arising from temporary differences
(amount above 10% threshold,
net of related tax liability where the conditions in Article 38(3) are met) (negative
amount)
|
|
|
| 22 |
Amount exceeding the 15% threshold (negative amount) |
|
|
| 23 |
of which: direct and indirect holdings by the institution
of the CET1 instruments
of financial sector entities where the institution has a significant investment in
those entities
|
|
|
| 24 |
Empty set in the EU |
|
|
| 25 |
of which: deferred tax assets arising from temporary
differences |
|
|
| 25a |
Losses for the current financial year (negative amount) |
|
|
| 25b |
Foreseeable tax charges relating to CET1 items (negative
amount) |
|
|
| 26 |
Regulatory adjustments applied to Common Equity Tier
1 in respect of amounts subject
to pre-CRR treatment
|
(96) |
(96) |
| 26a |
Regulatory adjustments relating to unrealised gains and
losses pursuant to Articles
467 and 468
|
|
|
|
Of which: unrealised gains (phase out) |
|
|
|
Of which: unrealised losses (phase out) |
|
|
|
Of which: unrealised gains linked to exposures to central
administrations (phase out) |
|
|
|
Of which: unrealised losses linked to exposures to central
administrations (phase
out)
|
|
|
| 26b |
Amount to be deducted from or added to Common Equity
Tier 1 capital with regard to
additional filters and deductions required pre CRR
|
(96) |
(96) |
| 27 |
Qualifying AT1 deductions that exceed the AT1 capital
of the institution (negative
amount)
|
|
|
| 28 |
Total regulatory adjustments to Common Equity Tier 1
(CET1) |
(2,855) |
(2,855) |
| 29 |
Common Equity Tier 1 (CET1) capital |
14,613 |
14,613 |
| Additional Tier 1 (AT1) capital: instruments |
|
|
|
| 30 |
Capital instruments and the related share premium accounts |
4,149 |
4,149 |
| 31 |
of which: classified as equity under applicable accounting
standards |
4,149 |
4,149 |
| 32 |
of which: classified as liabilities under applicable
accounting standards |
|
|
| 33 |
Amount of qualifying items referred to in Article 484 |
1,407 |
|
|
(4) and the related share premium accounts subject to
phase out from AT1 |
|
|
|
Public sector capital injections grandfathered until
1 January 2018 |
|
|
| 34 |
Qualifying Tier 1 capital included in consolidated AT1
capital (including minority
interests not included in row 5) issued by subsidiaries and held by third parties
|
|
|
| 35 |
of which: instruments issued by subsidiaries subject
to phase out |
|
|
| 36 |
Additional Tier 1 (AT1) capital before regulatory adjustments |
5,557 |
4,149 |
| Additional Tier 1 (AT1) capital: regulatory adjustments |
|
|
|
| 37 |
Direct and indirect holdings by an institution of own
AT1 instruments (negative amount) |
|
|
| 38 |
Holdings of the AT1 instruments of financial sector entities
where those entities
have reciprocal cross holdings with the institution designed to inflate artificially
the own funds of the institution (negative amount)
|
|
|
| 39 |
Direct and indirect holdings of the AT1 instruments of
financial sector entities where
the institution does not have a significant investment in those entities (amount above
the 10% threshold and net of eligible short positions) (negative amount)
|
|
|
| 40 |
Direct and indirect holdings by the institution of the
AT1 instruments of financial
sector entities where the institution has a significant investment in those entities
(amount above the 10% threshold and net of eligible short positions) (negative amount)
|
|
|
| 41 |
Regulatory adjustments applied to Additional Tier 1 in
respect of amounts subject
to pre-CRR treatment and transitional treatments subject to phase out as prescribed
in Regulation (EU) no. 575/2013 (i.e. CRR residual amounts)
|
|
|
| 41a |
Residual amounts deducted from Additional Tier 1 capital
with regard to deduction
from Common Equity Tier 1 capital during the transitional period pursuant to Article
472 of Regulation (EU) no. 575/2013
|
|
|
| 41b |
Residual amounts deducted from Additional Tier 1 capital
with regard to deduction
from Tier 2 capital during the transitional period pursuant to Article 475 of Regulation
(EU) no. 575/2013
|
|
|
| 41c |
Amount to be deducted from or added to Additional Tier
1 capital with regard to additional
filters and deductions required pre-CRR
|
14 |
14 |
| 42 |
Qualifying T2 deductions that exceed the T2 capital of
the institution (negative amount) |
|
|
| 43 |
Total regulatory adjustments to Additional Tier 1 (AT1)
capital |
14 |
14 |
| 44 |
Additional Tier 1 capital (AT1) |
5,570 |
4,163 |
| 45 |
Tier 1 capital (T1=CET1 + AT1) |
20,184 |
18,776 |
| Tier 2 (T2) capital: instruments and provisions |
|
|
|
| 46 |
Capital instruments and the related share premium accounts |
3,269 |
3,269 |
| 47 |
Amount of qualifying items referred to in Article 484 |
209 |
|
|
(5) and the related share premium accounts subject to
phase out from T2 |
|
|
|
Public sector capital injections grandfathered until
1 January 2018 |
|
|
| 48 |
Qualifying own funds instruments included in consolidated
T2 capital (including minority
interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries
and held by third parties
|
|
|
| 49 |
of which: instruments issued by subsidiaries subject
to phase out |
|
|
| 50 |
Tier 2 (T2) capital before regulatory adjustments |
365 |
365 |
| 51 |
Tier 2 (T2) capital: regulatory adjustments |
3,843 |
3,634 |
| Tier 2 (T2) capital: regulatory adjustments |
|
|
|
| 52 |
Direct and indirect holdings by an institution of own
T2 instruments and subordinated
loans (negative amount)
|
|
|
| 53 |
Holdings of the T2 instruments and subordinated loans
of financial sector entities
where those entities have reciprocal cross holdings with the institution designed
to inflate artificially the own funds of the institution (negative amount)
|
|
|
| 54 |
Direct and indirect holdings of the T2 instruments and
subordinated loans of financial
sector entities where the institution does not have a significant investment in those
entities (amount above the 10% threshold and net of eligible short positions) (negative
amount)
|
|
|
| 54a |
Of which new holdings not subject to transitional arrangements |
|
|
| 54b |
Of which holdings existing before 1 January 2013 and
subject to transitional arrangements |
|
|
| 55 |
Direct and indirect holdings by the institution of the
T2 instruments and subordinated
loans of financial sector entities where the institution has a significant investment
in those entities (net of eligible short positions) (negative amount)
|
|
|
| 56 |
Regulatory adjustments applied to Tier 2 in respect of
amounts subject to pre-CRR
treatment and transitional treatments subject to phase out as prescribed in Regulation
(EU) no. 575/2013 (i.e. CRR residual amounts)
|
8 |
|
| 56a |
Residual amounts deducted from Tier 2 capital with regard
to deduction from Common
Equity Tier 1 capital during the transitional period pursuant to Article 472 of Regulation
(EU) no. 575/2013
|
8 |
|
| 56b |
Residual amounts deducted from Tier 2 capital with regard
to deduction from Additional
Tier 1 capital during the transitional period pursuant to Article 475 of Regulation
(EU) no. 575/2013
|
|
|
| 56c |
Amount to be deducted from or added to Tier 2 capital
with regard to additional filters
and deductions required pre-CRR
|
|
|
| 57 |
Total regulatory adjustments to Tier 2 (T2) capital |
8 |
|
| 58 |
Tier 2 (T2) capital |
3,851 |
3,634 |
| 59 |
Total capital (TC=T1 + T2) |
24,035 |
22,410 |
| 59a |
Risk weighted assets in respect of amounts subject to
pre-CRR treatment and transitional
treatments subject to phase out as prescribed in Regulation (EU) no. 575/2013 (i.e.
CRR residual amounts)
|
1,387 |
|
|
Of which: CET1 instruments of financial sector entities
not deducted from CET1 (Regulation
(EU) no. 575/2013 residual amounts)
|
472 |
|
|
Of which: Deferred tax assets that rely on future profitability
and arising from temporary
differences not deducted from CET1 (Regulation (EU) no. 575/2013 residual amounts)
|
915 |
|
|
Of which: AT1 instruments of financial sector entities
not deducted from AT1 (Regulation
(EU) no. 575/2013 residual amounts)
|
|
|
|
Of which: Tier 2 instruments of financial sector entities
not deducted from Tier 2
(Regulation (EU) no. 575/2013 residual amounts)
|
|
|
| 60 |
Total risk weighted assets |
120,474 |
120,474 |
| Capital ratios and buffers |
|
|
|
| 61 |
Common Equity Tier 1 (as a percentage of risk exposure
amount) |
12.13% |
12.13% |
| 62 |
Tier 1 (as a percentage of risk exposure amount) |
16.75% |
15.59% |
| 63 |
Total capital (as a percentage of risk exposure amount) |
19.95% |
18.60% |
| 64 |
Institution specific buffer requirement (CET1 requirement
in accordance with Article
92
|
|
|
|
(1) (a) plus capital conservation and countercyclical
buffer requirements, plus systemic
buffer, plus the systemically important institution buffer (G-SII or O-SII buffer),
expressed as a percentage of risk exposure amount)
|
|
|
| 65 |
of which: capital conservation buffer requirement |
|
|
| 66 |
of which: countercyclical buffer requirement |
|
|
| 67 |
of which: systemic risk buffer requirement |
|
|
| 67a |
of which: Global Systemically Important Institution (G-SII)
or Other Systemically
Important Institution (O-SII) buffer
|
|
|
| 68 |
Common Equity Tier 1 available to meet buffers (as a
percentage of risk exposure amount) |
|
|
| 69 |
[non relevant in EU regulation] |
|
|
| 70 |
[non relevant in EU regulation] |
|
|
| 71 |
[non relevant in EU regulation] |
|
|
| Amounts below the thresholds for deduction (before risk
weighting) |
|
|
|
| 72 |
Direct and indirect holdings of the capital of financial
sector entities where the
institution does not have a significant investment in those entities (amount below
10% threshold and net of eligible short positions)
|
1,256 |
1,256 |
| 73 |
Direct and indirect holdings by the institution of the
CET1 instruments of financial
sector entities where the institution has a significant investment in those entities
(amount below 10% threshold and net of eligible short positions)
|
1,461 |
1,461 |
| 74 |
Empty set in the EU |
|
|
| 75 |
Deferred tax assets arising from temporary differences
(amount below 10% threshold,
net of related tax liability where the conditions in Article 38
|
366 |
366 |
|
(3) are met) |
|
|
| Applicable caps on the inclusion of provisions in Tier
2 |
|
|
|
| 76 |
Credit risk adjustments included in Tier 2 in respect
of exposures subject to standardized
approach (prior to the application of the cap)
|
|
|
| 77 |
Cap on inclusion of credit risk adjustments in T2 under
standardized approach |
373 |
373 |
| 78 |
Credit risk adjustments included in Tier 2 in respect
of exposures subject to internal
ratings-based approach (prior to the application of the cap)
|
366 |
366 |
| 79 |
Cap for inclusion of credit risk adjustments in T2 under
internal ratings-based approach |
365 |
365 |
| Grandfathered equity instruments (applicable between
1 January 2013 and 1 January
2022 only)
|
|
|
|
| 80 |
Current cap on CET1 instruments subject to phase out
arrangements |
|
|
| 81 |
Amount excluded from CET1 due to cap (excess over cap
after redemptions and maturities) |
|
|
| 82 |
Current cap on AT1 instruments subject to phase out arrangements |
1,407 |
|
| 83 |
Amount excluded from AT1 due to cap (excess over cap
after redemptions and maturities) |
|
|
|
|
(8) |
|
| 84 |
Current cap on T2 instruments subject to phase out arrangements |
232 |
|
| 85 |
Amount excluded from T2 due to cap (excess over cap after
redemptions and maturities) |
|
|
3.4 COMPOSITION
AND CHANGES IN RISK-WEIGHTED ASSETS
3.4.1 Summary
of risk-weighted assets
The global solvency ratio, displayed in the prudential ratios table, is equal to
the
ratio between the total capital and the sum of the risk weighted exposures on credit,
market and operational risks.
The capital requirements detailed below by type of risk, method and exposure category
(for credit risk) correspond to 8% (regulatory minimum) of the weighted exposures
(average risk equivalent) displayed in the prudential ratios table.
3.4.1.1 RISK-WEIGHTED
ASSETS BY TYPE OF RISK (OV1)
Credit risk, market risk and operational risk-weight assets amounted to €120.5
billion
as of 31 December 2019 compared to €118.7 billion at 31 December 2018.
|
|
RWA |
Minimum capital requirements |
| € million |
|
31.12.2019 |
31.12.2018 |
31.12.2019 |
| 1 |
Credit risk (excluding CCR) |
66,217 |
64,290 |
5,297 |
| 2 |
Of which the standardised approach |
12,472 |
10,598 |
998 |
| 3 |
Of which the foundation IRB (FIRB) approach |
|
|
|
| 4 |
Of which the advanced IRB (AIRB) approach |
51,235 |
52,607 |
4,099 |
| 5 |
Of which equity IRB under the simple risk-weighted approach
or the IMA |
2,494 |
1,068 |
200 |
|
Of witch Other non credit obligation assets |
17 |
17 |
1 |
| 6 |
Counterparty credit risk (CCR) |
17,017 |
15,391 |
1,361 |
| 7 |
Of which mark to market |
4,320 |
3,671 |
346 |
| 8 |
Of which original exposure |
|
|
|
| 9 |
Of which the standardised approach |
|
|
|
| 10 |
Of which internal model method (IMM) |
8,990 |
8,363 |
719 |
| 11 |
Of which risk exposure amount for contributions to the
default fund of a CCP |
301 |
229 |
24 |
| 12 |
Of which CVA |
3,405 |
3,128 |
272 |
| 13 |
Settlement risk |
15 |
7 |
1 |
| 14 |
Securitisation exposures in the banking book (after the
cap) |
7,336 |
6,393 |
587 |
| 15 |
Of which IRB approach |
919 |
946 |
74 |
| 16 |
Of which IRB supervisory formula approach (SFA) |
940 |
1,151 |
75 |
| 17 |
Of which internal assessment approach (IAA) |
3,149 |
2,857 |
252 |
| 18 |
Of which standardised approach |
327 |
1,439 |
26 |
|
Of which new regulatory framework securitisation originated
since 01/01/2019 |
2,001 |
|
160 |
| 19 |
Market risk |
8,239 |
7,768 |
659 |
| 20 |
Of which the standardised approach |
1,296 |
1,346 |
104 |
| 21 |
Of which IMA |
6,930 |
6,421 |
554 |
|
Of which new regulatory framework securitisation originated
since 01/01/2019 |
13 |
|
1 |
| 22 |
Large exposures |
|
|
|
| 23 |
Operational risk |
21,178 |
21,376 |
1,694 |
| 24 |
Of which basic indicator approach |
|
|
|
| 25 |
Of which standardised approach |
482 |
391 |
39 |
| 26 |
Of which advanced measurement approach |
20,695 |
20,985 |
1,656 |
| 27 |
Amounts below the thresholds for deduction (subject to
250% risk weight) |
473 |
3,444 |
38 |
| 28 |
Floor adjustment Basel I |
|
|
|
| 29 |
TOTAL |
120,474 |
118,668 |
9,638 |
3.4.1.2 CHANGES
IN RISK-WEIGHTED ASSETS
The table below shows Crédit Agricole CIB's Group RWA change over 2019.
| € million |
31.12.2018 |
Foreign exchange |
Organic change |
Total variation 2019 |
31.12.2019 |
| Credit risk |
89,524 |
999 |
520 |
1,519 |
91,043 |
| of witch CVA |
3,128 |
|
277 |
277 |
3,405 |
| Market risk |
7,768 |
|
486 |
486 |
8,254 |
| Operational risk |
21,376 |
|
(198) |
(198) |
21,178 |
| Total |
118,668 |
999 |
807 |
1,806 |
120,474 |
Risk-weighted assets stand at €120.5 billion, increasing by €1.8 billion over the
year.
This change is essentially explained by:
| ― |
The USD appreciation compared to EUR for €1 billion;
|
| ― |
an organic change of +€0.8 billion, resulting mainly from:
| ― |
an increase in organic credit and counterparty risk excluding
CVA (+€0.2 billion);
|
| ― |
higher market risk (+€0.5 billion);
|
| ― |
a slight decrease in the operational risk (-€0.2 billion);
|
| ― |
an increase of credit risk related to CVA (+€0.3 billion).
|
|
3.4.2 Credit and
counterparty risks
Definitions:
| ― |
probability of default (PD): the probability that a counterparty
will default within
a period of one year;
|
| ― |
loss given default (LGD): the ratio between the loss incurred
upon counterparty default
and the amount of the exposure at the time of default;
|
| ― |
gross exposures: the amount of exposure (onand off-balance sheet)
before the use of
credit risk mitigation techniques and before the use of the credit conversion factor
(CCF);
|
| ― |
exposures given default (EGD): the amount of exposure (onand
off-balance sheet) after
the use of credit risk mitigation techniques and after the use of the credit conversion
factor (CCF);
|
| ― |
credit conversion factor (CCF): ratio reflecting, at the time
of default, the percentage
of the outstanding not drawn down one year before the default;
|
| ― |
risk-weighted assets (RWA): exposure at default (EAD) after application
of a weighting
coefficient;
|
| ― |
valuation adjustments: impairment losses on a specific asset
due to credit risk, recognised
either through a partial writedown or a deduction from the carrying amount of the
asset;
|
| ― |
external credit ratings: credit ratings established by an external
credit rating agency
recognised by the ECB.
|
In Part I, a general view of the change in credit and counterparty risk is presented
followed by a more detailed point on the credit risk in Part II, by type of prudential
method: in standard type of method and in IRB method. The counterparty risk is treated
in Part III followed by Part IV devoted to credit and counterparty risk mitigation
mechanisms.
3.4.2.1 GENERAL
PRESENTATION OF THE CREDIT AND COUNTERPARTY RISK
♦ 3.4.2.1.1 Exposure
by type of risk
The table below presents the exposure of the Crédit Agricole CIB Group to overall
risk (credit, counterparty, dilution and settlement/ delivery) by category of exposure,
for the standard approaches and internal ratings at 31 December 2019 and at 31 December
2018.
The 17 exposure classes under the standardised approach are grouped together to
ensure
the presentation aligns with the IRB exposures.
► Gross exposure,
exposure at default (EAD) to total risk (credit, counterparty, dilution,
settlement) at 31 December 2019
|
31.12.2019 |
|
Standardised |
IRB |
| € million |
Gross exposure1 |
Gross exposure afrer CRM2 |
EAD |
RWA |
Gross exposure1 |
Gross exposure afrer CRM2 |
| Central governments or central banks |
1,137 |
1,137 |
1,090 |
972 |
97,581 |
107,920 |
| Institutions |
18,087 |
35,453 |
34,984 |
925 |
72,099 |
76,776 |
| Corporates |
28,721 |
11,222 |
7,235 |
6,700 |
269,253 |
243,771 |
| Retail customers |
932 |
931 |
864 |
660 |
13,268 |
13,271 |
| Loans to individuals |
932 |
931 |
864 |
660 |
13,145 |
13,148 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w revolving |
|
|
|
|
|
|
| o/w other |
932 |
931 |
864 |
660 |
13,145 |
13,148 |
| Loans to small and medium businesses |
|
|
|
|
122 |
122 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w other |
|
|
|
|
122 |
122 |
| Shares |
324 |
|
324 |
326 |
1,135 |
|
| Securitisations |
503 |
|
503 |
327 |
39,802 |
|
| Assets other than credit obligation |
3,842 |
|
3,842 |
3,555 |
17 |
|
| TOTAL |
53,545 |
48,743 |
48,841 |
13,465 |
493,154 |
441,738 |
|
31.12.2019 |
|
IRB |
Total |
| € million |
EAD |
RWA |
Gross exposure1 |
Gross exposure afrer CRM2 |
EAD |
RWA |
| Central governments or central banks |
105,852 |
972 |
98,718 |
109,057 |
106,943 |
1,944 |
| Institutions |
73,528 |
6,491 |
90,185 |
112,229 |
108,512 |
7,416 |
| Corporates |
187,380 |
55,897 |
297,974 |
254,993 |
194,615 |
62,597 |
| Retail customers |
13,271 |
520 |
14,199 |
14,202 |
14,134 |
1,179 |
| Loans to individuals |
13,148 |
513 |
14,077 |
14,079 |
14,012 |
1,173 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w revolving |
|
|
|
|
|
|
| o/w other |
13,148 |
513 |
14,077 |
14,079 |
14,012 |
1,173 |
| Loans to small and medium businesses |
122 |
7 |
122 |
122 |
122 |
7 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w other |
122 |
7 |
122 |
122 |
122 |
7 |
| Shares |
958 |
2,967 |
1,460 |
|
1,282 |
3,293 |
| Securitisations |
39,802 |
5,008 |
40,305 |
|
40,305 |
5,335 |
| Assets other than credit obligation |
17 |
17 |
3,858 |
|
3,858 |
3,572 |
| TOTAL |
420,808 |
71,871 |
546,699 |
490,481 |
469,649 |
85,335 |
|
31.12.2019 |
|
Capital requirement |
| € million |
|
| Central governments or central banks |
156 |
| Institutions |
593 |
| Corporates |
5,008 |
| Retail customers |
94 |
| Loans to individuals |
94 |
| o/w secured by real estate assets |
|
| o/w revolving |
|
| o/w other |
94 |
| Loans to small and medium businesses |
1 |
| o/w secured by real estate assets |
|
| o/w other |
1 |
| Shares |
263 |
| Securitisations |
427 |
| Assets other than credit obligation |
286 |
| TOTAL |
6,827 |
1
Initial gros exposure.
2
Gross exposure after credit risk mitigation (CRM).
► Gross exposure,
exposure at default (EAD) to total risk (credit, counterparty, dilution,
settlement) at 31 December 2018
|
31.12.2018 |
|
Standardised |
IRB |
| € million |
Gross exposure1 |
Gross exposure afrer CRM2 |
EAD |
RWA |
Gross exposure1 |
Gross exposure afrer CRM2 |
| Central governments or central banks |
1,160 |
1,160 |
1,111 |
915 |
83,286 |
93,141 |
| Institutions |
19,296 |
36,758 |
36,332 |
1,525 |
67,354 |
70,224 |
| Corporates |
27,428 |
9,855 |
6,196 |
5,360 |
249,154 |
227,727 |
| Retail customers |
838 |
838 |
794 |
612 |
13,087 |
13,087 |
| Loans to individuals |
838 |
838 |
794 |
612 |
12,964 |
12,964 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w revolving |
|
|
|
|
|
|
| o/w other |
838 |
838 |
794 |
612 |
12,964 |
12,964 |
| Loans to small and medium businesses |
|
|
|
|
122 |
122 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w other |
|
|
|
|
122 |
122 |
| Shares |
206 |
|
206 |
207 |
1,668 |
|
| Securitisations |
2,008 |
|
2,008 |
1,439 |
43,299 |
|
| Assets other than credit obligation |
3,321 |
|
3,321 |
3,127 |
17 |
|
| TOTAL |
54,256 |
48,611 |
49,968 |
13,186 |
457,864 |
404,179 |
|
31.12.2018 |
|
IRB |
Total |
| € million |
EAD |
RWA |
Gross exposure1 |
Gross exposure afrer CRM2 |
EAD |
RWA |
| Central governments or central banks |
90,656 |
853 |
84,446 |
94,301 |
91,767 |
1,768 |
| Institutions |
66,176 |
6,768 |
86,650 |
106,982 |
102,507 |
8,293 |
| Corporates |
176,311 |
55,354 |
276,582 |
237,582 |
182,507 |
60,714 |
| Retail customers |
13,086 |
517 |
13,925 |
13,925 |
13,881 |
1,130 |
| Loans to individuals |
12,964 |
508 |
13,803 |
13,803 |
13,759 |
1,120 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w revolving |
|
|
|
|
|
|
| o/w other |
12,964 |
508 |
13,803 |
13,803 |
13,759 |
1,120 |
| Loans to small and medium businesses |
122 |
9 |
122 |
122 |
122 |
9 |
| o/w secured by real estate assets |
|
|
|
|
|
|
| o/w other |
122 |
9 |
122 |
122 |
122 |
9 |
| Shares |
1,668 |
4,512 |
1,874 |
|
1,874 |
4,719 |
| Securitisations |
43,299 |
4,954 |
45,307 |
|
45,307 |
6,393 |
| Assets other than credit obligation |
17 |
17 |
3,337 |
|
3,337 |
3,144 |
| TOTAL |
391,211 |
72,975 |
512,120 |
452,790 |
441,180 |
86,161 |
|
31.12.2018 |
|
Capital requirement |
| € million |
|
| Central governments or central banks |
141 |
| Institutions |
663 |
| Corporates |
4,857 |
| Retail customers |
90 |
| Loans to individuals |
90 |
| o/w secured by real estate assets |
|
| o/w revolving |
|
| o/w other |
90 |
| Loans to small and medium businesses |
1 |
| o/w secured by real estate assets |
|
| o/w other |
1 |
| Shares |
378 |
| Securitisations |
511 |
| Assets other than credit obligation |
251 |
| TOTAL |
6,893 |
1
Initial gros exposure.
2
Gross exposure after credit risk mitigation (CRM).
► Total net amount
and average exposure (CRB-B)
Total net amount exposure is €503 billion on 31 December 2019 of which 89% are
subject
to a regulatory treatment based on internal ratings.
|
|
31.12.2019 |
31.12.2018 |
| € million |
|
Net value of exposures at the end
of the period |
Average net exposures over the
period1 |
Net value of exposures at the end
of the period |
Average net exposures over the
period2 |
| 1 |
Central governments or central banks |
97,552 |
89,196 |
83,261 |
75,919 |
| 2 |
Institutions |
71,702 |
75,841 |
66,954 |
69,036 |
| 3 |
Corporates |
266,725 |
259,227 |
246,592 |
238,740 |
| 4 |
Of which: Specialised lending |
64,547 |
63,044 |
58,212 |
56,505 |
| 5 |
Of which: SMEs |
788 |
732 |
880 |
669 |
| 6 |
Retail |
13,249 |
13,362 |
13,069 |
12,835 |
| 7 |
Secured by real estate property |
|
|
|
|
| 8 |
SMEs |
|
|
|
|
| 9 |
Non-SMEs |
|
|
|
|
| 10 |
Qualifying revolving |
|
|
|
|
| 11 |
Other retail |
13,249 |
13,362 |
13,069 |
12,835 |
| 12 |
SMEs |
122 |
123 |
122 |
124 |
| 13 |
Non-SMEs |
13,127 |
13,239 |
12,948 |
12,711 |
| 14 |
Equity |
946 |
426 |
290 |
295 |
| 15 |
Total IRB approach |
450,175 |
438,051 |
410,167 |
396,825 |
| 16 |
Central governments or central banks |
1,091 |
1,062 |
1,112 |
1,096 |
| 17 |
Regional governments or local authorities |
45 |
45 |
44 |
43 |
| 18 |
Public sector entities |
1 |
1 |
1 |
1 |
| 19 |
Multilateral development banks |
21 |
13 |
6 |
7 |
| 20 |
International organisations |
|
|
|
|
| 21 |
Institutions |
18,000 |
19,156 |
19,288 |
20,027 |
| 22 |
Corporates |
27,786 |
26,619 |
26,615 |
23,509 |
| 23 |
Of which: SMEs |
169 |
179 |
281 |
300 |
| 24 |
Retail |
916 |
809 |
817 |
736 |
| 25 |
Of which: SMEs |
|
|
|
|
| 26 |
Secured by mortgages on immovable property |
188 |
223 |
211 |
209 |
| 27 |
Of which: SMEs |
3 |
11 |
16 |
17 |
| 28 |
Exposures in default |
390 |
376 |
477 |
368 |
| 29 |
Items associated with particularly high risk |
325 |
81 |
|
|
| 30 |
Covered bonds |
|
|
|
|
| 31 |
Claims on institutions and corporates with a shortterm
credit assessment |
|
|
|
|
| 32 |
Collective investments undertakings |
18 |
25 |
46 |
46 |
| 33 |
Equity exposures |
324 |
274 |
206 |
194 |
| 34 |
Other exposures |
3,842 |
3,962 |
3,321 |
3,384 |
| 35 |
Total standardised approach |
52,947 |
52,645 |
52,144 |
49,619 |
| 36 |
TOTAL |
503,121 |
490,696 |
462,311 |
446,444 |
1
The 2019 average is calculated on the basis of data recorded at the end of each quarter
2019.
2
The 2018 average is calculated on the basis of data recorded at the end of each quarter
2018.
♦ 3.4.2.1.2 Exposures
by geographic area
The breakdone is done on the total amount of exposures per geographical zone on
the
scope of the Crédit Agricole CIB group excluding securitisation transactions and "Assets
other than credit obligations".
At 31 December 2019, this amount was €503 billion (€462 billion at 31 December
2018
for the same scope).
► At 31 December
2019
► At 31 December
2018
Geographic breakdown
of exposures (CRB-C)
|
31.12.2019 |
|
EUROPE |
| € million |
France |
United-Kingdom |
Germany |
Luxembourg |
Switzerland |
Italy |
| Central governments or central banks |
24,996 |
3,061 |
2,512 |
1,311 |
1,288 |
314 |
| Institutions |
35,148 |
5,475 |
1,139 |
2,635 |
3,638 |
1,235 |
| Corporates |
54,691 |
16,909 |
11,216 |
11,598 |
8,299 |
10,307 |
| Retail |
2,493 |
320 |
17 |
903 |
876 |
167 |
| Equity |
77 |
59 |
2 |
28 |
28 |
2 |
| Total IRB approach 31.12.2019 |
117,405 |
25,824 |
14,887 |
16,476 |
14,129 |
12,025 |
| Total IRB approach 31.12.2018 |
108,810 |
26,444 |
15,035 |
15,138 |
13,883 |
12,729 |
| Central governments or central banks |
269 |
25 |
28 |
11 |
56 |
216 |
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral development banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Institutions |
3,972 |
9,252 |
535 |
|
24 |
180 |
| Corporates |
22,345 |
367 |
3 |
248 |
160 |
575 |
| Retail |
4 |
|
|
|
2 |
447 |
| Secured by mortgages on immovable property |
136 |
|
|
|
|
|
| Exposures in default |
306 |
5 |
|
|
|
26 |
| Items associated with particularly high risk |
325 |
|
|
|
|
|
| Covered bonds |
|
|
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
|
| Collective investments undertakings |
18 |
|
|
|
|
|
| Equity exposures |
192 |
|
|
|
|
11 |
| Other exposures |
2,480 |
70 |
10 |
54 |
436 |
79 |
| Total standardised approach 31.12.2019 |
30,045 |
9,720 |
575 |
313 |
678 |
1,532 |
| Total standardised approach 31.12.2018 |
33,831 |
8,567 |
432 |
76 |
604 |
939 |
| TOTAL 31.12.2019 |
147,450 |
35,544 |
15,462 |
16,789 |
14,807 |
13,557 |
| TOTAL 31.12.2018 |
142,641 |
35,011 |
15,467 |
15,213 |
14,487 |
13,668 |
|
31.12.2019 |
|
EUROPE |
ASIA AND OCEANIA |
| € million |
Netherlands |
Spain |
Ireland |
Others |
Japan |
Singapore |
| Central governments or central banks |
111 |
1,321 |
237 |
4,833 |
33,537 |
1,452 |
| Institutions |
1,357 |
1,280 |
494 |
2,463 |
2,096 |
395 |
| Corporates |
7,929 |
5,361 |
4,487 |
19,385 |
8,595 |
6,272 |
| Retail |
22 |
447 |
|
3,828 |
178 |
1,078 |
| Equity |
|
25 |
|
5 |
6 |
|
| Total IRB approach 31.12.2019 |
9,419 |
8,435 |
5,218 |
30,513 |
44,412 |
9,197 |
| Total IRB approach 31.12.2018 |
7,662 |
6,763 |
5,045 |
29,420 |
38,457 |
9,007 |
| Central governments or central banks |
|
13 |
|
5 |
57 |
5 |
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral development banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Institutions |
13 |
18 |
|
18 |
1,077 |
4 |
| Corporates |
|
292 |
|
157 |
23 |
489 |
| Retail |
|
1 |
|
4 |
|
|
| Secured by mortgages on immovable property |
|
46 |
|
|
|
|
| Exposures in default |
|
44 |
|
|
|
|
| Items associated with particularly high risk |
|
|
|
|
|
|
| Covered bonds |
|
|
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
|
| Collective investments undertakings |
|
|
|
|
|
|
| Equity exposures |
68 |
|
6 |
43 |
1 |
|
| Other exposures |
|
40 |
|
193 |
19 |
14 |
| Total standardised approach 31.12.2019 |
81 |
453 |
6 |
421 |
1,176 |
511 |
| Total standardised approach 31.12.2018 |
50 |
373 |
|
321 |
644 |
423 |
| TOTAL 31.12.2019 |
9,500 |
8,888 |
5,223 |
30,934 |
45,588 |
9,70910,014 |
| TOTAL 31.12.2018 |
7,712 |
7,136 |
5,045 |
29,741 |
39,101 |
9,431 |
|
31.12.2019 |
|
ASIA AND OCEANIA |
NORTH AMERICA |
| € million |
Hong Kong |
China |
India |
Others |
United-States |
Others |
| Central governments or central banks |
1,289 |
720 |
362 |
2,842 |
8,825 |
1,692 |
| Institutions |
984 |
2,763 |
1,288 |
1,978 |
1,844 |
237 |
| Corporates |
5,895 |
1,858 |
3,188 |
14,935 |
49,961 |
3,970 |
| Retail |
753 |
223 |
20 |
707 |
9 |
46 |
| Equity |
16 |
|
|
|
208 |
|
| Total IRB approach 31.12.2019 |
8,937 |
5,564 |
4,858 |
20,461 |
60,846 |
5,945 |
| Total IRB approach 31.12.2018 |
6,295 |
5,038 |
3,669 |
19,321 |
56,180 |
4,986 |
| Central governments or central banks |
2 |
|
28 |
45 |
192 |
2 |
| Regional governments or local authorities |
|
|
|
|
|
45 |
| Public sector entities |
|
|
|
1 |
|
|
| Multilateral development banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Institutions |
318 |
41 |
296 |
333 |
1,091 |
4 |
| Corporates |
622 |
|
1 |
317 |
645 |
598 |
| Retail |
|
|
|
|
3 |
24 |
| Secured by mortgages on immovable property |
|
|
|
|
7 |
|
| Exposures in default |
6 |
|
|
|
|
|
| Items associated with particularly high risk |
|
|
|
|
|
|
| Covered bonds |
|
|
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
|
| Collective investments undertakings |
|
|
|
|
|
|
| Equity exposures |
|
|
|
|
3 |
|
| Other exposures |
130 |
71 |
9 |
14 |
193 |
1 |
| Total standardised approach 31.12.2019 |
1,078 |
113 |
334 |
710 |
2,133 |
674 |
| Total standardised approach 31.12.2018 |
622 |
15 |
204 |
445 |
2,239 |
475 |
| TOTAL 31.12.2019 |
9,70910,014 |
5,677 |
5,192 |
21,171 |
62,980 |
6,618 |
| TOTAL 31.12.2018 |
6,917 |
5,052 |
3,872 |
19,766 |
58,420 |
5,462 |
|
31.12.2019 |
|
CENTRAL AND SOUTH
AMERICA |
AFRICA AND MIDDLE EAST |
TOTAL |
| € million |
Cayman Islands |
Others |
|
|
| Central governments or central banks |
|
785 |
6,065 |
97,552 |
| Institutions |
|
194 |
5,061 |
71,702 |
| Corporates |
5,177 |
8,183 |
8,508 |
266,725 |
| Retail |
|
218 |
944 |
13,249 |
| Equity |
4 |
49 |
436 |
946 |
| Total IRB approach 31.12.2019 |
5,182 |
9,428 |
21,014 |
450,175 |
| Total IRB approach 31.12.2018 |
4,394 |
6,779 |
15,112 |
410,167 |
| Central governments or central banks |
|
78 |
59 |
1,091 |
| Regional governments or local authorities |
|
|
|
45 |
| Public sector entities |
|
|
|
1 |
| Multilateral development banks |
|
|
21 |
21 |
| International organisations |
|
|
|
|
| Institutions |
|
226 |
598 |
18,000 |
| Corporates |
132 |
690 |
124 |
27,786 |
| Retail |
|
422 |
10 |
916 |
| Secured by mortgages on immovable property |
|
|
|
188 |
| Exposures in default |
|
|
4 |
390 |
| Items associated with particularly high risk |
|
|
|
325 |
| Covered bonds |
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
| Collective investments undertakings |
|
|
|
18 |
| Equity exposures |
|
1 |
|
324 |
| Other exposures |
|
24 |
4 |
3,842 |
| Total standardised approach 31.12.2019 |
132 |
1,442 |
818 |
52,947 |
| Total standardised approach 31.12.2018 |
|
1,203 |
682 |
52,144 |
| TOTAL 31.12.2019 |
5,314 10,870 |
21,833 |
503,121 |
| TOTAL 31.12.2018 |
4,394 |
7,982 |
15,794 |
462,311 |
♦ 3.4.2.1.3 Exposure
by business sector
The total amount of exposures of the Crédit Agricole CIB group is broken down per
sector of activity excluding securitisation transactions and adjustments that are
not directly assignable to an activity sector.
At 31 December 2019, this amount was €442 billion (€409 billion at 31 December
2018
for the same scope).
► Breakdown of
exposures by business sector - Overall scope
► Breakdown of
exposures by business sector - Corporates portfolio
The Corporate portfolio also offers a satisfactory level of diversification: in
this
scope, none of the sectors represent more than 14% of total exposures at the end of
2019.
► Concentration
of exposures by type of industry or counterparty (CRB-D)
|
31.12.2019 |
| € million |
Agriculture, forestry and fishing |
Mining and quarrying |
Manufacturing |
Production and distribution |
Construction |
Wholesale trade |
| Central governments or central banks |
|
|
|
|
4 |
|
| Institutions |
|
|
42 |
48 |
11 |
|
| Corporates |
570 |
19,947 |
67,473 |
22,535 |
7,647 |
19,290 |
| Retail |
|
|
14 |
4 |
4 |
18 |
| Equity |
|
9 |
|
|
|
6 |
| Total IRB approach |
570 |
19,956 |
67,529 |
22,587 |
7,666 |
19,314 |
| Central governments or central banks |
|
|
|
|
|
|
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral development banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Institutions |
|
|
|
|
|
|
| Corporates |
140 |
162 |
818 |
17 |
367 |
554 |
| Retail |
|
|
9 |
|
|
|
| Secured by mortgages on immovable property |
|
|
|
|
|
|
| Exposures in default |
|
1 |
10 |
1 |
2 |
7 |
| Items associated with particularly high risk |
|
|
|
|
|
|
| Covered bonds |
|
|
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
|
| Collective investments undertakings |
|
|
|
|
|
|
| Equity exposures |
|
|
|
43 |
|
|
| Other exposures |
|
|
|
|
|
|
| Total standardised approach |
140 |
163 |
837 |
61 |
369 |
561 |
| TOTAL |
710 |
20,119 |
68,366 |
22,648 |
8,035 |
19,875 |
|
31.12.2019 |
| € million |
Retail trade |
Transport and storage |
Accommodation and food service
activities |
Information and communication |
Education and Instruction-Training |
Real estate activities |
| Central governments or central banks |
|
118 |
|
|
|
11 |
| Institutions |
235 |
24 |
1 |
2 |
1 |
404 |
| Corporates |
5,631 |
31,377 |
3,036 |
19,057 |
174 |
15,511 |
| Retail |
4 |
|
|
4 |
|
1,259 |
| Equity |
|
13 |
|
16 |
|
36 |
| Total IRB approach |
5,871 |
31,532 |
3,037 |
19,080 |
175 |
17,221 |
| Central governments or central banks |
|
|
|
|
|
|
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral development banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Institutions |
|
|
|
|
|
|
| Corporates |
8 |
248 |
169 |
61 |
|
7,223 |
| Retail |
|
|
|
|
|
|
| Secured by mortgages on immovable property |
|
|
|
|
|
181 |
| Exposures in default |
|
|
|
|
|
3 |
| Items associated with particularly high risk |
|
|
|
|
|
325 |
| Covered bonds |
|
|
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
|
| Collective investments undertakings |
|
|
|
|
|
|
| Equity exposures |
|
21 |
|
|
|
77 |
| Other exposures |
|
|
|
|
|
|
| Total standardised approach |
8 |
268 |
169 |
61 |
|
7,810 |
| TOTAL |
5,879 |
31,800 |
3,207 |
19,141 |
175 |
25,030 |
|
31.12.2019 |
| € million |
Finance and Insurance |
Company Management financial participations |
Professional, scientific and technical
activities |
Administrative and support service
activities |
Public administration and defence,
compulsory social security |
Human health services and social
work activities |
| Central governments or central banks |
74,336 |
|
|
|
22,357 |
713 |
| Institutions |
67,672 |
6 |
|
66 |
2,400 |
46 |
| Corporates |
38,518 |
7,076 |
2,142 |
1,447 |
148 |
3,630 |
| Retail |
1,418 |
167 |
25 |
|
|
3 |
| Equity |
562 |
42 |
3 |
|
1 |
2 |
| Total IRB approach |
182,506 |
7,292 |
2,169 |
1,513 |
24,907 |
4,394 |
| Central governments or central banks |
430 |
|
|
|
142 |
|
| Regional governments or local authorities |
|
|
|
|
45 |
|
| Public sector entities |
1 |
|
|
|
|
|
| Multilateral development banks |
21 |
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Institutions |
17,490 |
|
|
|
|
|
| Corporates |
17,390 |
64 |
17 |
1 |
0 |
14 |
| Retail |
27 |
|
|
|
|
|
| Secured by mortgages on immovable property |
|
|
|
|
|
|
| Exposures in default |
3 |
2 |
|
|
|
|
| Items associated with particularly high risk |
|
|
|
|
|
|
| Covered bonds |
|
|
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
|
| Collective investments undertakings |
|
|
|
|
|
|
| Equity exposures |
16 |
|
|
|
|
|
| Other exposures |
|
|
|
|
|
|
| Total standardised approach |
35,380 |
66 |
17 |
1 |
186 |
14 |
| TOTAL |
217,886 |
7,358 |
2,186 |
1,514 |
25,093 |
4,408 |
|
31.12.2019 |
| € million |
Other personal services outside
public administration |
Private persons |
Arts, entertainment and recreation |
Other services |
Total |
| Central governments or central banks |
13 |
|
|
|
97,522 |
| Institutions |
3 |
|
10 |
731 |
71,702 |
| Corporates |
33 |
59 |
736 |
686 |
266,725 |
| Retail |
39 |
10,289 |
|
|
13,249 |
| Equity |
|
21 |
|
235 |
946 |
| Total IRB approach |
88 |
10,369 |
746 |
1,652 |
450,174 |
| Central governments or central banks |
|
|
|
519 |
1,091 |
| Regional governments or local authorities |
|
|
|
|
45 |
| Public sector entities |
|
|
|
|
1 |
| Multilateral development banks |
|
|
|
|
21 |
| International organisations |
|
|
|
|
|
| Institutions |
|
|
|
509 |
18,000 |
| Corporates |
|
47 |
171 |
313 |
27,786 |
| Retail |
|
880 |
|
|
916 |
| Secured by mortgages on immovable property |
|
|
7 |
|
188 |
| Exposures in default |
|
31 |
|
330 |
390 |
| Items associated with particularly high risk |
|
|
|
|
325 |
| Covered bonds |
|
|
|
|
|
| Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
| Collective investments undertakings |
|
|
|
18 |
18 |
| Equity exposures |
|
|
|
168 |
324 |
| Other exposures |
|
|
|
3,841 |
3,842 |
| Total standardised approach |
|
958 |
178 |
5,699 |
52,947 |
| TOTAL |
88 |
11,328 |
924 |
7,351 |
503,121 |
► Breakdown of
exposures by residual maturity (CRB-E)
|
31.12.2019 |
|
Net value of exposures |
| € million |
On demand |
<= 1 year |
>1 year <= 5 years |
>5 years |
No stated maturity |
Total |
| 1 Central governments or central banks |
60,017 |
16,485 |
13,936 |
6,623 |
491 |
97,552 |
| 2 Institutions |
3,371 |
44,004 |
12,217 |
11,767 |
343 |
71,702 |
| 3 Corporates |
3,140 |
100,897 |
127,369 |
33,065 |
2,254 |
266,725 |
| 4 Retail |
|
|
|
13,152 |
97 |
13,249 |
| 5 Equity |
|
|
|
|
946 |
946 |
| 6 Total IRB approach |
66,529 |
161,386 |
153,522 |
64,607 |
4,131 |
450,175 |
| 7 Central governments or central banks |
337 |
227 |
7 |
1 |
519 |
1,091 |
| 8 Regional governments or local authorities |
|
|
45 |
|
|
45 |
| 9 Public sector entities |
|
1 |
|
|
|
1 |
| 10 Multilateral development banks |
|
21 |
|
|
|
21 |
| 11 International organisations |
|
|
|
|
|
|
| 12 Institutions |
244 |
8,295 |
5,389 |
3,674 |
398 |
18,000 |
| 13 Corporates |
138 |
20,559 |
6,230 |
748 |
111 |
27,786 |
| 14 Retail |
377 |
472 |
66 |
|
|
916 |
| 15 Secured by mortgages on immovable property |
|
16 |
7 |
166 |
|
188 |
| 16 Exposures in default |
10 |
51 |
2 |
19 |
308 |
390 |
| 17 Items associated with particularly high risk |
|
99 |
221 |
6 |
|
325 |
| 18 Covered bonds |
|
|
|
|
|
|
| 19 Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
|
|
| 20 Collective investments undertakings |
|
|
|
|
18 |
18 |
| 21 Equity exposures |
|
|
|
|
324 |
324 |
| 22 Other exposures |
|
|
|
|
3,842 |
3,842 |
| 23 Total standardised approach |
1,106 |
29,741 |
11,967 |
4,614 |
5,519 |
52,947 |
| 24 TOTAL |
67,634 |
191,127 |
165,489 |
69,220 |
9,651 |
503,121 |
♦ 3.4.2.1.4 Default
exposures and value adjustments
► Credit quality
of exposures by type of exposure and instrument (CR1-A)
|
|
31.12.2019 |
|
|
Gross carrying values
of |
Provisions / Impairment |
Net values |
| € million |
|
Defaulted exposures |
Non-defaulted exposures |
|
|
| 1 |
Central governments or central banks |
117 |
97,464 |
29 |
97,552 |
| 2 |
Institutions |
420 |
71,678 |
397 |
71,702 |
| 3 |
Corporates |
4,070 |
265,183 |
2,527 |
266,725 |
| 4 |
Of which: Specialised lending |
1,219 |
63,899 |
571 |
64,547 |
| 5 |
Of which: SMEs |
2 |
793 |
6 |
788 |
| 6 |
Retail |
116 |
13,152 |
18 |
13,249 |
| 7 |
Secured by real estate property |
|
|
|
|
| 8 |
SMEs |
|
|
|
|
| 9 |
Non-SMEs |
|
|
|
|
| 10 |
Qualifying revolving |
|
|
|
|
| 11 |
Other retail |
116 |
13,152 |
18 |
13,249 |
| 12 |
SMEs |
14 |
109 |
|
122 |
| 13 |
Non-SMEs |
102 |
13,043 |
18 |
13,127 |
| 14 |
Equity |
|
946 |
|
946 |
| 15 |
Total IRB approach 31.12.2019 |
4,723 |
448,423 |
2,972 |
450,175 |
|
Total IRB approach 31.12.2018 |
3,711 |
409,460 |
3,004 |
410,167 |
| 16 |
Central governments or central banks |
|
1,091 |
|
1,091 |
| 17 |
Regional governments or local authorities |
|
45 |
|
45 |
| 18 |
Public sector entities |
|
1 |
|
1 |
| 19 |
Multilateral development banks |
|
21 |
|
21 |
| 20 |
International organisations |
|
|
|
|
| 21 |
Institutions |
|
18,000 |
|
18,000 |
| 22 |
Corporates |
|
27,787 |
1 |
27,786 |
| 23 |
Of which: SMEs |
|
169 |
|
169 |
| 24 |
Retail |
|
916 |
|
916 |
| 25 |
Of which: SMEs |
|
|
|
|
| 26 |
Secured by mortgages on immovable property |
|
188 |
|
188 |
| 27 |
Of which: SMEs |
|
3 |
|
3 |
| 28 |
Exposures in default |
484 |
|
94 |
390 |
| 29 |
Items associated with particularly high risk |
|
325 |
|
325 |
| 30 |
Covered bonds |
|
|
|
|
| 31 |
Claims on institutions and corporates with a short-term
credit assessment |
|
|
|
|
| 32 |
Collective investments undertakings |
|
18 |
|
18 |
| 33 |
Equity exposures |
|
324 |
|
324 |
| 34 |
Other exposures |
|
3,842 |
|
3,842 |
| 35 |
Total standardised approach 31.12.2019 |
484 |
52,558 |
95 |
52,947 |
|
Total standardised approach 31.12.2018 |
573 |
51,676 |
104 |
52,144 |
| 36 |
TOTAL 31.12.2019 |
5,207 |
500,981 |
3,067 |
503,121 |
|
TOTAL 31.12.2018 |
4,284 |
461,135 |
3,108 |
462,311 |
Exposures in default amounted to €5.2 billion as at 31 December 2019, up 22% compared
to 31 December 2018. They represent 1% of the total gross exposures compared to 0.9%
at the end of 2018. The total amount of provisions/impairments fell by €0.04 billion
compared to 31 December 2018.
► Quality of credit
exposures by sector or type of counterparty (CR1-B)
|
|
31.12.2019 |
|
|
Gross carrying values
of |
Provisions / Impairment |
Net values |
| € million |
|
Defaulted exposures |
Non-defaulted exposures |
|
|
| 1 |
Agriculture, forestry and fishing |
69 |
699 |
58 |
710 |
| 2 |
Mining and quarrying |
335 |
19,838 |
54 |
20,119 |
| 3 |
Manufacturing |
325 |
68,201 |
161 |
68,366 |
| 4 |
Production and distribution |
79 |
22,621 |
52 |
22,648 |
| 5 |
Construction and water supply |
314 |
7,885 |
165 |
8,035 |
| 6 |
Wholesale trade |
107 |
19,852 |
84 |
19,875 |
| 7 |
Retail trade |
333 |
5,628 |
82 |
5,879 |
| 8 |
Transport and storage |
1,607 |
30,516 |
323 |
31,800 |
| 9 |
Accommodation and food service activities |
176 |
3,129 |
99 |
3,206 |
| 10 |
Information and communication |
28 |
19,113 |
|
19,141 |
| 11 |
Education |
|
175 |
|
175 |
| 12 |
Real estate activities |
198 |
24,897 |
64 |
25,030 |
| 13 |
Finance and insurance companies |
1,090 |
217,394 |
598 |
217,886 |
| 14 |
Financial holding companies |
205 |
7,330 |
176 |
7,358 |
| 15 |
Professional, scientific and technical activities |
|
2,186 |
|
2,186 |
| 16 |
Administrative and support service activities |
8 |
1,514 |
8 |
1,514 |
| 17 |
Public administration and defence, compulsory social
security |
117 |
24,990 |
14 |
25,093 |
| 18 |
Human health services and social work activities |
60 |
4,348 |
|
4,408 |
| 19 |
Other personal services |
|
88 |
|
88 |
| 20 |
Private persons |
131 |
11,196 |
|
11,328 |
| 21 |
Arts, entertainment and recreation |
23 |
915 |
14 |
924 |
| 22 |
Other services |
|
8,465 |
1,115 |
7,351 |
| 23 |
TOTAL 31.12.2019 |
5,207 |
500,981 |
3,067 |
503,121 |
► Quality of credit
exposures by geographic area (CR1-C)
|
|
31.12.2019 |
|
|
Gross carrying values
of |
Provisions and depreciation |
Net values |
| € million |
|
Defaulted exposures |
Non-defaulted exposures |
|
|
| 1 |
EUROPE |
2,385 |
297,436 |
1,436 |
298,385 |
| 2 |
France |
906 |
147,196 |
651 |
147,450 |
| 3 |
United-Kingdom |
135 |
35,557 |
148 |
35,544 |
| 4 |
Luxembourg |
54 |
16,768 |
34 |
16,789 |
| 5 |
Germany |
74 |
15,472 |
84 |
15,462 |
| 6 |
Switzerland |
14 |
14,885 |
91 |
14,807 |
| 7 |
Italy |
360 |
13,378 |
181 |
13,557 |
| 8 |
Netherlands |
177 |
9,323 |
|
9,500 |
| 9 |
Spain |
226 |
8,745 |
83 |
8,888 |
| 10 |
Others (EUROPE) |
439 |
36,112 |
164 |
36,388 |
| 11 |
ASIA & OCEANIA |
341 |
97,123 |
112 |
97,352 |
| 12 |
Japan |
|
45,600 |
12 |
45,588 |
| 13 |
Singapore |
24 |
9,693 |
8 |
9,709 |
| 14 |
Honk-kong |
16 |
10,019 |
20 |
10,014 |
| 15 |
China |
29 |
5,676 |
28 |
5,677 |
| 16 |
India |
|
5,194 |
2 |
5,192 |
| 17 |
Others (ASIA & OCEANIA) |
272 |
20,941 |
42 |
21,172 |
| 18 |
NORTH AMERICA |
854 |
69,267 |
522 |
69,598 |
| 19 |
UNITED-STATES |
802 |
62,668 |
490 |
62,980 |
| 20 |
Others (North America) |
52 |
6,599 |
32 |
6,618 |
| 21 |
CENTRAL & SOUTH AMERICA |
567 |
15,979 |
362 |
16,185 |
| 22 |
Cayman Islands |
|
5,314 |
|
5,314 |
| 23 |
Others (Central & South America) |
567 |
10,665 |
362 |
10,871 |
| 24 |
AFRICA AND MIDDLE EAST |
1,060 |
21,407 |
634 |
21,833 |
| 25 |
TOTAL 31.12.2019 |
5,207 |
500,981 |
3,067 |
503,121 |
| 26 |
TOTAL 31.12.2018 |
4,284 |
461,135 |
3,108 |
462,311 |
► Age of exposures
on watchlist (CR1-D)
|
31.12.2019 |
|
Gross carrying values |
| € million |
≤ 30 days |
>30 days ≤ 60 days |
>60 days ≤ 90 days |
>90 days ≤ 180 days |
>180 days ≤ 1 year |
>1 year |
| 1 Loans |
719 |
299 |
7 |
303 |
71 |
362 |
| 2 Debt Securities |
914 |
348 |
|
|
|
| 3 Total exposures |
1,633 |
647 |
7 |
303 |
71 |
362 |
|
31.12.2018 |
|
Gross carrying values |
| € million |
≤ 30 days |
>30 days ≤ 60 days |
>60 days ≤ 90 days |
>90 days ≤ 180 days |
>180 days ≤ 1 year |
>1 year |
| 1 Loans |
1,466 |
521 |
54 |
540 |
42 |
689 |
| 2 Debt Securities |
|
|
|
|
|
|
| 3 Total exposures |
1,466 |
521 |
54 |
540 |
42 |
689 |
The share of exposures in default for 30 days or more represents 75% at 31 December
2019 and 60% at 31 December 2018 of the total exposures in default.
► Non-performing
and restructured exposures (CR1-E)
|
31.12.2019 |
|
Gross carrying amount
of performing and non-performing exposures |
|
|
Of which performing but past due
>30 days and <= 60 days |
of which performing forborne |
Of which non-performing |
| € million |
|
|
|
|
Of which: defaulted |
of which: impaired |
| Debt securities |
36,640 |
358 |
12 |
86 |
80 |
80 |
| Loans and advances |
221,901 |
283 |
1,360 |
3,950 |
3,934 |
3,934 |
| Off-balance sheet exposures |
252,037 |
|
84 |
966 |
966 |
|
|
31.12.2019 |
|
Gross carrying amount of performing
and non-performing exposures |
Accumulated impairment
and provisions and negative fair value adjustments due to credit
risk
|
Collaterals and financial guarantees
received |
|
Of which non-performing |
On performing exposures |
On non-performing
exposures |
On nonperforming exposures |
| € million |
of which: forborne |
|
of which: forborne |
|
of which: forborne |
|
| Debt securities |
|
(20) |
|
(18) |
|
|
| Loans and advances |
2,183 |
(450) |
(64) |
(2,191) |
(888) |
933 |
| Off-balance sheet exposures |
13 |
(227) |
(9) |
(216) |
(7) |
122 |
|
31.12.2019 |
|
Collaterals and financial guarantees
received |
|
of which: forborne exposures |
| € million |
|
| Debt securities |
|
| Loans and advances |
1,530 |
| Off-balance sheet exposures |
24 |
|
31.12.2018 |
|
Gross carrying amount
of performing and non-performing exposures |
|
|
Of which performing but past due
>30 days and <= 60 days |
of which performing forborne |
Of which non-performing |
| € million |
|
|
|
|
Of which: defaulted |
of which: impaired |
| Debt securities |
28,973 |
|
11 |
84 |
79 |
79 |
| Loans and advances |
203,693 |
557 |
1,611 |
3,870 |
3,669 |
3,669 |
| Off-balance sheet exposures |
257,318 |
|
92 |
365 |
339 |
|
|
31.12.2018 |
|
Gross carrying amount of performing
and non-performing exposures |
Accumulated impairment
and provisions and negative fair value adjustments due to credit
risk
|
Collaterals and financial guarantees
received |
|
Of which non-performing |
On performing exposures |
On non-performing
exposures |
On nonperforming exposures |
| € million |
of which: forborne |
|
of which: forborne |
|
of which: forborne |
|
| Debt securities |
|
(6) |
|
(17) |
|
|
| Loans and advances |
2,056 |
(596) |
(121) |
(2,166) |
(887) |
867 |
| Off-balance sheet exposures |
26 |
(277) |
(4) |
(96) |
(6) |
2 |
|
31.12.2018 |
|
Collaterals and financial guarantees
received |
|
of which: forborne exposures |
| € million |
|
| Debt securities |
|
| Loans and advances |
1,652 |
| Off-balance sheet exposures |
33 |
Information relating to non-performing and renegotiated exposures includes the
gross
carrying amount, related impairments, provisions and valuation adjustments associated
thereto, as well as the value of collateral and financial guarantees received.
► Credit quality
of restructured exposures (Template 1)
|
31.12.2019 |
|
Gross carrying amount/nominal
amount of exposures with forbearance measures |
Accumulated imparment,
accumulated negative changes in fair value due to credit risk
and provisions
|
|
Performing forbone |
Non-performing forbone |
|
| € million |
|
|
Of which defaulted |
of which impaired |
On performing forbone exposures |
On nonperforming forbone exposures |
| 1 Loans and advances |
1,360 |
2,183 |
2,133 |
2,133 |
(64) |
(888) |
| 2 Centralbanks |
|
|
|
|
|
|
| 3 Generalgovernments |
19 |
4 |
3 |
3 |
(1) |
(3) |
| 4 Creditinstitutions |
|
51 |
51 |
51 |
|
(26) |
| 5 Otherfinancialcorporations |
|
18 |
18 |
18 |
|
(16) |
| 6 Non-financialcorporations |
1,341 |
2,094 |
2,058 |
2,058 |
(63) |
(843) |
| 7 Households |
|
16 |
2 |
2 |
|
|
| 8 Debt Securities |
12 |
|
|
|
|
|
| 9 Loan commitments given |
84 |
13 |
13 |
13 |
(9) |
(7) |
| 10 TOTAL |
1,455 |
2,196 |
2,146 |
2,146 |
(73) |
(895) |
|
31.12.2019 |
|
Collateral received
and financial guarantees received on forbone exposures |
|
|
Of which collateral and financial
guarantees received on nonperforming exposures
with forbearance measures
|
| € million |
|
|
| 1 Loans and advances |
1,530 |
|
| 2 Centralbanks |
|
|
| 3 Generalgovernments |
|
|
| 4 Creditinstitutions |
|
|
| 5 Otherfinancialcorporations |
|
|
| 6 Non-financialcorporations |
1,515 |
|
| 7 Households |
15 |
|
| 8 Debt Securities |
|
|
| 9 Loan commitments given |
24 |
|
| 10 TOTAL |
1,554 |
|
|
31.12.2018 |
|
Gross carrying amount/nominal
amount of exposures with forbearance measures |
Accumulated imparment,
accumulated negative changes in fair value due to credit risk
and provisions
|
|
|
Non-performing forbone |
|
| € million |
Performing forbone |
|
Of which defaulted |
of which impaired |
On performing forbone exposures |
On nonperforming forbone exposures |
| 1 Loans and advances |
1,611 |
2,056 |
2,011 |
1,999 |
(121) |
(887) |
| 2 Centralbanks |
|
|
|
|
|
|
| 3 Generalgovernments |
14 |
6 |
6 |
6 |
(1) |
(4) |
| 4 Creditinstitutions |
|
51 |
51 |
51 |
|
(25) |
| 5 Otherfinancialcorporations |
|
132 |
132 |
132 |
|
(76) |
| 6 Non-financialcorporations |
1,590 |
1,854 |
1,809 |
1,809 |
(120) |
(782) |
| 7 Households |
7 |
14 |
14 |
3 |
|
|
| 8 Debt Securities |
11 |
|
|
|
|
|
| 9 Loan commitments given |
92 |
26 |
26 |
26 |
(4) |
(6) |
| 10 TOTAL |
1,714 |
2,083 |
2,037 |
2,025 |
(125) |
(893) |
|
31.12.2018 |
|
Collateral received
and financial guarantees received on forbone exposures |
|
|
Of which collateral and financial
guarantees received on nonperforming exposures
with forbearance measures
|
| € million |
|
|
| 1 Loans and advances |
1,652 |
|
| 2 Centralbanks |
|
|
| 3 Generalgovernments |
|
|
| 4 Creditinstitutions |
|
|
| 5 Otherfinancialcorporations |
|
|
| 6 Non-financialcorporations |
1,638 |
|
| 7 Households |
14 |
|
| 8 Debt Securities |
|
|
| 9 Loan commitments given |
33 |
|
| 10 TOTAL |
1,685 |
|
► Restructurations
Quality (Template 3)
|
31.12.2019 |
|
Gross carrying amount/nominal
amount |
|
Performing exposures |
Non-performing exposures |
| € million |
Total |
Not past due or past due ≤ 30 days |
Past due >30 days ≤ 90 days |
Total |
Unlikely to pay that are not past-due
or past-due ≤ 90 days |
Past due >90 days ≤ 180 days |
| Loans and advances |
217,951 |
217,668 |
283 |
3,950 |
1,786 |
365 |
| Central banks |
58,671 |
58,671 |
|
|
|
|
| General governments |
8,637 |
8,637 |
|
105 |
36 |
|
| Credit institutions |
15,948 |
15,948 |
|
504 |
322 |
80 |
| Other financial corporations |
5,354 |
5,354 |
|
383 |
22 |
|
| Non-financial corporations |
117,362 |
117,079 |
283 |
2,834 |
1,365 |
283 |
| Of which SMEs |
|
|
|
|
|
|
| Households |
11,979 |
11,979 |
|
124 |
41 |
1 |
| Debt Securities |
36,554 |
36,196 |
358 |
86 |
83 |
|
| Central banks |
2,032 |
2,032 |
|
|
|
|
| General governments |
17,031 |
17,031 |
|
2 |
2 |
|
| Credit institutions |
7,354 |
7,354 |
|
1 |
|
|
| Other financial corporations |
7,324 |
6,967 |
358 |
57 |
57 |
|
| Non-financial corporations |
2,812 |
2,812 |
|
26 |
23 |
|
| Off-balance sheet exposures |
251,071 |
|
|
966 |
|
|
| Central banks |
7,499 |
|
|
|
|
|
| General governments |
13,017 |
|
|
17 |
|
|
| Credit institutions |
33,168 |
|
|
19 |
|
|
| Other financial corporations |
44,561 |
|
|
|
|
|
| Non-financial corporations |
150,247 |
|
|
927 |
|
|
| Households |
2,579 |
|
|
3 |
|
|
| TOTAL |
505,576 |
253,864 |
641 |
5,002 |
1,869 |
365 |
|
31.12.2019 |
|
Gross carrying amount/nominal
amount |
|
Non-performing exposures |
| € million |
Past due >180 days ≤ 1 year |
Past due >1 year ≤ 5 years |
Past due >5 years |
Of which defaulted |
| Loans and advances |
180 |
661 |
958 |
3,934 |
| Central banks |
|
|
|
|
| General governments |
|
47 |
23 |
105 |
| Credit institutions |
|
|
102 |
504 |
| Other financial corporations |
|
|
360 |
383 |
| Non-financial corporations |
161 |
575 |
449 |
2,834 |
| Of which SMEs |
|
|
|
|
| Households |
18 |
39 |
25 |
108 |
| Debt Securities |
|
|
3 |
80 |
| Central banks |
|
|
|
|
| General governments |
|
|
|
|
| Credit institutions |
|
|
1 |
1 |
| Other financial corporations |
|
|
|
53 |
| Non-financial corporations |
|
|
3 |
26 |
| Off-balance sheet exposures |
|
|
|
|
| Central banks |
|
|
|
|
| General governments |
|
|
|
|
| Credit institutions |
|
|
|
|
| Other financial corporations |
|
|
|
|
| Non-financial corporations |
|
|
|
|
| Households |
|
|
|
|
| TOTAL |
180 |
661 |
962 |
4,014 |
Credit category
of restructured exposures (Template 4)
|
Gross carrying amounf/nominal
amount |
|
Performing exposures |
Non-performing exposures |
| € million |
|
Of which bucket 1 |
Of which bucket 2 |
|
Of which bucket 2 |
Of which bucket 3 |
| Loans and advances |
217,951 |
207,566 |
10,075 |
3,950 |
|
3,934 |
| Central banks |
58,671 |
58,671 |
|
|
|
|
| General governments |
8,637 |
8,510 |
127 |
105 |
|
105 |
| Credit institutions |
15,948 |
15,937 |
11 |
504 |
|
504 |
| Other financial corporations |
5,354 |
5,342 |
13 |
383 |
|
383 |
| Non-financial corporations |
117,362 |
107,169 |
9,883 |
2,834 |
|
2,834 |
| Of which: SMEs |
|
|
|
|
|
|
| Households |
11,979 |
11,937 |
42 |
124 |
|
108 |
| Debt Securities |
36,554 |
36,153 |
358 |
86 |
|
80 |
| Central banks |
2,032 |
2,032 |
|
|
|
|
| General governments |
17,031 |
17,031 |
|
2 |
|
|
| Credit institutions |
7,354 |
7,351 |
|
1 |
|
1 |
| Other financial corporations |
7,324 |
6,943 |
|
57 |
|
53 |
| Non-financial corporations |
2,812 |
2,797 |
|
26 |
|
26 |
| Off-balance sheet exposures |
251,071 |
244,534 |
6,503 |
966 |
|
966 |
| Central banks |
7,499 |
7,499 |
|
|
|
|
| General governments |
13,017 |
12,774 |
243 |
17 |
|
17 |
| Credit institutions |
33,168 |
33,110 |
24 |
19 |
|
19 |
| Other financial corporations |
44,561 |
44,560 |
|
|
|
|
| Non-financial corporations |
150,247 |
144,014 |
6,233 |
927 |
|
927 |
| Households |
2,579 |
2,577 |
3 |
3 |
|
3 |
| TOTAL |
505,576 |
488,253 |
16,936 |
5,002 |
|
4,980 |
|
Accumulated impairment,
accumulated negative changes in fair value due to credit risk
and provisions
|
|
Performing exposures
-accumulated impairment and provisions |
Non-performing exposures
- accumulated impairment, accumulated negative changes in
fair value due to credit risk and provisions
|
| € million |
|
Of which bucket 1 |
Of which bucket 2 |
|
Of which bucket 2 |
Of which bucket 3 |
| Loans and advances |
(450) |
(180) |
(270) |
(2,191) |
|
(2,191) |
| Central banks |
(7) |
(7) |
|
|
|
|
| General governments |
(7) |
(6) |
(1) |
(28) |
|
(28) |
| Credit institutions |
(7) |
(7) |
|
(391) |
|
(391) |
| Other financial corporations |
(12) |
(11) |
|
(335) |
|
(335) |
| Non-financial corporations |
(414) |
(146) |
(268) |
(1,424) |
|
(1,424) |
| Of which: SMEs |
|
|
|
|
|
|
| Households |
(3) |
(2) |
(1) |
(14) |
|
(14) |
| Debt Securities |
(20) |
(11) |
(10) |
(18) |
|
(18) |
| Central banks |
|
|
|
|
|
|
| General governments |
(6) |
(6) |
|
|
|
|
| Credit institutions |
(3) |
(3) |
|
(1) |
|
(1) |
| Other financial corporations |
(11) |
(2) |
(10) |
|
|
|
| Non-financial corporations |
|
|
|
(17) |
|
(17) |
| Off-balance sheet exposures |
(227) |
(101) |
(126) |
(216) |
|
(216) |
| Central banks |
|
|
|
|
|
|
| General governments |
(1) |
(1) |
(1) |
|
|
|
| Credit institutions |
(2) |
(2) |
|
(1) |
|
(1) |
| Other financial corporations |
(3) |
(3) |
|
|
|
|
| Non-financial corporations |
(219) |
(95) |
(124) |
(214) |
|
(214) |
| Households |
(1) |
(1) |
(1) |
|
|
|
| TOTAL |
(697) |
(292) |
(405) |
(2,425) |
|
(2,425) |
|
Accumulated partial write-off |
Collateral and financial
guarantees received |
| € million |
|
On performing exposures |
On non-performing exposures |
| Loans and advances |
|
|
933 |
| Central banks |
|
|
|
| General governments |
|
|
77 |
| Credit institutions |
|
|
|
| Other financial corporations |
|
|
|
| Non-financial corporations |
|
|
856 |
| Of which: SMEs |
|
|
|
| Households |
|
|
|
| Debt Securities |
|
|
|
| Central banks |
|
|
|
| General governments |
|
|
|
| Credit institutions |
|
|
|
| Other financial corporations |
|
|
|
| Non-financial corporations |
|
|
|
| Off-balance sheet exposures |
|
|
122 |
| Central banks |
|
|
|
| General governments |
|
|
9 |
| Credit institutions |
|
|
|
| Other financial corporations |
|
|
|
| Non-financial corporations |
|
|
113 |
| Households |
|
|
|
| TOTAL |
|
|
1,054 |
► Change in balance
of specific credit risk adjustments (CR2-A)
|
|
31.12.2019 |
31.12.2018 |
| € million |
|
Accumulated specific
credit risk adjustment |
| 1 |
Opening balance |
2,780 |
2,985 |
| 2 |
Increases due to origination and acquisition |
296 |
271 |
| 3 |
Decreases due to derecognition |
(515) |
(426) |
| 4 |
Changes due to change in credit risk (net) |
345 |
282 |
| 5 |
Changes due to modifications without derecognition (net) |
|
13 |
| 6 |
Changes due to update in the institution's methodology
for estimation (net) |
|
|
| 7 |
Decrease in allowance account due to write-offs |
(255) |
(417) |
| 8 |
Other adjustments |
6 |
70 |
| 9 |
Closing balance 1 |
2,656 |
2,780 |
| 10 |
Recoveries of previously written-off amounts recorded
directly to the statement of
profit or loss
|
(108) |
(103) |
| 11 |
Amounts written-off directly to the statement of profit
or loss |
46 |
52 |
1
Differences in total provisions between CR2-A, CR1-A and CR1-C tables are mainly
due to divergences in scope. Impairment of fixed assets and equity investments and
provisions for guarantee commitments given are only included in the CR1-A and CR1-C.
► Changes in stock
of default and impaired loans and debt securities (RC2-B)
|
|
31.12.2019 |
31.12.2018 |
| € million |
|
Gross carrying value
defaulted exposures |
| 1 |
Opening balance |
3,748 |
3,977 |
| 2 |
Loans and debt securities that have defaulted or impaired
since the last reporting
period
|
933 |
248 |
| 3 |
Returned to nondefaulted status |
(48) |
(22) |
| 4 |
Amounts written off |
(431) |
(214) |
| 5 |
Other changes |
(187) |
(241) |
| 6 |
Closing balance |
4,014 |
3,748 |
3.4.2.2 CREDIT
RISKS
Since the end of 2007, the ACPR has authorised Crédit Agricole CIB Group to use
internal
rating systems to calculate regulatory capital requirements as regards credit risk
for most of its scope. In addition, the ACPR has since 1 January 2008 authorised Crédit
Agricole CIB Group's main entities to use the Advanced Measurement Approach (AMA)
to calculate their regulatory capital requirements for operational risk. The Group's
other entities use the standardised approach, in accordance with regulations.
The main Crédit Agricole CIB Group subsidiaries or portfolios still using the standardised
method for measuring credit risk at 31 December 2019 were as follows:
| ― |
Union des Banques Arabes et Françaises (UBAF);
|
| ― |
Crédit Agricole CIB Miami;
|
| ― |
Crédit Agricole CIB Brazil;
|
| ― |
Crédit Agricole CIB Canada;
|
| ― |
CA Indosuez Wealth Italy S.P.A;
|
| ― |
the real estate professionals portfolio.
|
CA Indosuez Wealth Management is subject to standard calculation methodology in
respect
of its operational risk only.
In accordance with the commitment made by the Group to gradually move toward the
advanced
method defined with the ACPR in May 2007 (roll-out plan), work is ongoing in the main
entities and portfolios still under the standard method. An update of the roll-out
plan is sent annually to the competent authority.
The use of internal models to calculate the solvency ratios has enabled Crédit
Agricole
CIB Group to strengthen its risk management. Specifically, the development of "internal
ratings based" approaches has led to the systematic and reliable collection of default
and loss histories for most Group entities. The establishment of this data history
makes it possible to quantify credit risk today by assigning an average Probability
of Default (PD) to each rating level, and for the "advanced internal rating" approaches
to assign a loss given default (LGD).
In addition, the parameters of the "Internal Ratings-Based" models are used in
the
definition, implementation and monitoring of the entities' risk and credit policies.
The internal risk assessment models thus promote the development of sound risk
management
practices by the Group's entities and improve the efficiency of the capital allocation
process by enabling a more fine-tuned measurement of capital consumption by each business
line and entity.
♦ Exposure to
credit risk using the standard approach
CREDIT ASSESSMENT
USING THE STANDARD APPROACH
From now on, the Group uses external credit rating agency assessments to calculate
its weighted exposures in standardised approach. The remaining exposures are subject
to fixed weightings (simile Basel I).
Exposure categories treated by standard method are classified according to the
counterparty
type and financial product type in one of the 17 categories set out in Article 112
of Regulation (EU) 575/2013 of 26 June 2013. The weightings applied to these same
outstandings are calculated in accordance with Articles 114 to 134 of said regulation.
For exposure categories "Central governments and central banks" and "Institutions",
the Crédit Agricole S.A. Group decided, in standardised approach, to use the Moody's
assessments to evaluate the risk.
Hence, when the rating agency's assessment of the counterparty credit is known,
it
is used to determine the applicable weighting. With regard to counterparties of the
"Institutions" or "Corporate" exposure categories whose credit assessment is not known,
the weighting applied is determined taking into account the credit assessment of the
central authority in whose jurisdiction this counterparty is constituted, pursuant
to the provisions of Articles 121 and 122 of the aforementioned regulation.
With regard to exposures on banking portfolio debt instruments, the rule used consists
in applying the issuer's weighting rate. This rate is determined in accordance with
the risks described in the preceding paragraph.
► Standardised
approach - Exposure to credit risk and effects of credit risk mitigation
(CRM) at 31 December 2019 (CR4)
|
31.12.2019 |
|
Exposure classes |
|
Exposures before
CCF and CRM |
Exposures post-CCF
and CRM |
RWA and RWA density |
| € million |
On-balance sheet amount |
Off-balance sheet amount |
On-balance sheet amount |
Off-balance sheet amount |
RWA |
RWA density |
| 1 Central governments or central banks |
1,044 |
47 |
1,044 |
23 |
972 |
91.10% |
| 2 Regional governments or local authorities |
|
45 |
|
22 |
|
|
| 3 Public sector entities |
|
1 |
|
|
|
|
| 4 Multilateral developments banks |
21 |
|
21 |
|
21 |
100.00% |
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
5,000 |
681 |
22,060 |
583 |
635 |
2.80% |
| 7 Corporate |
20,545 |
6,769 |
3,782 |
2,447 |
5,718 |
91.80% |
| 8 Retail |
799 |
117 |
798 |
50 |
636 |
75.00% |
| 9 Secured by mortgages on immovable property |
188 |
|
188 |
|
94 |
50.00% |
| 10 Equity |
324 |
|
324 |
|
326 |
100.62% |
| 11 Exposure in default |
385 |
4 |
84 |
1 |
123 |
144.71% |
| 12 Higher-risk categories |
195 |
130 |
195 |
64 |
389 |
150.19% |
| 13 Covered bonds |
|
|
|
|
|
|
| 14 Institutions and corporates with a short-term credit
assessment |
|
|
|
|
|
|
| 15 Collective investment undertakings |
18 |
|
18 |
|
2 |
11.11% |
| 16 Other items |
3,842 |
|
3,842 |
|
3,555 |
92.53% |
| 17 TOTAL |
32,362 |
7,794 |
32,356 |
3,191 |
12,472 |
35.09% |
► Standardised
approach - Exposure to credit risk and effects of credit risk mitigation
(CRM) at 31 December 2018 (CR4)
|
31.12.2018 |
|
Exposure classes |
|
Exposures before
CCF and CRM |
Exposures post-CCF
and CRM |
RWA and RWA density |
| € million |
On-balance sheet amount |
Off-balance sheet amount |
On-balance sheet amount |
Off-balance sheet amount |
RWA |
RWA density |
| 1 Central governments or central banks |
1,060 |
52 |
1,060 |
26 |
911 |
83.89% |
| 2 Regional governments or local authorities |
|
44 |
|
22 |
|
|
| 3 Public sector entities |
|
1 |
|
|
|
|
| 4 Multilateral developments banks |
|
6 |
|
3 |
3 |
100.00% |
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
5,950 |
625 |
23,078 |
538 |
703 |
2.98% |
| 7 Corporate |
19,890 |
6,346 |
2,760 |
2,352 |
4,427 |
86.60% |
| 8 Retail |
733 |
83 |
733 |
39 |
580 |
75.13% |
| 9 Secured by mortgages on immovable property |
211 |
|
211 |
|
105 |
49.76% |
| 10 Equity |
206 |
|
206 |
|
207 |
100.49% |
| 11 Exposure in default |
470 |
7 |
470 |
3 |
520 |
109.94% |
| 12 Higher-risk categories |
|
|
|
|
|
|
| 13 Covered bonds |
|
|
|
|
|
|
| 14 Institutions and corporates with a short-term credit
assessment |
|
|
|
|
|
|
| 15 Collective investment undertakings |
46 |
|
46 |
|
15 |
32.61% |
| 16 Other items |
3,321 |
|
3,321 |
|
3,127 |
94.16% |
| 17 TOTAL |
31,887 |
7,165 |
31,885 |
2,984 |
10,598 |
30.39% |
► Standard approach
- Exposures by asset class and by risk weighting coefficient at
31 December 2019 (CR5)
|
31.12.2019 |
| € million |
Risk weight |
| Exposure classes |
0% |
2% |
4% |
10% |
20% |
35% |
| 1 Central governments or central banks |
647 |
|
|
|
|
|
| 2 Regional governments or local authorities |
22 |
|
|
|
|
|
| 3 Public sector entities |
|
|
|
|
|
|
| 4 Multilateral developments banks |
|
|
|
|
|
|
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
20,593 |
1,002 |
|
|
558 |
|
| 7 Corporate |
|
|
|
|
144 |
|
| 8 Retail |
|
|
|
|
|
|
| 9 Secured by mortgages on immovable property |
|
|
|
|
|
|
| 10 Equity exposure |
|
|
|
|
|
|
| 11 Exposure in default |
|
|
|
|
|
|
| 12 Items associated with particularly high risk |
|
|
|
|
|
|
| 13 Covered bonds |
|
|
|
|
|
|
| Claims on institutions and 14 corporate with a short-term
credit assessment |
|
|
|
|
|
|
| 15 Claims in the form of CIU |
9 |
|
|
4 |
4 |
|
| 16 Other items |
160 |
|
|
|
158 |
|
| 17 TOTAL |
21,431 |
1,002 |
|
4 |
864 |
|
|
31.12.2019 |
| € million |
Risk weight |
| Exposure classes |
50% |
70% |
75% |
100% |
150% |
250% |
| 1 Central governments or central banks |
1 |
|
|
45 |
8 |
|
| 2 Regional governments or local authorities |
|
|
|
|
|
|
| 3 Public sector entities |
|
|
|
|
|
|
| 4 Multilateral developments banks |
|
|
|
21 |
|
|
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
20 |
|
|
423 |
47 |
|
| 7 Corporate |
811 |
|
|
5,251 |
22 |
|
| 8 Retail |
|
|
848 |
|
|
|
| 9 Secured by mortgages on immovable property |
188 |
|
|
|
|
|
| 10 Equity exposure |
|
|
|
324 |
|
1 |
| 11 Exposure in default |
|
|
|
9 |
76 |
|
| 12 Items associated with particularly high risk |
|
|
|
|
259 |
|
| 13 Covered bonds |
|
|
|
|
|
|
| Claims on institutions and 14 corporate with a short-term
credit assessment |
|
|
|
|
|
|
| 15 Claims in the form of CIU |
1 |
|
|
|
|
|
| 16 Other items |
|
|
|
3,524 |
|
|
| 17 TOTAL |
1,022 |
|
848 |
9,596 |
412 |
1 |
|
31.12.2019 |
| € million |
Risk weight |
| Exposure classes |
370% |
1250% |
Others |
Deducted |
Total credit exposures amount |
o/w unrated |
| 1 Central governments or central banks |
|
|
|
366 |
1,067 |
1,067 |
| 2 Regional governments or local authorities |
|
|
|
|
22 |
22 |
| 3 Public sector entities |
|
|
|
|
|
|
| 4 Multilateral developments banks |
|
|
|
|
21 |
21 |
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
|
|
|
|
22,643 |
22,491 |
| 7 Corporate |
|
|
|
|
6,228 |
4,758 |
| 8 Retail |
|
|
|
|
848 |
848 |
| 9 Secured by mortgages on immovable property |
|
|
|
|
188 |
188 |
| 10 Equity exposure |
|
|
|
|
324 |
324 |
| 11 Exposure in default |
|
|
|
|
85 |
85 |
| 12 Items associated with particularly high risk |
|
|
|
|
259 |
259 |
| 13 Covered bonds |
|
|
|
|
|
|
| Claims on institutions and 14 corporate with a short-term
credit assessment |
|
|
|
|
|
|
| 15 Claims in the form of CIU |
|
|
|
|
18 |
18 |
| 16 Other items |
|
|
|
|
3,842 |
3,842 |
| 17 TOTAL |
|
|
|
366 |
35,547 |
33,924 |
► Standard approach
- Exposures by asset class and by risk weighting coefficient at
31 December 2018 (CR5)
|
31.12.2018 |
| € million |
Risk weight |
| Exposure classes |
0% |
2% |
4% |
10% |
20% |
35% |
|
1 Central governments or central banks
|
691 |
|
|
|
|
|
|
2 Regional governments or local authorities
|
22 |
|
|
|
|
|
| 3 Public sector entities |
|
|
|
|
|
|
|
4 Multilateral developments banks
|
|
|
|
|
|
|
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
20,889 |
639 |
|
|
1,688 |
|
| 7 Corporate |
|
|
|
|
205 |
|
| 8 Retail |
|
|
|
|
|
|
|
9 Secured by mortgages on immovable property
|
|
|
|
|
|
|
| 10 Equity exposure |
|
|
|
|
|
|
| 11 Exposure in default |
|
|
|
|
|
|
|
12 Items associated with particularly high risk
|
|
|
|
|
|
|
| 13 Covered bonds |
|
|
|
|
|
|
| Claims on institutions and 14 corporate with a short-term
credit assessment |
|
|
|
|
|
|
| 15 Claims in the form of CIU |
10 |
|
|
4 |
11 |
|
| 16 Other items |
108 |
|
|
|
107 |
|
| 17 TOTAL |
21,720 |
639 |
|
4 |
2,011 |
|
|
31.12.2018 |
| € million |
Risk weight |
| Exposure classes |
50% |
70% |
75% |
100% |
150% |
250% |
|
1 Central governments or central banks
|
2 |
|
|
49 |
|
|
|
2 Regional governments or local authorities
|
|
|
|
|
|
|
| 3 Public sector entities |
|
|
|
|
|
|
|
4 Multilateral developments banks
|
|
|
|
3 |
|
|
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
125 |
|
|
245 |
30 |
|
| 7 Corporate |
1,055 |
|
|
3,838 |
14 |
|
| 8 Retail |
|
|
773 |
|
|
|
|
9 Secured by mortgages on immovable property
|
211 |
|
|
|
|
|
| 10 Equity exposure |
|
|
|
205 |
|
1 |
| 11 Exposure in default |
|
|
|
379 |
94 |
|
|
12 Items associated with particularly high risk
|
|
|
|
|
|
|
| 13 Covered bonds |
|
|
|
|
|
|
| Claims on institutions and 14 corporate with a short-term
credit assessment |
|
|
|
|
|
|
| 15 Claims in the form of CIU |
17 |
|
|
4 |
|
|
| 16 Other items |
|
|
|
3,106 |
|
|
| 17 TOTAL |
1,410 |
|
773 |
7,828 |
138 |
1 |
|
31.12.2018 |
| € million |
Risk weight |
| Exposure classes |
370% |
1250% |
Others |
Deducted |
Total credit exposures amount |
o/w unrated |
|
1 Central governments or central banks
|
|
|
|
344 |
1,086 |
1,086 |
|
2 Regional governments or local authorities
|
|
|
|
|
22 |
22 |
| 3 Public sector entities |
|
|
|
|
|
|
|
4 Multilateral developments banks
|
|
|
|
|
3 |
3 |
| 5 International organisations |
|
|
|
|
|
|
| 6 Institutions |
|
|
|
|
23,616 |
23,354 |
| 7 Corporate |
|
|
|
|
5,112 |
3,470 |
| 8 Retail |
|
|
|
|
773 |
773 |
|
9 Secured by mortgages on immovable property
|
|
|
|
|
211 |
211 |
| 10 Equity exposure |
|
|
|
|
206 |
206 |
| 11 Exposure in default |
|
|
|
|
473 |
473 |
|
12 Items associated with particularly high risk
|
|
|
|
|
|
|
| 13 Covered bonds |
|
|
|
|
|
|
| Claims on institutions and 14 corporate with a short-term
credit assessment |
|
|
|
|
|
|
| 15 Claims in the form of CIU |
|
|
|
|
46 |
46 |
| 16 Other items |
|
|
|
|
3,321 |
3,321 |
| 17 TOTAL |
|
|
|
344 |
34,868 |
32,965 |
♦ Quality of exposures
using the internal ratings-based approach
Credit exposures are classified by counterparty type and financial product type,
based
on the seven exposure classes shown in the table below and set out in Article 147
of Regulation (EU) 575/2013 of 26 June 2013 on capital requirements applicable to
credit institutions and investment firms:
| ― |
the "Central government and central banks" exposure category,
other than exposures
on central governments and central bank, combines exposures on certain regional and
local authorities or on public sector entities which are treated like central governments
as well as certain multilateral development banks and international organisations;
|
| ― |
the "Institutions" class comprises exposure to credit institutions
and investment
firms, including those recognised in other countries. This category also includes
certain exposures on regional and local governments, public-sector entities and multilateral
development banks that are not considered as central governments;
|
| ― |
the "Corporates" class is divided into large corporates and small
and medium-sized
businesses, which are subject to different regulatory treatments;
|
| ― |
the "Retail customers" class distinguishes between mortgage loans,
revolving credits,
other credits to individuals and other loans to very small businesses and self-employed
professionals;
|
| ― |
the "Equity" class comprises exposures that convey a residual,
subordinated claim
on the assets or income of the issuer or have a similar economic substance;
|
| ― |
the "Securitisation" exposure category includes exposures to
securitisation operations
or structures, including those resulting from interest rate or exchange rate derivatives,
independently of the institution's role (whether it is the originator, sponsor or
investor);
|
| ― |
the "Other assets that do not correspond to credit obligations"
class mainly includes
non-current assets and accruals.
|
EXPOSURE TO CREDIT
RISK BY PORTFOLIO AND RANGE OF PROBABILITY OF DEFAULT (PD) AT 31
DECEMBER 2019 (CR6)
► Following prudential portfolios for advanced internal ratings-based approach
| € million |
2019 |
| PD scale |
Original on-balance sheet gross
exposure |
Off-balance sheet exposures pre
CCF |
Average CCF |
EAD post CRM and post-CCF |
Average PD |
Number of obligors |
| Central governments and central banks |
|
|
|
|
|
|
| 0.00 to < 0.15 |
85,427 |
2,155 |
63.23% |
97,940 |
|
|
| 0.15 to < 0.25 |
1,110 |
10 |
64.96% |
1,789 |
0.16% |
|
| 0.25 to < 0.50 |
17 |
|
0.00% |
17 |
0.30% |
|
| 0.50 to < 0.75 |
678 |
213 |
75.00% |
425 |
0.60% |
|
| 0.75 to < 2.50 |
609 |
595 |
75.02% |
86 |
0.95% |
|
| 2.50 to < 10.00 |
726 |
99 |
71.63% |
52 |
5.00% |
|
| 10.00 to < 100.00 |
122 |
214 |
75.63% |
28 |
16.13% |
|
| 100.00 (Default) |
100 |
17 |
75.00% |
27 |
100.00% |
|
| Sub-total |
88,789 |
3,304 |
63.63% |
100,364 |
0.05% |
|
| Institutions |
|
|
|
|
|
|
| 0.00 to < 0.15 |
36,439 |
3,238 |
87.68% |
44,402 |
0.03% |
|
| 0.15 to < 0.25 |
2,058 |
466 |
52.83% |
764 |
0.16% |
|
| 0.25 to < 0.50 |
598 |
963 |
38.76% |
924 |
0.30% |
|
| 0.50 to < 0.75 |
228 |
1,048 |
26.31% |
493 |
0.60% |
|
| 0.75 to < 2.50 |
285 |
680 |
45.53% |
408 |
1.05% |
|
| 2.50 to < 10.00 |
|
123 |
22.20% |
27 |
5.00% |
|
| 10.00 to < 100.00 |
|
23 |
31.28% |
6 |
12.41% |
|
| 100.00 (Default) |
401 |
20 |
20.20% |
405 |
100.00% |
|
| Sub-total |
40,010 |
6,561 |
75.14% |
47,430 |
0.91% |
|
| Corporates - Other |
|
|
|
|
|
|
| 0.00 to < 0.15 |
24,489 |
53,991 |
53.64% |
52,955 |
0.04% |
|
| 0.15 to < 0.25 |
11,849 |
19,098 |
46.28% |
17,752 |
0.16% |
|
| 0.25 to < 0.50 |
10,192 |
17,412 |
48.85% |
14,479 |
0.30% |
|
| 0.50 to < 0.75 |
7,643 |
9,320 |
57.56% |
9,164 |
0.60% |
|
| 0.75 to < 2.50 |
9,717 |
11,398 |
55.75% |
10,092 |
1.11% |
|
| 2.50 to < 10.00 |
605 |
440 |
46.06% |
249 |
5.00% |
|
| 10.00 to < 100.00 |
1,055 |
1,654 |
33.76% |
850 |
15.54% |
|
| 100.00 (Default) |
1,882 |
898 |
31.27% |
1,986 |
100.00% |
|
| Sub-total |
67,432 |
114,209 |
51.82% |
107,528 |
2.23% |
|
| Corporates - SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
44 |
1 |
72.93% |
45 |
0.06% |
|
| 0.15 to < 0.25 |
29 |
|
0.00% |
32 |
0.16% |
|
| 0.25 to < 0.50 |
7 |
3 |
46.94% |
9 |
0.30% |
|
| 0.50 to < 0.75 |
6 |
345 |
20.38% |
44 |
0.60% |
|
| 0.75 to < 2.50 |
126 |
94 |
52.89% |
151 |
1.53% |
|
| 2.50 to < 10.00 |
16 |
3 |
59.65% |
10 |
5.00% |
|
| 10.00 to < 100.00 |
21 |
2 |
83.76% |
22 |
17.76% |
|
| 100.00 (Default) |
2 |
|
36.28% |
2 |
100.00% |
|
| Sub-total |
252 |
448 |
30.63% |
315 |
2.93% |
|
| Corporates - Specialised Lending |
|
|
|
|
|
|
| 0.00 to < 0.15 |
2,097 |
1,511 |
55.65% |
10,424 |
0.03% |
|
| 0.15 to < 0.25 |
8,127 |
2,003 |
63.82% |
10,619 |
0.16% |
|
| 0.25 to < 0.50 |
10,783 |
4,208 |
59.55% |
11,405 |
0.30% |
|
| 0.50 to < 0.75 |
10,011 |
2,757 |
51.42% |
9,486 |
0.60% |
|
| 0.75 to < 2.50 |
11,548 |
4,905 |
49.81% |
10,201 |
1.10% |
|
| 2.50 to < 10.00 |
1,030 |
67 |
48.95% |
865 |
5.00% |
|
| 10.00 to < 100.00 |
1,569 |
40 |
73.00% |
907 |
13.94% |
|
| 100.00 (Default) |
1,170 |
26 |
79.17% |
1,142 |
100.00% |
|
| Sub-total |
46,335 |
15,517 |
56.16% |
55,049 |
2.79% |
|
| Retail - Qualifying revolving |
|
|
|
|
|
|
| 0.00 to < 0.15 |
10,554 |
|
|
10,554 |
0.09% |
|
| 0.15 to < 0.25 |
1,891 |
|
|
1,894 |
0.21% |
|
| 0.25 to < 0.50 |
495 |
|
|
495 |
0.60% |
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
41 |
|
72.83% |
41 |
1.60% |
|
| 2.50 to < 10.00 |
62 |
|
|
62 |
10.34% |
|
| 10.00 to < 100.00 |
|
|
|
|
19.97% |
|
| 100.00 (Default) |
102 |
|
|
102 |
100.00% |
|
| Sub-total |
13,145 |
|
72.83% |
13,148 |
0.91% |
|
| Retail - Other non-SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
89 |
|
|
89 |
0.09% |
|
| 0.15 to < 0.25 |
14 |
|
|
14 |
0.21% |
|
| 0.25 to < 0.50 |
4 |
|
|
4 |
0.60% |
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
1 |
|
|
1 |
1.60% |
|
| 2.50 to < 10.00 |
2 |
|
|
2 |
12.79% |
|
| 10.00 to < 100.00 |
|
|
|
|
|
|
| 100.00 (Default) |
14 |
|
|
14 |
100.00% |
|
| Sub-total |
122 |
|
|
122 |
11.47% |
|
| Total |
256,085 |
140,039 |
55.02% |
323,956 |
1.40% |
|
| € million |
2019 |
| PD scale |
Average LGD |
Average maturity |
RWA |
RWA density |
Expected loss |
Value adjustments and provisions |
| Central governments and central banks |
|
|
|
|
|
|
| 0.00 to < 0.15 |
1.56% |
580 |
289 |
0.30% |
|
|
| 0.15 to < 0.25 |
9.91% |
829 |
155 |
8.64% |
|
|
| 0.25 to < 0.50 |
10.00% |
651 |
3 |
14.94% |
|
|
| 0.50 to < 0.75 |
10.00% |
602 |
64 |
15.14% |
|
|
| 0.75 to < 2.50 |
45.71% |
760 |
84 |
97.64% |
|
|
| 2.50 to < 10.00 |
59.60% |
1,295 |
118 |
228.29% |
2 |
|
| 10.00 to < 100.00 |
78.70% |
1,299 |
131 |
458.57% |
4 |
|
| 100.00 (Default) |
45.00% |
1,481 |
3 |
10.46% |
15 |
|
| Sub-total |
1.85% |
586 |
846 |
0.84% |
22 |
29 |
| Institutions |
|
|
|
|
|
|
| 0.00 to < 0.15 |
7.64% |
634 |
970 |
2.18% |
1 |
|
| 0.15 to < 0.25 |
36.58% |
761 |
278 |
36.38% |
1 |
|
| 0.25 to < 0.50 |
38.28% |
551 |
346 |
37.46% |
1 |
|
| 0.50 to < 0.75 |
47.10% |
505 |
310 |
62.92% |
1 |
|
| 0.75 to < 2.50 |
31.07% |
820 |
311 |
76.17% |
2 |
|
| 2.50 to < 10.00 |
82.81% |
297 |
82 |
303.12% |
1 |
|
| 10.00 to < 100.00 |
70.17% |
468 |
26 |
410.73% |
1 |
|
| 100.00 (Default) |
45.01% |
595 |
12 |
3.02% |
386 |
|
| Sub-total |
9.69% |
634 |
2,336 |
4.93% |
393 |
397 |
| Corporates - Other |
|
|
|
|
|
|
| 0.00 to < 0.15 |
34.89% |
757 |
7,289 |
13.76% |
8 |
|
| 0.15 to < 0.25 |
43.10% |
822 |
5,938 |
33.45% |
11 |
|
| 0.25 to < 0.50 |
45.94% |
871 |
7,072 |
48.84% |
16 |
|
| 0.50 to < 0.75 |
46.29% |
823 |
6,450 |
70.38% |
20 |
|
| 0.75 to < 2.50 |
47.62% |
927 |
8,475 |
83.97% |
40 |
|
| 2.50 to < 10.00 |
52.83% |
1,081 |
414 |
166.12% |
5 |
|
| 10.00 to < 100.00 |
35.93% |
654 |
1,390 |
163.44% |
40 |
|
| 100.00 (Default) |
45.39% |
899 |
292 |
14.68% |
1,507 |
|
| Sub-total |
40.15% |
807 |
37,318 |
34.71% |
1,647 |
1,950 |
| Corporates - SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
45.81% |
1,037 |
11 |
25.57% |
|
|
| 0.15 to < 0.25 |
49.98% |
1,338 |
19 |
59.98% |
|
|
| 0.25 to < 0.50 |
49.86% |
622 |
4 |
47.45% |
|
|
| 0.50 to < 0.75 |
51.08% |
432 |
32 |
71.14% |
|
|
| 0.75 to < 2.50 |
32.86% |
907 |
96 |
63.87% |
1 |
|
| 2.50 to < 10.00 |
44.42% |
693 |
13 |
131.32% |
|
|
| 10.00 to < 100.00 |
36.98% |
584 |
37 |
168.16% |
1 |
|
| 100.00 (Default) |
45.00% |
433 |
|
0.00% |
4 |
|
| Sub-total |
40.20% |
861 |
213 |
67.62% |
7 |
6 |
| Corporates - Specialised Lending |
|
|
|
|
|
|
| 0.00 to < 0.15 |
7.31% |
1,327 |
409 |
3.93% |
|
|
| 0.15 to < 0.25 |
10.23% |
1,312 |
1,192 |
11.23% |
2 |
|
| 0.25 to < 0.50 |
11.11% |
1,268 |
1,866 |
16.36% |
4 |
|
| 0.50 to < 0.75 |
12.01% |
1,171 |
2,132 |
22.47% |
7 |
|
| 0.75 to < 2.50 |
13.45% |
1,242 |
3,328 |
32.63% |
15 |
|
| 2.50 to < 10.00 |
14.22% |
1,241 |
444 |
51.34% |
6 |
|
| 10.00 to < 100.00 |
13.16% |
1,059 |
608 |
67.04% |
18 |
|
| 100.00 (Default) |
40.58% |
1,068 |
23 |
2.00% |
395 |
|
| Sub-total |
11.50% |
1,258 |
10,002 |
18.17% |
447 |
571 |
| Retail - Qualifying revolving |
|
|
|
|
|
|
| 0.00 to < 0.15 |
6.58% |
365 |
156 |
1.48% |
1 |
|
| 0.15 to < 0.25 |
21.78% |
367 |
171 |
9.04% |
1 |
|
| 0.25 to < 0.50 |
36.71% |
365 |
151 |
30.55% |
1 |
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
15.87% |
365 |
7 |
16.39% |
|
|
| 2.50 to < 10.00 |
30.34% |
365 |
22 |
35.51% |
2 |
|
| 10.00 to < 100.00 |
50.99% |
365 |
|
120.44% |
|
|
| 100.00 (Default) |
32.73% |
587 |
6 |
5.54% |
15 |
|
| Sub-total |
10.15% |
367 |
513 |
3.90% |
20 |
18 |
| Retail - Other non-SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
9.57% |
365 |
2 |
1.87% |
|
|
| 0.15 to < 0.25 |
30.01% |
365 |
2 |
13.08% |
|
|
| 0.25 to < 0.50 |
25.57% |
365 |
1 |
21.57% |
|
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
7.91% |
365 |
|
10.15% |
|
|
| 2.50 to < 10.00 |
72.95% |
365 |
2 |
140.63% |
|
|
| 10.00 to < 100.00 |
|
|
|
|
|
|
| 100.00 (Default) |
74.81% |
365 |
|
0.04% |
|
|
| Sub-total |
19.73% |
365 |
7 |
5.46% |
|
|
| Total |
17.73% |
772 |
51,235 |
15.82% |
2,536 |
2,972 |
EXPOSURE TO CREDIT
RISK BY PORTFOLIO AND RANGE OF PROBABILITY OF DEFAULT (PD) AT 31
DECEMBER 2018 (CR6)
► Following prudential
portfolios for advanced internal ratings-based approach
| € million |
2018 |
| PD scale |
Original on-balance sheet gross
exposure |
Off-balance sheet exposures pre
CCF |
Average CCF |
EAD post CRM and post-CCF |
Average PD |
Number of obligors |
| Central governments and central banks |
|
|
|
|
|
|
| 0.00 to < 0.15 |
68,908 |
2,890 |
66.98% |
81,026 |
0.01% |
|
| 0.15 to < 0.25 |
453 |
|
64.06% |
1,166 |
0.16% |
|
| 0.25 to < 0.50 |
378 |
|
|
378 |
0.30% |
|
| 0.50 to < 0.75 |
775 |
214 |
75.00% |
323 |
0.60% |
|
| 0.75 to < 2.50 |
296 |
490 |
75.00% |
45 |
1.24% |
|
| 2.50 to < 10.00 |
685 |
315 |
73.86% |
82 |
5.00% |
|
| 10.00 to < 100.00 |
84 |
108 |
76.34% |
26 |
12.41% |
|
| 100.00 (Default) |
78 |
|
0.00% |
31 |
100.00% |
|
| Sub-total |
71,657 |
4,017 |
66.96% |
83,077 |
0.06% |
|
| Institutions |
|
|
|
|
|
|
| 0.00 to < 0.15 |
31,788 |
4,215 |
81.80% |
37,672 |
0.03% |
|
| 0.15 to < 0.25 |
889 |
492 |
46.90% |
576 |
0.16% |
|
| 0.25 to < 0.50 |
789 |
1,165 |
39.05% |
1,139 |
0.30% |
|
| 0.50 to < 0.75 |
404 |
712 |
44.30% |
565 |
0.60% |
|
| 0.75 to < 2.50 |
842 |
1,087 |
41.53% |
856 |
0.96% |
|
| 2.50 to < 10.00 |
47 |
87 |
20.81% |
21 |
5.00% |
|
| 10.00 to < 100.00 |
95 |
24 |
27.69% |
100 |
19.48% |
|
| 100.00 (Default) |
377 |
|
0.00% |
377 |
100.00% |
|
| Sub-total |
35,230 |
7,782 |
69.99% |
41,306 |
1.02% |
|
| Corporates - Other |
|
|
|
|
|
|
| 0.00 to < 0.15 |
24,852 |
52,546 |
54.10% |
52,004 |
0.04% |
|
| 0.15 to < 0.25 |
10,376 |
15,404 |
56.69% |
16,316 |
0.16% |
|
| 0.25 to < 0.50 |
7,098 |
16,847 |
48.19% |
11,779 |
0.30% |
|
| 0.50 to < 0.75 |
7,763 |
8,947 |
59.28% |
9,490 |
0.60% |
|
| 0.75 to < 2.50 |
8,218 |
11,041 |
56.02% |
10,562 |
1.10% |
|
| 2.50 to < 10.00 |
495 |
636 |
55.96% |
304 |
5.00% |
|
| 10.00 to < 100.00 |
944 |
1,731 |
36.17% |
951 |
15.54% |
|
| 100.00 (Default) |
1,575 |
283 |
43.77% |
1,580 |
100.00% |
|
| Sub-total |
61,322 |
107,434 |
53.84% |
102,987 |
1.94% |
|
| Corporates - SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
6 |
4 |
20.00% |
6 |
0.06% |
|
| 0.15 to < 0.25 |
2 |
|
100.00% |
2 |
0.16% |
|
| 0.25 to < 0.50 |
3 |
3 |
54.78% |
4 |
0.30% |
|
| 0.50 to < 0.75 |
20 |
142 |
75.85% |
36 |
0.60% |
|
| 0.75 to < 2.50 |
127 |
247 |
49.36% |
217 |
1.33% |
|
| 2.50 to < 10.00 |
10 |
1 |
63.61% |
10 |
5.00% |
|
| 10.00 to < 100.00 |
51 |
163 |
75.10% |
161 |
19.65% |
|
| 100.00 (Default) |
7 |
|
84.72% |
8 |
100.00% |
|
| Sub-total |
227 |
558 |
60.44% |
443 |
9.67% |
|
| Corporates - Specialised Lending |
|
|
|
|
|
|
| 0.00 to < 0.15 |
1,764 |
1,419 |
51.18% |
9,198 |
0.03% |
|
| 0.15 to < 0.25 |
8,036 |
2,429 |
68.05% |
10,219 |
0.16% |
|
| 0.25 to < 0.50 |
10,573 |
2,943 |
63.51% |
10,421 |
0.30% |
|
| 0.50 to < 0.75 |
8,274 |
2,683 |
45.15% |
7,961 |
0.60% |
|
| 0.75 to < 2.50 |
10,506 |
3,679 |
57.63% |
9,774 |
1.12% |
|
| 2.50 to < 10.00 |
1,301 |
161 |
40.18% |
1,036 |
5.00% |
|
| 10.00 to < 100.00 |
1,672 |
241 |
59.39% |
1,127 |
15.74% |
|
| 100.00 (Default) |
1,195 |
29 |
78.00% |
1,159 |
100.00% |
|
| Sub-total |
43,320 |
13,584 |
57.21% |
50,896 |
3.14% |
|
| Retail - Qualifying revolving |
|
|
|
|
|
|
| 0.00 to < 0.15 |
10,832 |
|
|
10,832 |
0.09% |
|
| 0.15 to < 0.25 |
1,308 |
|
|
1,308 |
0.21% |
|
| 0.25 to < 0.50 |
525 |
|
|
525 |
0.60% |
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
38 |
|
72.83% |
38 |
1.60% |
|
| 2.50 to < 10.00 |
117 |
|
|
117 |
12.34% |
|
| 10.00 to < 100.00 |
|
|
|
|
20.00% |
|
| 100.00 (Default) |
143 |
|
|
143 |
100.00% |
|
| Sub-total |
12,964 |
|
72.83% |
12,964 |
1.24% |
|
| Retail - Other non-SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
85 |
|
|
85 |
0.09% |
|
| 0.15 to < 0.25 |
14 |
|
|
14 |
0.21% |
|
| 0.25 to < 0.50 |
6 |
|
|
6 |
0.60% |
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
1 |
|
|
1 |
1.60% |
|
| 2.50 to < 10.00 |
1 |
|
|
1 |
12.47% |
|
| 10.00 to < 100.00 |
|
|
|
|
|
|
| 100.00 (Default) |
14 |
|
|
14 |
100.00% |
|
| Sub-total |
122 |
|
|
122 |
11.68% |
|
| Total |
224,843 |
133,375 |
56.38% |
291,795 |
1.47% |
|
| € million |
2018 |
| PD scale |
Average LGD |
Average maturity |
RWA |
RWA density |
Expected loss |
Value adjustments and provisions |
| Central governments and central banks |
|
|
|
|
|
|
| 0.00 to < 0.15 |
1.40% |
614 |
227 |
0.28% |
|
|
| 0.15 to < 0.25 |
10.00% |
1,031 |
116 |
9.99% |
|
|
| 0.25 to < 0.50 |
9.98% |
404 |
36 |
9.52% |
|
|
| 0.50 to < 0.75 |
10.00% |
559 |
47 |
14.65% |
|
|
| 0.75 to < 2.50 |
46.88% |
1,331 |
58 |
127.73% |
|
|
| 2.50 to < 10.00 |
59.76% |
1,459 |
140 |
171.06% |
2 |
|
| 10.00 to < 100.00 |
77.60% |
1,126 |
104 |
402.17% |
3 |
|
| 100.00 (Default) |
45.00% |
1,367 |
|
1.04% |
17 |
|
| Sub-total |
1.72% |
620 |
729 |
0.88% |
22 |
25 |
| Institutions |
|
|
|
|
|
|
| 0.00 to < 0.15 |
8.83% |
611 |
961 |
2.55% |
1 |
|
| 0.15 to < 0.25 |
39.17% |
747 |
258 |
44.77% |
|
|
| 0.25 to < 0.50 |
42.29% |
529 |
437 |
38.33% |
1 |
|
| 0.50 to < 0.75 |
52.66% |
425 |
383 |
67.74% |
1 |
|
| 0.75 to < 2.50 |
39.16% |
543 |
628 |
73.41% |
3 |
|
| 2.50 to < 10.00 |
74.74% |
326 |
56 |
267.61% |
1 |
|
| 10.00 to < 100.00 |
39.01% |
1,639 |
229 |
228.88% |
7 |
|
| 100.00 (Default) |
45.01% |
625 |
|
0.00% |
394 |
|
| Sub-total |
11.84% |
609 |
2,952 |
7.15% |
409 |
400 |
| Corporates - Other |
|
|
|
|
|
|
| 0.00 to < 0.15 |
35.57% |
729 |
7,385 |
14.20% |
8 |
|
| 0.15 to < 0.25 |
43.58% |
965 |
5,996 |
36.75% |
10 |
|
| 0.25 to < 0.50 |
49.51% |
959 |
6,306 |
53.53% |
14 |
|
| 0.50 to < 0.75 |
45.76% |
919 |
6,758 |
71.21% |
21 |
|
| 0.75 to < 2.50 |
45.60% |
1,109 |
9,757 |
92.38% |
43 |
|
| 2.50 to < 10.00 |
50.28% |
773 |
418 |
137.67% |
6 |
|
| 10.00 to < 100.00 |
41.71% |
1,005 |
1,590 |
167.12% |
49 |
|
| 100.00 (Default) |
45.12% |
843 |
11 |
0.72% |
1,310 |
|
| Sub-total |
40.65% |
854 |
38,221 |
37.11% |
1,460 |
1,794 |
| Corporates - SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
46.61% |
1,443 |
2 |
24.78% |
|
|
| 0.15 to < 0.25 |
47.34% |
662 |
|
30.11% |
|
|
| 0.25 to < 0.50 |
47.60% |
1,104 |
3 |
60.56% |
|
|
| 0.50 to < 0.75 |
35.76% |
623 |
17 |
48.13% |
|
|
| 0.75 to < 2.50 |
36.02% |
1,056 |
160 |
73.78% |
1 |
|
| 2.50 to < 10.00 |
38.42% |
1,134 |
10 |
108.87% |
|
|
| 10.00 to < 100.00 |
45.90% |
1,626 |
164 |
101.40% |
4 |
|
| 100.00 (Default) |
45.05% |
402 |
|
0.00% |
4 |
|
| Sub-total |
40.11% |
1,224 |
356 |
80.32% |
9 |
7 |
| Corporates - Specialised Lending |
|
|
|
|
|
|
| 0.00 to < 0.15 |
5.49% |
1,354 |
259 |
2.81% |
|
|
| 0.15 to < 0.25 |
9.73% |
1,350 |
1,046 |
10.24% |
1 |
|
| 0.25 to < 0.50 |
12.23% |
1,313 |
1,801 |
17.28% |
4 |
|
| 0.50 to < 0.75 |
11.62% |
1,286 |
1,736 |
21.81% |
5 |
|
| 0.75 to < 2.50 |
14.37% |
1,280 |
3,234 |
33.09% |
15 |
|
| 2.50 to < 10.00 |
15.65% |
1,121 |
559 |
53.97% |
8 |
|
| 10.00 to < 100.00 |
19.58% |
1,111 |
1,134 |
100.60% |
35 |
|
| 100.00 (Default) |
41.97% |
1,093 |
62 |
5.39% |
421 |
|
| Sub-total |
11.73% |
1,304 |
9,832 |
19.32% |
489 |
761 |
| Retail - Qualifying revolving |
|
|
|
|
|
|
| 0.00 to < 0.15 |
6.30% |
|
162 |
1.49% |
1 |
|
| 0.15 to < 0.25 |
25.57% |
|
145 |
11.05% |
1 |
|
| 0.25 to < 0.50 |
35.53% |
|
138 |
26.35% |
1 |
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
24.90% |
|
11 |
28.52% |
|
|
| 2.50 to < 10.00 |
28.15% |
|
43 |
36.64% |
3 |
|
| 10.00 to < 100.00 |
51.69% |
|
|
122.10% |
|
|
| 100.00 (Default) |
31.09% |
|
10 |
6.67% |
14 |
|
| Sub-total |
9.79% |
|
508 |
3.92% |
20 |
17 |
| Retail - Other non-SME |
|
|
|
|
|
|
| 0.00 to < 0.15 |
7.75% |
|
2 |
1.79% |
|
|
| 0.15 to < 0.25 |
33.48% |
|
2 |
14.60% |
|
|
| 0.25 to < 0.50 |
68.21% |
|
4 |
57.56% |
|
|
| 0.50 to < 0.75 |
|
|
|
|
|
|
| 0.75 to < 2.50 |
30.03% |
|
|
38.21% |
|
|
| 2.50 to < 10.00 |
57.69% |
|
1
|
101.73% |
|
|
| 10.00 to < 100.00 |
|
|
|
|
|
|
| 100.00 (Default) |
6.19% |
|
|
2.30% |
|
|
| Sub-total |
13.91% |
|
9 |
7.44% |
|
|
| Total |
19.06% |
|
52,607 |
18.03% |
2,409 |
3,004 |
► PD and average
LGD by exposure category and geographic area at 31 December 2019
|
|
31.12.2019 |
|
|
IRBA Method |
| Exposure category |
Geographic risk area |
PD |
LGD |
| Central governments and central banks |
AFRICA AND MIDDLE EAST |
0.24% |
18.67% |
|
NORTH AMERICA |
0.01% |
0.50% |
|
ASIA-PACIFIC (EXCLUDING JAPAN) |
0.30% |
18.67% |
|
OTHERS |
2.98% |
37.75% |
|
EASTERN EUROPE |
0.16% |
10.00% |
|
WESTERN EUROPE |
2.12% |
35.17% |
|
(EXCLUDING ITALY) |
|
|
|
FRANCE (INCLUDING OVERSEAS TERRITORIES) |
3.23% |
35.17% |
|
ITALY |
0.11% |
5.50% |
|
JAPAN |
0.79% |
23.00% |
| Institutions |
AFRICA AND MIDDLE EAST |
1.12% |
30.00% |
|
NORTH AMERICA |
3.13% |
22.86% |
|
ASIA-PACIFIC (EXCLUDING JAPAN) |
3.01% |
30.00% |
|
OTHERS |
3.82% |
43.13% |
|
EASTERN EUROPE |
0.67% |
34.17% |
|
WESTERN EUROPE (EXCLUDING ITALY) |
3.01% |
38.33% |
|
FRANCE (INCLUDING OVERSEAS TERRITORIES) |
3.82% |
38.33% |
|
ITALY |
1.16% |
30.00% |
|
JAPAN |
1.12% |
30.00% |
| Corporates |
AFRICA AND MIDDLE EAST |
2.78% |
38.00% |
|
NORTH AMERICA |
3.24% |
15.23% |
|
ASIA-PACIFIC (EXCLUDING JAPAN) |
3.01% |
15.90% |
|
OTHERS |
3.04% |
24.43% |
|
EASTERN EUROPE |
0.52% |
45.00% |
|
WESTERN EUROPE (EXCLUDING ITALY) |
3.01% |
19.11% |
|
FRANCE (INCLUDING OVERSEAS TERRITORIES) |
2.63% |
16.02% |
|
ITALY |
3.82% |
15.63% |
|
JAPAN |
3.51% |
13.70% |
| Retail |
OTHERS |
7.81% |
37.86% |
|
WESTERN EUROPE (EXCLUDING ITALY) |
2.57% |
44.83% |
|
FRANCE (INCLUDING OVERSEAS TERRITORIES) |
3.29% |
44.00% |
|
ITALY |
20.00% |
53.00% |
♦ Credit derivatives
used for hedging at 31 December 2019
► Effect of credit
derivatives on risk-weighted assets (CR7)
|
31.12.2019 |
| € million |
Pre-credit derivatives RWAs |
Actual RWAs |
| Exposures under Foundation IRB |
|
|
| Central governments and central banks |
|
|
| Institutions |
|
|
| Corporates - SMEs |
|
|
| Corporates - Specialised lending |
|
|
| Corporates - Other |
|
|
| Exposures under Advanced IRB |
|
|
| Central governments and central banks |
3 |
|
| Institutions |
5 |
3 |
| Corporates - SMEs |
5,947 |
3,539 |
| Corporates - Specialised lending |
8 |
8 |
| Corporates - Other |
|
|
| Retail - Secured by real estate SMEs |
|
|
| Retail - Secured by real estate non-SMEs |
|
|
| Retail - Qualifying revolving |
|
|
| Retail - Other SMEs |
|
|
| Retail - Other non-SMEs |
|
|
| Equity IRB |
|
|
| Other non credit obligation assets |
|
|
| TOTAL |
5,963 |
3,550 |
♦ Change in RWA
between 31.12.2018 and 31.12.2019
► Risk-weighted
asset (RWA) cash flows for credit risk exposures using the internal
rating approach (CR8)
|
31.12.2019 |
| € million |
RWA |
Capital requirements |
| RWAs as at the end of the previous reporting period (31/12/2018) |
57,882 |
4,631 |
| Asset size |
(605) |
(48) |
| Asset quality |
985 |
79 |
| Model updates |
|
|
| Methodology and policy |
|
|
| Acquisitions and disposals |
|
|
| Foreign exchange movements |
874 |
70 |
| Other |
|
|
| RWAs as at the end of the reporting period (31/12/2019) |
59,135 |
4,731 |
♦ Results of backtesting
for 2019
The backtesting system is described in the « Risk Management » part on page 158.
These ex-post controls are performed through the cycle on historical data covering
as long as period as possible. The following tables show the backtesting results for
2019 in repect of probability of default (PD) and loss given default (LGD) modes.
► Ex-posts controls
of the probability of default (PD) by portfolio (CR9) at 31 December
2019
| Portfolio |
PD scale (%)
|
Weighted average PD |
Arithmetic average PD by obligors |
Number of obligors |
|
|
|
|
End of previous year |
End of year |
Defaulted obligors in the year |
| Sovereigns |
|
|
|
|
|
|
|
0 to < 0.15 |
|
0.01% |
90 |
101 |
|
|
0.15 to < 0.25 |
0.16% |
0.16% |
5 |
7 |
|
|
0.25 to < 0.50 |
0.30% |
0.30% |
9 |
7 |
|
|
0.50 to < 0.75 |
0.60% |
0.60% |
8 |
7 |
|
|
0.75 to < 2.50 |
1.20% |
1.45% |
18 |
15 |
|
|
2.50 to < 10.00 |
5.00% |
5.00% |
4 |
7 |
|
|
10.00 to < 100 |
12.02% |
13.33% |
12 |
12 |
1 |
|
Total |
0.22% |
1.45% |
146 |
156 |
1 |
| Local authorities |
|
|
|
|
|
|
|
0 to < 0.15 |
|
|
|
|
|
|
0.15 to < 0.25 |
0.16 % |
0.16 % |
|
|
|
|
0.25 to < 0.50 |
0.30 % |
0.30 % |
|
|
|
|
0.50 to < 0.75 |
0.60 % |
0.60 % |
|
|
|
|
0.75 to < 2.50 |
|
|
|
|
|
|
2.50 to < 10.00 |
5.00 % |
5.00 % |
|
|
|
|
10.00 to < 100 |
|
|
|
|
|
|
Total |
|
|
|
|
|
| Financial institutions |
|
|
|
|
|
|
|
0 to < 0.15 |
0.02% |
0.02% |
1,790 |
1,832 |
|
|
0.15 to < 0.25 |
0.16% |
0.16% |
619 |
752 |
|
|
0.25 to < 0.50 |
0.30% |
0.30% |
753 |
575 |
|
|
0.50 to < 0.75 |
0.60% |
0.60% |
561 |
409 |
|
|
0.75 to < 2.50 |
1.04% |
1.10% |
212 |
200 |
1 |
|
2.50 to < 10.00 |
5.00% |
5.00% |
23 |
19 |
|
|
10.00 to < 100 |
19.45% |
12.00% |
18 |
17 |
|
|
Total |
0.19% |
0.29% |
3,976 |
3,804 |
1 |
| Corporates |
|
|
|
|
|
|
|
0 to < 0.15 |
0.04% |
0.04% |
793 |
741 |
2 |
|
0.15 to < 0.25 |
0.16% |
0.16% |
455 |
451 |
|
|
0.25 to < 0.50 |
0.30% |
0.30% |
590 |
622 |
2 |
|
0.50 to < 0.75 |
0.60% |
0.60% |
487 |
473 |
1 |
|
0.75 to < 2.50 |
1.12% |
1.23% |
1,102 |
1,001 |
16 |
|
2.50 to < 10.00 |
5.00% |
5.00% |
101 |
109 |
5 |
|
10.00 to < 100 |
14.11% |
16.81% |
143 |
133 |
6 |
|
Total |
0.66% |
1.30% |
3,671 |
3,530 |
32 |
| Specialised lending |
|
|
|
|
|
|
|
0 to < 0.15 |
0.06% |
0.06% |
87 |
69 |
|
|
0.15 to < 0.25 |
0.16% |
0.16% |
254 |
309 |
|
|
0.25 to < 0.50 |
0.30% |
0.30% |
508 |
468 |
1 |
|
0.50 to < 0.75 |
0.60% |
0.60% |
209 |
206 |
|
|
0.75 to < 2.50 |
1.17% |
1.09% |
322 |
356 |
|
|
2.50 to < 10.00 |
5.00% |
5.00% |
79 |
46 |
5 |
|
10.00 to < 100 |
15.35% |
14.61% |
55 |
49 |
10 |
|
Total |
1.13% |
1.10% |
1,514 |
1,503 |
16 |
| Portfolio |
PD scale (%)
|
Average historical annual default
rate |
| Sovereigns |
|
|
|
0 to < 0.15 |
|
|
0.15 to < 0.25 |
|
|
0.25 to < 0.50 |
|
|
0.50 to < 0.75 |
|
|
0.75 to < 2.50 |
|
|
2.50 to < 10.00 |
3.33% |
|
10.00 to < 100 |
4.52% |
|
Total |
0.42% |
| Local authorities |
|
|
|
0 to < 0.15 |
|
|
0.15 to < 0.25 |
|
|
0.25 to < 0.50 |
|
|
0.50 to < 0.75 |
|
|
0.75 to < 2.50 |
|
|
2.50 to < 10.00 |
|
|
10.00 to < 100 |
|
|
Total |
|
| Financial institutions |
|
|
|
0 to < 0.15 |
|
|
0.15 to < 0.25 |
|
|
0.25 to < 0.50 |
|
|
0.50 to < 0.75 |
|
|
0.75 to < 2.50 |
0.36% |
|
2.50 to < 10.00 |
|
|
10.00 to < 100 |
2.50% |
|
Total |
0.04% |
| Corporates |
|
|
|
0 to < 0.15 |
0.05% |
|
0.15 to < 0.25 |
0.03% |
|
0.25 to < 0.50 |
0.31% |
|
0.50 to < 0.75 |
0.38% |
|
0.75 to < 2.50 |
1.24% |
|
2.50 to < 10.00 |
2.34% |
|
10.00 to < 100 |
6.76% |
|
Total |
0.89% |
| Specialised lending |
|
|
|
0 to < 0.15 |
|
|
0.15 to < 0.25 |
|
|
0.25 to < 0.50 |
0.23% |
|
0.50 to < 0.75 |
0.26% |
|
0.75 to < 2.50 |
1.29% |
|
2.50 to < 10.00 |
0.81% |
|
10.00 to < 100 |
8.26% |
|
Total |
0.96% |
| Portfolio |
Estimated LGD (%)
|
LGD excluding prudence factor |
| Sovereigns |
45% |
32% |
| Local authorities |
IRBF approach |
IRBF approach |
| Financial institutions 1 |
53% |
60% |
| Corporates |
45% |
38% |
| Specialised lending |
26% |
23% |
1
Recalibrated model, pending validation.
3.4.2.3 COUNTERPARTY
RISK
Crédit Agricole CIB, like its parent, addresses counterparty risks for all of its
exposures, whether these depend on the banking portfolio or the trading book (portfolio).
For items in the trading book, counterparty risk is calculated in accordance with
the provisions relating to the regulatory supervision of market risk. The regulatory
treatment of counterparty risk on transactions on forward financial instruments in
the banking portfolio is defined on a regulatory basis in Regulation (EU) 575/2013
of 26 June 2013. Crédit Agricole S.A. Group uses the market price method to measure
its exposure to counterparty risk on transactions on forward financial instruments
in the banking portfolio (Article 274) or the internal model method (Article 283)
within the scope of Crédit Agricole CIB.
♦ Analysis of
the exposure to counterparty risks (CCR)
► Analysis of
the exposure to counterparty risks (CCR) by type of approach
|
31.12.2019 |
|
Standard |
IRB |
| € million |
Gross exposure |
EAD |
RWA |
CR |
Gross exposure |
EAD |
| Central governments and central banks |
1 |
1 |
|
|
5,489 |
5,489 |
| Institutions |
12,318 |
12,318 |
267 |
21 |
25,528 |
26,098 |
| Corporates |
472 |
472 |
399 |
32 |
25,059 |
24,489 |
| Retail Customers |
|
|
|
|
|
|
| Shares |
|
|
|
|
|
|
| Securitisations |
|
|
|
|
|
|
| Other non credit-obigation assets |
|
|
|
|
|
|
| TOTAL |
12,791 |
12,791 |
666 |
53 |
56,076 |
56,076 |
|
31.12.2019 |
|
IRB |
Total |
| € million |
RWA |
CR |
Gross exposure |
EAD |
RWA |
CR |
| Central governments and central banks |
126 |
10 |
5,489 |
5,489 |
126 |
10 |
| Institutions |
4,155 |
332 |
37,846 |
38,416 |
4,423 |
354 |
| Corporates |
8,363 |
669 |
25,531 |
24,961 |
8,762 |
701 |
| Retail Customers |
|
|
|
|
|
|
| Shares |
|
|
|
|
|
|
| Securitisations |
|
|
|
|
|
|
| Other non credit-obigation assets |
|
|
|
|
|
|
| TOTAL |
12,644 |
1,012 |
68,867 |
68,867 |
13,311 |
1,065 |
|
31.12.2018 |
|
Standard |
IRB |
| € million |
Gross exposure |
EAD |
RWA |
CR |
Gross exposure |
EAD |
| Central governments and central banks |
|
|
|
|
7,612 |
7,578 |
| Institutions |
12,712 |
12,712 |
818 |
65 |
24,342 |
24,870 |
| Corporates |
388 |
380 |
330 |
26 |
22,710 |
21,985 |
| Retail Customers |
|
|
|
|
|
|
| Shares |
|
|
|
|
|
|
| Securitisations |
|
|
|
|
|
|
| Other non credit-obigation assets |
|
|
|
|
|
|
| TOTAL |
13,100 |
13,092 |
1,148 |
92 |
54,663 |
54,433 |
|
31.12.2018 |
|
IRB |
Total |
| € million |
RWA |
CR |
Gross exposure |
EAD |
RWA |
CR |
| Central governments and central banks |
125 |
10 |
7,612 |
7,578 |
125 |
10 |
| Institutions |
3,816 |
305 |
37,054 |
37,582 |
4,634 |
371 |
| Corporates |
6,945 |
556 |
23,097 |
22,365 |
7,275 |
582 |
| Retail Customers |
|
|
|
|
|
|
| Shares |
|
|
|
|
|
|
| Securitisations |
|
|
|
|
|
|
| Other non credit-obigation assets |
|
|
|
|
|
|
| TOTAL |
10,885 |
871 |
67,763 |
67,525 |
12,034 |
963 |
♦ Counterparty
risk by type of approach
► Analysis of
the exposure to counterparty risks by type of approach (CCR1)
|
31.12.2019 |
| € million |
Notional |
Replacement cost/current market
value |
Potential future credit exposure |
EEPE |
Multiplier |
EAD post CRM |
| Mark to market |
|
|
|
|
|
|
| Original exposure |
|
|
|
|
|
|
| Standardised approach |
|
|
|
|
|
|
| IMM (for derivatives and SFTs) |
|
|
|
24,257 |
1.55 |
37,599 |
| Of which securities financing transactions |
|
|
|
|
|
|
| Of which derivatives and long settlement transactions |
|
|
|
24,257 |
1.55 |
37,599 |
| Of which from contractual cross- product netting |
|
|
|
|
|
|
| Financial collateral simple method (for SFTs) |
|
|
|
|
|
|
| Financial collateral comprehensive method (for SFTs) |
|
|
|
|
|
14,954 |
| VaR for SFTs |
|
|
|
|
|
|
| TOTAL |
|
|
|
|
|
|
|
31.12.2019 |
| € million |
RWAs |
| Mark to market |
|
| Original exposure |
|
| Standardised approach |
|
| IMM (for derivatives and SFTs) |
8,990 |
| Of which securities financing transactions |
|
| Of which derivatives and long settlement transactions |
8,990 |
| Of which from contractual cross- product netting |
|
| Financial collateral simple method (for SFTs) |
|
| Financial collateral comprehensive method (for SFTs) |
2,617 |
| VaR for SFTs |
|
| TOTAL |
13,049 |
♦ Exposure to
counterparty risk by the standard method
► Exposure to
counterparty risk using the standard method by regulatory portfolio
and by risk-weighting at 31 December 2019 (CCR3)
| € million |
31.12.2019 |
| Exposure classes |
0.0% |
2.0% |
4.0% |
10.0% |
20.0% |
35.0% |
| Central governments or central banks |
1 |
|
|
|
|
|
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral developments banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Banks (Institutions) |
|
12,278 |
|
|
20 |
|
| Corporate |
|
|
|
|
|
|
| Retail |
|
|
|
|
|
|
| Default |
|
|
|
|
|
|
| Institutions and corporates with a short-term credit
assessment |
|
|
|
|
|
|
| Other items |
|
|
|
|
|
|
| TOTAL |
1 |
12,278 |
|
|
21 |
|
| € million |
31.12.2019 |
| Exposure classes |
50.0% |
70.0% |
75.0% |
100.0% |
150.0% |
Other |
| Central governments or central banks |
|
|
|
|
|
|
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral developments banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Banks (Institutions) |
4 |
|
|
16 |
|
|
| Corporate |
147 |
|
|
325 |
|
|
| Retail |
|
|
|
|
|
|
| Default |
|
|
|
|
|
|
| Institutions and corporates with a short-term credit
assessment |
|
|
|
|
|
|
| Other items |
|
|
|
|
|
|
| TOTAL |
150 |
|
|
341 |
|
|
| € million |
31.12.2019 |
| Exposure classes |
Total Exposure to credit risk |
o/w unrated |
| Central governments or central banks |
|
|
| Regional governments or local authorities |
|
|
| Public sector entities |
|
|
| Multilateral developments banks |
|
|
| International organisations |
|
|
| Banks (Institutions) |
12,318 |
12,313 |
| Corporate |
472 |
196 |
| Retail |
|
|
| Default |
|
|
| Institutions and corporates with a short-term credit
assessment |
|
|
| Other items |
|
|
| TOTAL |
12,791 |
12,511 |
► Exposure to
counterparty risk using the standard method by regulatory portfolio
and by risk-weighting at 31 December 2018 (CCR3)
| € million |
31.12.2018 |
| Exposure classes |
0.0% |
2.0% |
4.0% |
10.0% |
20.0% |
35.0% |
| Central governments or central banks |
|
|
|
|
|
|
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral developments banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Banks (Institutions) |
36 |
9,899 |
|
|
2,660 |
|
| Corporate |
|
|
|
|
1 |
|
| Retail |
|
|
|
|
|
|
| Default |
|
|
|
|
|
|
| Institutions and corporates with a short-term credit
assessment |
|
|
|
|
|
|
| Other items |
|
|
|
|
|
|
| TOTAL |
36 |
9,899 |
|
|
2,661 |
|
| € million |
31.12.2018 |
| Exposure classes |
50.0% |
70.0% |
75.0% |
100.0% |
150.0% |
Other |
| Central governments or central banks |
|
|
|
|
|
|
| Regional governments or local authorities |
|
|
|
|
|
|
| Public sector entities |
|
|
|
|
|
|
| Multilateral developments banks |
|
|
|
|
|
|
| International organisations |
|
|
|
|
|
|
| Banks (Institutions) |
58 |
|
|
59 |
|
|
| Corporate |
98 |
|
|
281 |
|
|
| Retail |
|
|
|
|
|
|
| Default |
|
|
|
|
|
|
| Institutions and corporates with a short-term credit
assessment |
|
|
|
|
|
|
| Other items |
|
|
|
|
|
|
| TOTAL |
156 |
|
|
340 |
|
|
| € million |
31.12.2018 |
| Exposure classes |
Total Exposure to credit risk |
o/w unrated |
| Central governments or central banks |
|
|
| Regional governments or local authorities |
|
|
| Public sector entities |
|
|
| Multilateral developments banks |
|
|
| International organisations |
|
|
| Banks (Institutions) |
12,712 |
12,636 |
| Corporate |
380 |
197 |
| Retail |
|
|
| Default |
|
|
| Institutions and corporates with a short-term credit
assessment |
|
|
| Other items |
|
|
| TOTAL |
13,092 |
12,832 |
♦ Exposure to
counterparty risk by the advanced method
► Exposure to
counterparty risk by portfolio and by range of probability of default
(PD) at 31 December 2019, following prudential portfolios for the advanced internal
ratings-based approach (CCR4)
| € million |
31.12.2019 |
| PD scale |
EAD post-CRM |
average PD |
Average LGD |
Average maturity |
RWA |
RWA density |
| Central governments and central banks |
|
|
|
|
|
|
| 0.00 to <0.15 |
5,053 |
0.01% |
1.33% |
1,121 |
14 |
0.28% |
| 0.15 to <0.25 |
255 |
0.16% |
9.91% |
829 |
20 |
7.95% |
| 0.25 to <0.50 |
46 |
0.30% |
10.00% |
651 |
4 |
9.62% |
| 0.50 to <0.75 |
80 |
0.60% |
10.00% |
602 |
14 |
17.36% |
| 0.75 to <2.50 |
49 |
1.34% |
46.91% |
1,002 |
57 |
117.28% |
| 2.50 to <10.00 |
|
|
|
|
|
|
| 10.00 to <100.00 |
6 |
20.00% |
67.81% |
1,543 |
16 |
255.15% |
| 100.00 (Default) |
|
|
|
|
|
|
| Sub-total |
5,489 |
0.06% |
2.40% |
1,096 |
126 |
2.29% |
| Institutions |
|
|
|
|
|
|
| 0.00 to <0.15 |
21,015 |
0.04% |
12.17% |
638 |
1,551 |
7.38% |
| 0.15 to <0.25 |
2,146 |
0.16% |
36.58% |
761 |
825 |
38.44% |
| 0.25 to <0.50 |
1,530 |
0.30% |
38.28% |
551 |
778 |
50.87% |
| 0.50 to <0.75 |
626 |
0.60% |
47.10% |
505 |
587 |
93.77% |
| 0.75 to <2.50 |
780 |
0.84% |
23.93% |
979 |
306 |
39.28% |
| 2.50 to <10.00 |
38 |
5.00% |
82.81% |
297 |
95 |
252.36% |
| 10.00 to <100.00 |
6 |
17.65% |
50.14% |
538 |
13 |
207.60% |
| 100.00 (Default) |
|
|
|
|
|
|
| Sub-total |
26,140 |
0.11% |
16.92% |
647 |
4,155 |
15.90% |
| Corporates - Other |
|
|
|
|
|
|
| 0.00 to <0.15 |
10,712 |
0.04% |
34.20% |
740 |
1,338 |
12.49% |
| 0.15 to <0.25 |
2,260 |
0.16% |
43.10% |
822 |
1,017 |
45.00% |
| 0.25 to <0.50 |
2,674 |
0.30% |
45.94% |
871 |
1,101 |
41.19% |
| 0.50 to <0.75 |
2,501 |
0.60% |
46.29% |
823 |
1,443 |
57.68% |
| 0.75 to <2.50 |
2,143 |
0.99% |
45.87% |
880 |
1,694 |
79.03% |
| 2.50 to <10.00 |
63 |
5.00% |
52.83% |
1,081 |
87 |
137.95% |
| 10.00 to <100.00 |
865 |
19.71% |
30.02% |
377 |
964 |
111.46% |
| 100.00 (Default) |
69 |
100.00% |
45.39% |
899 |
26 |
37.63% |
| Sub-total |
21,287 |
1.39% |
39.12% |
775 |
7,670 |
36.03% |
| Corporates - SME |
|
|
|
|
|
|
| 0.00 to <0.15 |
55 |
0.03% |
47.46% |
460 |
11 |
19.60% |
| 0.15 to <0.25 |
3 |
0.16% |
49.98% |
1,338 |
1 |
41.66% |
| 0.25 to <0.50 |
|
0.30% |
49.86% |
622 |
|
54.48% |
| 0.50 to <0.75 |
3 |
0.60% |
51.08% |
432 |
2 |
76.00% |
| 0.75 to <2.50 |
28 |
1.62% |
31.80% |
901 |
35 |
124.67% |
| 2.50 to <10.00 |
3 |
5.00% |
44.42% |
693 |
5 |
167.58% |
| 10.00 to <100.00 |
3 |
13.78% |
25.35% |
511 |
7 |
248.32% |
| 100.00 (Default) |
|
|
|
|
|
0.00% |
| Sub-total |
95 |
1.09% |
42.33% |
629 |
61 |
64.33% |
| Corporates - Specialised lending |
|
|
|
|
|
|
| 0.00 to <0.15 |
665 |
0.06% |
11.80% |
1,225 |
42 |
6.27% |
| 0.15 to <0.25 |
933 |
0.16% |
10.23% |
1,312 |
150 |
16.06% |
| 0.25 to <0.50 |
620 |
0.30% |
11.11% |
1,268 |
98 |
15.84% |
| 0.50 to <0.75 |
481 |
0.60% |
12.01% |
1,171 |
95 |
19.76% |
| 0.75 to <2.50 |
427 |
0.95% |
12.59% |
1,239 |
147 |
34.45% |
| 2.50 to <10.00 |
16 |
5.00% |
14.22% |
1,241 |
5 |
28.67% |
| 10.00 to <100.00 |
98 |
14.73% |
14.39% |
1,045 |
86 |
87.30% |
| 100.00 (Default) |
22 |
100.00% |
40.58% |
1,068 |
11 |
47.78% |
| Sub-total |
3,263 |
1.50% |
11.64% |
1,246 |
633 |
19.40% |
| TOTAL |
56,273 |
0.67% |
23.61% |
777 |
12,644 |
22.47% |
► Exposure to
counterparty risk by portfolio and by range of probability of default
(PD) at 31 December 2018, following prudential portfolios for the advanced internal
ratings-based approach (CCR4)
| € million |
31.12.2018 |
| PD scale |
EAD post-CRM |
average PD |
Average LGD |
Average maturity |
RWA |
RWA density |
| Central governments and central banks |
|
|
|
|
|
|
| 0.00 to <0.15 |
7,201 |
0.01% |
1.29% |
1,050 |
18 |
0.25% |
| 0.15 to <0.25 |
172 |
0.16% |
10.00% |
1,031 |
14 |
7.89% |
| 0.25 to <0.50 |
106 |
0.30% |
9.98% |
404 |
9 |
8.92% |
| 0.50 to <0.75 |
74 |
0.60% |
10.00% |
559 |
12 |
16.70% |
| 0.75 to <2.50 |
54 |
1.19% |
45.70% |
1,333 |
59 |
110.76% |
| 2.50 to <10.00 |
|
|
|
|
|
|
| 10.00 to <100.00 |
5 |
19.85% |
56.70% |
1,139 |
12 |
264.80% |
| 100.00 (Default) |
|
|
|
|
|
|
| Sub-total |
7,612 |
0.04% |
2.03% |
1,037 |
125 |
1.64% |
| Institutions |
|
|
|
|
|
|
| 0.00 to <0.15 |
20,275 |
0.03% |
11.30% |
627 |
1,361 |
6.71% |
| 0.15 to <0.25 |
1,887 |
0.16% |
39.17% |
747 |
716 |
37.94% |
| 0.25 to <0.50 |
1,362 |
0.30% |
42.29% |
529 |
772 |
56.66% |
| 0.50 to <0.75 |
474 |
0.60% |
52.66% |
425 |
420 |
88.63% |
| 0.75 to <2.50 |
838 |
0.81% |
31.04% |
773 |
270 |
32.21% |
| 2.50 to <10.00 |
12 |
5.00% |
74.74% |
326 |
34 |
293.57% |
| 10.00 to <100.00 |
113 |
19.99% |
35.50% |
1,738 |
242 |
213.94% |
| 100.00 (Default) |
3 |
100.00% |
45.01% |
625 |
1 |
24.78% |
| Sub-total |
24,964 |
0.19% |
16.53% |
635 |
3,816 |
15.29% |
| Corporates - Other |
|
|
|
|
|
|
| 0.00 to <0.15 |
12,321 |
0.04% |
34.47% |
693 |
1,342 |
10.89% |
| 0.15 to <0.25 |
1,957 |
0.16% |
43.58% |
965 |
972 |
49.69% |
| 0.25 to <0.50 |
2,152 |
0.30% |
49.51% |
959 |
1,004 |
46.65% |
| 0.50 to <0.75 |
1,893 |
0.60% |
45.76% |
919 |
1,175 |
62.05% |
| 0.75 to <2.50 |
1,527 |
1.07% |
46.42% |
1,119 |
1,281 |
83.92% |
| 2.50 to <10.00 |
80 |
5.00% |
50.28% |
773 |
106 |
132.98% |
| 10.00 to <100.00 |
197 |
19.03% |
44.23% |
845 |
513 |
260.88% |
| 100.00 (Default) |
2 |
100.00% |
45.12% |
843 |
1 |
55.21% |
| Sub-total |
20,129 |
0.42% |
39.04% |
802 |
6,395 |
31.77% |
| Corporates - SME |
|
|
|
|
|
|
| 0.00 to <0.15 |
63 |
0.03% |
47.06% |
1,296 |
13 |
21.43% |
| 0.15 to <0.25 |
3 |
0.16% |
47.34% |
662 |
1 |
38.33% |
| 0.25 to <0.50 |
3 |
0.30% |
47.60% |
1,104 |
2 |
58.27% |
| 0.50 to <0.75 |
2 |
0.60% |
35.76% |
623 |
1 |
83.37% |
| 0.75 to <2.50 |
29 |
1.33% |
34.91% |
1,039 |
31 |
105.99% |
| 2.50 to <10.00 |
2 |
5.00% |
38.42% |
1,134 |
3 |
175.04% |
| 10.00 to <100.00 |
1 |
19.44% |
45.56% |
1,596 |
1 |
211.00% |
| 100.00 (Default) |
|
100.00% |
45.05% |
402 |
|
12.79% |
| Sub-total |
102 |
0.94% |
43.37% |
1,186 |
53 |
51.60% |
| Corporates - Specialised lending |
|
|
|
|
|
|
| 0.00 to <0.15 |
587 |
0.06% |
9.99% |
1,317 |
36 |
6.17% |
| 0.15 to <0.25 |
409 |
0.16% |
9.73% |
1,350 |
58 |
14.18% |
| 0.25 to <0.50 |
421 |
0.30% |
12.23% |
1,313 |
98 |
23.33% |
| 0.50 to <0.75 |
291 |
0.60% |
11.62% |
1,286 |
68 |
23.48% |
| 0.75 to <2.50 |
226 |
0.96% |
14.04% |
1,232 |
73 |
32.31% |
| 2.50 to <10.00 |
25 |
5.00% |
15.65% |
1,121 |
8 |
32.55% |
| 10.00 to <100.00 |
104 |
14.28% |
18.61% |
1,121 |
155 |
149.00% |
| 100.00 (Default) |
5 |
100.00% |
41.97% |
1,093 |
|
0.00% |
| Sub-total |
2,068 |
1.29% |
11.64% |
1,296 |
496 |
24.01% |
| TOTAL |
54,875 |
0.30% |
22.59% |
|
10,885 |
19.84% |
♦ Collateral
► Impact of netting
and collateral on exposure values (CCR5-A)
|
|
31.12.2019 |
| € million |
|
Gross positive fair value or net
carrying amount |
Netting benefits |
Netted current credit exposure |
Collateral held |
Net credit xposure |
| 1 |
Derivatives |
212,939 |
181,842 |
31,089 |
1,298 |
29,791 |
| 2 |
SFTs |
25,021 |
21,363 |
3,658 |
1,769 |
1,889 |
| 3 |
Cross-product netting |
|
|
|
|
|
| 4 |
TOTAL |
237,960 |
203,205 |
34,747 |
3,067 |
31,680 |
♦ Change in RWA
under the internal models method (IMM) between 31.12.2018 and 31.12.2019
► Risk-weighted
asset (RWA) cash flows for counterparty risk exposures (CCR) using
the internal rating approach (MMI) (CCR7)
|
|
31.12.2019 |
| € million |
|
RWA |
Capital requirements |
| 1 |
RWAs as at the end of the previous reporting period |
8,363 |
669 |
| 2 |
Asset size |
852 |
68 |
| 3 |
Credit quality of counterparties |
(125) |
(10) |
| 4 |
Model updates (IMM only) |
|
|
| 5 |
Methodology and policy (IMM only) |
|
|
| 6 |
Acquisitions and disposals |
|
|
| 7 |
Foreign exchange movements |
112 |
9 |
| 8 |
Other |
(213) |
(17) |
| 9 |
RWAs as at the end of the current reporting period |
8,990 |
719 |
♦ Central Counterparty
(CCP) Exposures
► Central Counterparty
(CCP) Exposures (CCR8)
|
|
31.12.2019 |
| € million |
|
EAD post CRM |
RWA |
| 1 |
Exposures to QCCP (total) |
|
549 |
| 2 |
Exposures for trades at QCCPs (excluding initial margin
and default fund contributions);
of which
|
12,278 |
246 |
| 3 |
(i) OTC derivatives |
9,002 |
180 |
| 4 |
(ii) Exchange-traded derivatives |
147 |
3 |
| 5 |
(iii) SFTs |
3,129 |
63 |
| 6 |
(iv) Netting sets where crossproduct netting has been
approved |
|
|
| 7 |
Segregated initial margin |
3,160 |
|
| 8 |
Unsegregated initial margin |
151 |
3 |
| 9 |
Prefunded default fund contributions |
347 |
301 |
| 10 |
Alternative calculation of own funds requirements for
exposures |
|
|
| 11 |
Exposures to non-QCCPs (total) |
|
|
| 12 |
Exposures for trades at non-QCCPs (excluding initial
margin and default fund contributions);
of which
|
|
|
| 13 |
(i) OTC derivatives |
|
|
| 14 |
(ii) Exchange-traded derivatives |
|
|
| 15 |
(iii) SFTs |
|
|
| 16 |
(iv) Netting sets where crossproduct netting has been
approved |
|
|
| 17 |
Segregated initial margin |
|
|
| 18 |
Unsegregated initial margin |
|
|
| 19 |
Prefunded default fund contributions |
|
|
| 20 |
Unfunded default fund contributions |
|
|
3.4.2.4 CVA
CRD 4 introduced a new capital charge to reflect Credit Valuation Adjustment (CVA)
volatility, a valuation adjustment on assets known as CVA Risk, whose purpose is to
recognise credit events affecting our counterparties in the valuation of OTC derivatives.
As such, CVA is defined as the difference between the valuation without default risk
and the valuation that takes into account the probability of default of our counterparties.
Under this directive, institutions use a supervisory formula ("standard method") or
calculate their capital requirements using the internal model for counterparty risk
and the advanced approach ("CVA VaR") for specific interest rate risk. The CVA requirement
under the advanced approach is calculated on the basis of anticipated positive exposures
on OTC derivatives transactions vis-à-vis "Financial institutions" counterparties
excluding intragroup transactions. Under this scope, the system used to estimate the
capital requirements is the same as the one used to calculate the market VaR for the
specific interest rate risk.
► Capital requirement
with regard to credit valuation adjustment (CVA) at 31 December
2019 and 31 December 2018 (CCR2)
|
31.12.2019 |
31.12.2018 |
| € million |
EAD post-CRM |
RWA |
EAD post-CRM |
RWA |
| 1 |
Total portfolios subject to the Advanced CVA capital
charge |
16,681 |
2,706 |
15,852 |
2,510 |
| 2 |
(i) VaR component (including the 3×multiplier) |
|
20 |
|
22 |
| 3 |
(ii) Stressed VaR component (including the 3×multiplier) |
|
197 |
|
179 |
| 4 |
All portfolios subject to the Standardised CVA capital
charge |
15,284 |
699 |
16,641 |
618 |
| EU4 |
Based on the original exposure method |
|
|
|
|
| 5 |
Total subject to the CVA capital charge |
31,965 |
3,405 |
32,493 |
3,128 |
3.4.2.5 RISK MITIGATION
TECHNIQUES APPLIED TO CREDIT AND COUNTERPARTY RISK
Definitions:
| ― |
collateral: a security interest giving the Bank the right to
liquidate, keep or obtain
title to certain amounts or assets in the event of default or other specific credit
events affecting the counterparty, thereby reducing the credit risk on an exposure;
|
| ― |
personal guarantee: undertaking by a third party to pay the sum
due in the event of
the counterparty's default or other specific credit events, therefore reducing the
credit risks on an exposure.
|
► Exposures under
the advanced approach (RC3)
|
31.12.2019 |
31.12.2018 |
| € million |
Exposures unsecured - Carrying
amount |
Exposures to be secured |
Exposures secured by collateral |
Exposures secured by financial
guarantees |
Exposures secured by credit derivatives |
Exposures unsecured - Carrying
amount |
| Total loans |
142,952 |
78,949 |
57,846 |
4,771 |
16,332 |
125,741 |
| Total debt securities |
36,640 |
|
|
|
|
28,973 |
| Total exposures |
179,592 |
78,949 |
57,846 |
4,771 |
16,332 |
154,714 |
| Of which defaulted |
|
|
|
|
|
|
|
31.12.2018 |
| € million |
Exposures to be secured |
Exposures secured by collateral |
Exposures secured by financial
guarantees |
Exposures secured by credit derivatives |
| Total loans |
77,952 |
62,136 |
3,814 |
12,002 |
| Total debt securities |
|
|
|
|
| Total exposures |
77,952 |
62,136 |
3,814 |
12,002 |
| Of which defaulted |
|
|
|
|
3.4.2.6 RISK MITIGATION
TECHNIQUES APPLIED TO CREDIT RISK
♦ Collateral management
system
The main categories of collateral taken by the Bank are described under "Risk management
- Credit Risk - Collateral and Guarantees Received".
When a credit is granted, collateral is analysed specifically to assess the value
of the asset, its liquidity, volatility and the correlation between the value of the
collateral and the quality of the counterparty financed. Regardless of collateral
quality, the first criterion in the lending decision is always the borrower's ability
to repay sums due from cash flow generated by its operating activities, except for
specific trade finance transactions.
For financial collateral, a minimum exposure coverage ratio is usually included
in
loan contracts, with readjustment clauses. Financial collateral is revalued according
to the frequency of margin calls and the variability of the underlying value of the
financial assets transferred as collateral or quarterly, as a minimum.
The minimum coverage ratio (or the haircut applied to the value of the collateral
under Basel II) is determined by measuring the pseudo-maximum deviation of the value
of the securities on the revaluation date. This measurement is calculated with a 99%
confidence interval over a time horizon covering the period between each revaluation,
the period between the default date and the date on which asset liquidation starts,
and the duration of the liquidation period. This haircut also applies for currency
mismatch risk when the securities and the collateralised exposure are denominated
in different currencies. Additional haircuts are applied when the size of the stock
position necessitates a block sale or when the borrower and the issuer of the collateral
securities belong to the same risk group.
Other types of asset may also be pledged as non-recourse financial assets. This
is
notably the case for certain activities such as asset financing for aircrafts, shipping,
real estate or commodities.
INSURANCE PROVIDERS
Two main types of guarantee are generally used (excluding intragroup guarantees):
| ― |
export credit insurance taken out by the Bank;
|
| ― |
unconditional payment guarantees.
|
The main personal guarantee providers (excluding credit derivatives) are export
credit
agencies, most of which fall under sovereign risk and have an investment grade rating.
The major ones are BPI (France), Sace S.p.A. (Italy), Euler Hermes (Germany) and Korea
Export Insurance (Korea).
► Financial health
of export credit agencies - Available ratings of rating agencies
|
31.12.2019 |
|
Moody's |
Standard & Poor's |
Fitch Ratings |
|
Long term rating (outlook) |
Long term rating (outlook) |
Long term rating (outlook) |
| Bpifrance Financement |
Aa2 [stable] |
Unrated |
1 AA [stable]
|
| Euler Hermès S.A. |
Aa3 [stable] |
AA [stable] |
Unrated |
| Sace S.p.A. |
Unrated |
Unrated |
BBB+[negative] |
1
Rating given to EPIC Bpifrance.
3.4.2.7 RISK MITIGATION
TECHNIQUES APPLIED TO COUNTERPARTY RISK ♦ Credit derivatives
used for hedging at 31 December 2019
Credit derivatives used for hedging purposes are described under "Risk management
- Credit Risk - Use of Credit Derivatives".
► Exposures to
credit derivatives (CCR6)
|
31.12.2019 |
|
Credit derivative
hedges |
|
| € million |
Protection bought |
Protection sold |
Other credit derivatives |
| Notionals |
|
|
|
| Single-name credit default swaps |
6,430 |
|
|
| Index credit default swaps |
|
|
|
| Total return swaps |
|
|
|
| Credit options |
|
|
|
| Other credit derivatives |
|
|
|
| TOTAL NOTIONALS |
6,430 |
|
|
| Fair values |
|
|
|
| Positive fair value (asset) |
|
|
|
| Negative fair value (liability) |
(244) |
|
|
3.4.2.8 SECURITISATION
TRANSACTIONS
The credit risk on securitisation transactions is presented in the Securitisation
vehicles chapter below.
3.4.2.9 EQUITY
EXPOSURES IN THE BANKING BOOK
Equity investments owned by Crédit Agricole CIB Group outside the trading book
are
made up of securities "that give residual and subordinated rights to the assets or
income of the issuer or that are of a similar economic nature".
It mainly concerns:
| ― |
listed and non-listed shares and units in investment funds;
|
| ― |
implicit options in bonds that are convertible, redeemable or
exchangeable for shares;
|
| ― |
options on shares;
|
| ― |
deeply subordinated securities.
|
The objective pursued in the context of non-consolidated equity investments is
the
management intention (financial assets at fair value through profit/loss or on option,
financial assets available for sale, investments held until maturity, loans and receivables)
as described in note 1.3 to the financial statements "Accounting methods and principles".
The accounting techniques and valuation methods used are described in note 1.3
to
the financial statements "Accounting policies and principles".
► Internal ratings
- Amount of gross exposures and exposure at default using the internal
rating method as of 31 December 2019 (CR10)
|
31.12.2019 |
|
Categories |
| € million |
On-balance sheet amount |
Off-balance sheet amount |
Risk weight |
Exposure amount |
RWAs |
Capital requirements |
| Exchange-traded equity exposures |
|
|
190% |
|
|
|
| Private equity exposures |
436 |
|
290% |
436 |
1 265 |
101 |
| Other equity exposures |
510 |
|
370% |
332 |
1 229 |
98 |
| TOTAL |
946 |
|
|
768 |
2 494 |
200 |
► Internal ratings
- Amount of gross exposures and exposure at default using the internal
rating method as of 31 December 2018 (CR10)
|
31.12.2018 |
|
Categories |
| € million |
On-balance sheet amount |
Off-balance sheet amount |
Risk weight |
Exposure amount |
RWAs |
Capital requirements |
| Exchange-traded equity exposures |
1 |
|
190.00% |
1 |
2 |
|
| Private equity exposures |
4 |
|
290.00% |
4 |
13 |
1 |
| Other equity exposures |
285 |
|
370.00% |
285 |
1,053 |
84 |
| TOTAL |
290 |
|
|
290 |
1,068 |
85 |
3.4.3 Securitisation
vehicles
3.4.3.1 DEFINITIONS
OF SECURITISATION
TRANSACTIONS
Crédit Agricole CIB Group carries out securitisation transactions as an originator,
sponsor or investor in accordance with the Basel III criteria.
The securitisation transactions listed below are transactions as defined in Directive
2013/36/EU (CRD 4) and Regulation (EU) 575/2013 of 26 June 2013 (CRR), in force as
from 1 January 2014. The directive and regulations incorporate into European law the
international Basel III reforms (issued in December 2010) introducing, among other
things, new requirements for bank solvency and oversight of liquidity risk. These
texts are supplemented by the regulation (EU) 2017/2402 from the European Parliament
and Council of 12 December 2017, creating a general framework for securitisation and
a specific framework for simple, transparent and standardised securitisation, and
regulation 2017/2401 modifies the applicable calculation securitisations formulae
for the solvency ratio.
They cover transactions or structures under which the credit risk associated with
an exposure or pool of exposures is sub-divided into tranches and which have the following
features:
| ― |
payments made as part of the transaction or the structure depend
on the performance
of the exposure or the basket of exposures;
|
| ― |
the subordination of tranches determines how losses are allocated
over the life of
the transaction or structure.
|
Securitisation transactions include:
| ― |
conventional securitisation: securitisation involving the transfer
of the economic
interest of the securitised exposures through the transfer of ownership of these exposures
from the initiator to a securitisation entity or through a sub-compartment of a securitisation
entity, in which the securities issued do not represent payment obligations for the
initiator;
|
| ― |
synthetic securitisations: a securitisation in which the transfer
of risk is done
via the use of credit derivatives or guarantees and in which the securitised exposures
remain exposures for the initiator.
|
The Crédit Agricole CIB securitisation exposures detailed below cover all securitisation
exposures (recognised on or off-balance sheet) that generate risk-weighted assets
(RWA) and capital requirements with respect to the Group's regulatory capital portfolio,
according to the following typologies:
| ― |
the securitisation exposures for which the Group is considered
to be the originator;
|
| ― |
positions in which the Group is an investor;
|
| ― |
positions in which the Group is a sponsor;
|
| ― |
securitisation swap positions (currency or interest rate hedges)
made on behalf of
securitisation vehicles.
|
It should be noted that most securitisation transactions on behalf of European
customers
involve Ester Finance Titrisation, a wholly owned credit institution subsidiary of
Crédit Agricole CIB, which finances the purchase of receivables as both sponsor and,
through Ester Finance Titrisation, originator of these securitisation transactions.
3.4.3.2 PURPOSE
AND STRATEGY
♦ Proprietary
securitisation activities
Crédit Agricole CIB's activities to transfer risk through proprietary securitisation
are as follows:
ACTIVE MANAGEMENT
OF THE FINANCING PORTFOLIO
In addition to the use of credit derivatives (see "Risk factors and Pillar 3",
section
Credit risks - Used of credit derivatives), this activity consists of using securitisation
to manage the credit risk in the corporate financing portfolio, optimising the allocation
of equity, reducing the concentration of outstanding loans to corporates, freeing
up resources to contribute to the renewal of the banking portfolio (in the framework
of the Distribute to Originate model) and optimising the profitability of shareholders'
funds. This activity is managed by the Private Debt Solutions team, which reports
both to the Execution Management department within the Finance Department and to the
Debt Optimisation and Distribution department. The supervisory formula approach is
used to calculate the weighted exposures on proprietary securitisations. In this activity,
the Bank does not systematically purchase insurance on all tranches, as the management
goal is to cover some of the most risky financing portfolio tranches whilst keeping
part of the overall risk.
NEW SECURITISATIONS
CARRIED OUT BY CREDIT AGRICOLE CIB IN 2019
As part of portfolio financing management, the Execution Management teams set up
two
synthetic securitisation transactions with private investors. The first transaction,
for a period of 5 years, concerned a portfolio of €2.5 billion Crédit Agricole CIB
corporate loans. The second, for a period of 9 years, concerned a portfolio of €450
million LBO (leveraged buy-out) loans by the bank. This transaction is the first synthetic
securitisation carried out on this class of assets and opens up new distribution opportunities
for these loans. These two transactions are secured by cash collateral equal to the
amount of the risk guaranteed.
♦ Securitisation
transactions carried out on behalf of customers as arranger/ sponsor,
intermediary or originator
Securitisation transactions on behalf of customers within Global Markets activities
allow Crédit Agricole CIB to raise funds or manage a risk exposure on behalf of its
customers. When carrying out these activities, Crédit Agricole CIB can act as an originator,
sponsor/arranger or investor:
| ― |
as a sponsor/arranger, Crédit Agricole CIB structures and manages
securitisation programmes
that refinance assets of the Bank's customers, mainly via Asset Backed Commercial
Paper (ABCP) conduits, namely LMA in Europe, Atlantic and La Fayette in the United
States, and ITU in Brazil. These specific entities are protected against the bankruptcy
of Crédit Agricole CIB, but have been consolidated by the Group since the entry into
force of IFRS 10 on 1 January 2014. The liquidity facilities protect investors from
credit risk and guarantee the liquidity of the conduits;
|
| ― |
as an investor, the Group invests directly in certain securitisation
exposures and
is a liquidity provider or counterparty of derivative exposures (currency or interest
rate swaps for example);
|
| ― |
as an arranger, sponsor or originator, Crédit Agricole CIB carries
out securitisation
transactions on behalf of its customers. At 31 December 2019, there were four active
consolidated multi-seller vehicles (LMA, Atlantic, La Fayette and ITU), structured
by the Group on behalf of third parties. LMA, Atlantic, La Fayette and ITU are ABCP
fully supported programmes. This ABCP conduits activity finances the working capital
requirements of some of the Group's customers by backing short-term financing with
traditional assets, such as commercial or financial receivables. The amount of the
assets held by these vehicles and financed through the issuance of marketable securities
amounted to €27 billion at 31 December 2019 (€24 billion at 31 December 2018).
|
The default risk on the assets held by these vehicles is borne by the sellers of
the
underlying receivables through credit enhancements or by insurers for certain types
of risk, upstream of the ABCP transactions, for which Crédit Agricole CIB bears the
risk through liquidity facilities.
ACTIVITIES CARRIED
OUT AS A SPONSOR
The conduits activity was sustained throughout 2019 and the newly securitised outstandings
mainly relate to commercial and financial loans.
It should be noted that for part of this conduits activity, Crédit Agricole CIB
acts
as the originator insofar as the structures involve the entity Ester Finance Titrisation,
which is a consolidated Group entity.
The amount committed to liquidity facilities granted to LMA, Atlantic, La Fayette
and ITU as sponsor was €37 billion at 31 December 2019 (€32 billion at 31 December
2018).
ACTIVITIES CARRIED
OUT AS AN INVESTOR
As part of its sponsor activities, the Group can grant guarantees and liquidity
facilities
to securitisation vehicles or act as counterparty for derivatives in securitisation
transactions involving special purpose vehicles. These transactions typically involve
currency swaps granted to ABCP conduits and interest rate swaps for certain ABS issues.
These activities are recorded in the banking book as investor activities.
Moreover, Crédit Agricole CIB may be called upon to directly finance on its balance
sheet some securitisation transactions on behalf of its customers (mainly aeronautic
or vehicle fleet financing transactions) or provide support through a liquidity facility
to an issue carried out by special purpose entities not part of the Bank (SPV or ABCP
program not sponsored by the Bank). In this case, Crédit Agricole CIB is deemed to
be an investor. This activity represented a commitment of €2 billion at 31 December
2019 (€2 billion at 31 December 2018).
INTERMEDIATION
TRANSACTIONS
Crédit Agricole CIB participates in the structuring and in the placement of securities
backed by client asset pools and intended to be placed with investors.
In this business, the Bank retains a relatively low risk insofar as it sometimes
contributes
back-up lines to the vehicles that issue the securities or holds a share of the securities
issued.
3.4.3.3 RISK MONITORING
AND RECOGNITION
♦ Risk monitoring
Risk management related to securitisation transactions follows the rules established
by the Group and depends on whether the assets are recognised in the banking book
(credit and counterparty risk) or trading book (market and counterparty risk).
The development, scaling and targeting of securitisation transactions are periodically
reviewed by Portfolio Strategy Committees specific to those activities and the respective
countries, as well as by the Group Risks Committees.
Risks on securitisation transactions are measured against the capacity of the assets
transferred to financing vehicles to generate sufficient flows to cover the costs,
mainly financial, of these vehicles.
Crédit Agricole CIB's securitisation exposures are treated using the IRB-securitisation
approach. The grandfather clause period in the new regulations governing securitisation
is closed as from 1 January 2020. The new weighting approaches have entirely come
into force, namely:
| ― |
the "SEC IRBA" regulatory formula method: This approach is mainly
based on the regulatory
weighting of the underlying portfolio of receivables and on the attachment point of
the tranche.
|
| ― |
"SEC-SA" Standard Method: similarly to the SEC-IRBA approach,
this approach is based
on the weighting of the portfolio of underlying receivables (but under the standardised
approach) and mainly take account of the attachment point's historical performances.
|
| ― |
method based on "SEC-ERBA" external ratings: this approach is
based on the ratings
provided by the public external rating agencies approved by the Committee of European
Supervisors. The external agencies used are Standard & Poor's, Moody's, Fitch
Ratings
and Dominion Bond Rating Services (DBRS);
|
| ― |
Internal Assessment Approach (IAA): the Bank's internal rating
method approved by
the Crédit Agricole S.A. Standards and Methods Committee for the principal asset classes
(including trade receivables and outstanding loans on vehicles).
|
In accordance with the regulations, Crédit Agricole CIB's internal evaluation approaches
replicate the public methods used by external ratings agencies. These contain the
following two elements:
| ― |
a quantitative component that assesses the rate of increase in
transactions compared
to historical performance as well as the potential risk of commingling generated by
the transaction;
|
| ― |
a qualitative component that supplements the quantitative approach
and facilitates
an assessment of, among other things, the quality of the structures or even the reports.
|
The internal rating methods apply to securitisation of trade receivables, auto
loans
and dealer inventory financing.
As regards the stress simulation parameters, these depend on the rating of the
securitisations
and securitised underlyings. For example, for an AA equivalent rating (S&P scale),
the default risk stress simulation parameter is approximately 2.25 for trade receivable
transactions, generally 3 for automobile loan securitisations, and dealer inventory
financing securitisations, the credit stress simulation is composed of several elements
including a degradation of three ratings on the car manufacturer's rating.
It should be noted that beyond the needs of prudential calculations, the internal
ratings are used as part of the origination process to assess the profitability of
transactions.
Lastly, concerning the internal models framework, an independent unit within the
Crédit
Agricole Group is tasked with the validation of the internal methodologies. In addition,
regular audits are conducted by the Group Control and Audit Department to ensure the
relevance of the internal methodologies. Backtesting and stress test exercises are
also regularly implemented by the modelling teams;
These ratings include all the types of risk implied by securitisation transactions:
intrinsic risks on loans and receivables (insolvency of the borrower, payment delays,
dilution, offsetting of receivables) or risks on the structuring of transactions (legal
risks, risks related to the settlement channels for loans and receivables, risks related
to the quality of the information periodically supplied by the administrator of transferred
loans and receivables, other risks related to the transferor, etc.).
These critically examined ratings are only a tool for making decisions pertaining
to these transactions; such decisions are taken by Credit Committees at various levels.
Credit decisions impose on the transactions, which are reviewed at least on an
annual
basis by these same committees, different limits as the acquired portfolio changes
(levels for late payments, losses, concentration by sector or geographic area, dilution
of loans and receivables or the periodic valuation of assets by independent experts,
etc.) the non-respect of which may result in a tightening of the structure or the
early amortisation of the transaction.
These credit decisions also include, in liaison with the Bank's other Credit Committees,
an assessment focusing on the risk generated by the recipients of the receivables
and the possibility of substituting the manager by a new one in the event of mismanagement
of those receivables.
Like all credit decisions, these decisions include aspects of compliance and "country
risk".
The entity Ester Finance Titrisation recognised impaired receivables (Bucket 3)
of
€322.5 million at 31 December 2019, and impairments of €20.9 million. Net of impairments,
the total amount of securitised assets within this entity was €17.04 billion. The
liquidity risk associated with securitisation activities is monitored by the business
lines in charge, but also centrally by the Market Risks Department and the Control
Department. The impact of these activities is incorporated into the Internal Liquidity
Model indicators mainly the stress scenarios, liquidity ratios and liquidity gaps.
The management of liquidity risk at Crédit Agricole CIB is described in more detail
in the paragraph "Liquidity and financing risk" of the Risk Factors part of this section.
The management of foreign exchange risk with respect to securitisation activities
is not different from that of the Group's other assets. As regards interest rate risk
management, securitised assets are refinanced through special purpose vehicles according
to rules for matching interest rates closely to those of the other assets.
For assets of discontinuing activities, each transfer of position is first approved
by Crédit Agricole CIB's Market Risk Department.
♦ Accounting policies
Investments in securitisation instruments (cash or synthetic) are recognised on
the
basis of their classification and their associated valuation (see Note 1.3 on accounting
policies and principles of the consolidated financial statements for the classification
and valuation of financial assets).
Securitisation positions can be classified into the following accounting categories:
| ― |
"financial assets at amortised cost": these securitisation exposures
are measured
following initial recognition at amortised cost based on the effective interest rate
and may, if necessary, be impaired;
|
| ― |
"financial assets at fair value through comprehensive income
that may be reclassified
to profit or loss": these securitisation exposures are remeasured at their fair value
on the closing date and the variances in fair value are recognised in gains (losses)
accounted in other comprehensive income that may be reclassified to profit or loss;
|
| ― |
"financial assets at fair value through profit or loss": these
securitisation exposures
are remeasured at fair value on the closing date and any changes in fair value are
recognised through profit or loss under "Net gains/(losses) on financial instruments
at fair value through profit or loss".
|
Gains on disposals
of securitisation positions are recognised to profit/loss in accordance
with the rules for the original category of the positions sold.
As part of securitisation transactions, Crédit Agricole CIB carries out a derecognition
test with regard to IFRS 9 (the criteria for which are listed in Note 1.3 on accounting
policies and principles of the consolidated financial statements).
In the case of synthetic securitisations, the assets are not derecognised, as they
remain under the control of the institution. The assets continue to be recognised
according to their original classification and valuation method (see Note 1.3 on Accounting
policies and principles of the consolidated financial statements for the classification
and valuation of financial assets).
3.4.3.4 2019 ACTIVITY
SUMMARY
Crédit Agricole CIB's securitisation activity in 2019 was marked by:
| ― |
support for the development of the public ABS market in the United
States and in Europe.
Crédit Agricole CIB structured and organised the placement (as arranger and bookrunner)
of a significant number of primary ABS issues on behalf of its large "Financial Institutions"
customers, notably in the automobile and consumer finance sectors;
|
| ― |
in the ABCP conduits market, Crédit Agricole CIB maintained its
position amongst the
leaders in both the European and US markets. It renewed and initiated new securitisation
transactions involving commercial and financial receivables on behalf of its customers,
mostly corporates, while ensuring a favourable risk profile borne by the Bank. Crédit
Agricole CIB's strategy of focusing on customer financing is appreciated by investors
and is reflected in still competitive financing terms.
|
At 31 December 2019, Crédit Agricole CIB had no premature repayment of a securitisation
transaction. Furthermore, Crédit Agricole CIB had no securitisation transactions for
which it provided implicit support in 2019.
3.4.3.5 EXPOSURES
♦ Exposure at
default of securitisation transactions in the banking book that generate
RWA
► Securitisation
exposures in IRB and STD banking book (SEC1) / R TITRI 1
|
31.12.2019 |
|
Bank acts as originator |
Bank acts as sponsor |
| € million |
Traditional |
Synthetic Sub-total |
Traditional |
Synthetic |
Sub-total |
| 1 Securitisation |
13,907 |
6,335 |
20,242 |
17,732 |
|
17,732 |
| 2 Residential real estate loans |
|
|
|
24 |
|
24 |
| 3 Commercial real estate loans |
|
|
|
5 |
|
5 |
| 4 Credit card loans |
|
|
|
|
|
|
| 5 Leasing |
|
|
|
2,768 |
|
2,768 |
| 6 Loans to corporates and SMEs |
|
5,007 |
5,007 |
|
|
|
| 7 Personal loans |
|
|
|
3,183 |
|
3,183 |
| 8 Trade receivables |
13,907 |
|
13,907 |
7,164 |
|
7,164 |
| 9 Other |
|
1,328 |
1,328 |
4,587 |
|
4,587 |
| 10 Re-securitisation |
1,329 |
7 |
1,336 |
|
|
|
| 11 TOTAL 31.12.2019 |
15,237 |
6,342 |
21,578 |
17,732 |
|
17,732 |
| TOTAL 31.12.2018 |
15,947 |
7,485 |
23,432 |
21,066 |
|
21,066 |
|
31.12.2019 |
|
Banks acts as investor |
| € million |
Traditional |
Synthetic |
Sub-total |
| 1 Securitisation |
995 |
|
995 |
| 2 Residential real estate loans |
26 |
|
26 |
| 3 Commercial real estate loans |
|
|
|
| 4 Credit card loans |
|
|
|
| 5 Leasing |
9 |
|
9 |
| 6 Loans to corporates and SMEs |
460 |
|
460 |
| 7 Personal loans |
53 |
|
53 |
| 8 Trade receivables |
231 |
|
231 |
| 9 Other |
215 |
|
215 |
| 10 Re-securitisation |
|
|
|
| 11 TOTAL 31.12.2019 |
995 |
|
995 |
| TOTAL 31.12.2018 |
809 |
|
809 |
► Exposure at
default of securitisation transactions by weighting method
| € million |
Securitised EAD |
| Underlying |
SFA |
IAA |
RBA |
Standard |
Total |
| Securitisation |
7,691 |
28,082 |
2,693 |
503 |
38,969 |
| Residential real estate loans |
|
|
51 |
|
51 |
| Commercial real estate loans |
|
|
5 |
|
5 |
| Credit card loans |
|
|
|
|
|
| Leasing |
|
2,198 |
490 |
89 |
2,777 |
| Loans to corporates and SMEs |
5,007 |
|
460 |
|
5,467 |
| Personal loans |
|
2,695 |
526 |
15 |
3,237 |
| Trade receivables |
130 |
21,132 |
|
40 |
21,302 |
| Other |
2,555 |
2,057 |
1,160 |
359 |
6,130 |
| Re-securitisation |
|
|
1,336 |
|
1,336 |
| Total 31.12.2019 |
7,691 |
28,082 |
4,029 |
503 |
40,305 |
| Total 31.12.2018 |
9,355 |
29,567 |
4,377 |
2,008 |
45,307 |
► Exposure at
default of securitisation transactions broken down by accounting classification
on- or off-balance sheet
| € million |
EAD Securitised at
31.12.2019 |
| Underlying Asset |
On BalanceSheet |
Off BalanceSheet |
Total |
| Securitisation |
880 |
38,089 |
38,969 |
| Residential real estate loans |
|
51 |
51 |
| Commercial real estate loans |
|
5 |
5 |
| Credit card loans |
|
|
|
| Leasing |
89 |
2,688 |
2,777 |
| Loans to corporates and SMEs |
|
5,467 |
5,467 |
| Personal loans |
|
3,236 |
3,237 |
| Trade receivables |
70 |
21,232 |
21,302 |
| Other |
720 |
5,410 |
6,130 |
| Re-securitisation |
1,329 |
7 |
1,336 |
| TOTAL |
2,209 |
38,096 |
40,305 |
► Securitised
exposures in banking book and associated regulatory capital requirements
- Bank acting as IRB and STD originator or sponsor (SEC3)
|
31.12.2019 |
|
Exposure values (by
RW bands) |
Exposure values (by regulatory
approach) |
| € million |
≤ 20% |
>20% to 50% |
>50% o 100% |
>100% to < 1,250% |
1,250% |
IRB RBA (including IAA) |
| 1 Total exposures |
37,202 |
397 |
327 |
10 |
1,374 |
29,841 |
| 2 Traditional securitisation |
30,909 |
397 |
327 |
5 |
1,330 |
29,841 |
| 3 Of which securitisation |
30,909 |
397 |
327 |
5 |
1 |
29,841 |
| 4 Of which retail underlying |
3,205 |
2 |
|
|
|
3,207 |
| 5 Of which wholesale |
27,703 |
395 |
327 |
5 |
|
26,634 |
| 6 Of which resecuritisation |
|
|
|
|
1,329 |
|
| 7 Of which senior |
|
|
|
|
1,329 |
|
| 8 Of which non-senior |
|
|
|
|
|
|
| 9 Synthetic securitisation |
6,294 |
|
|
4 |
44 |
|
| 10 Of which securitisation |
6,294 |
|
|
4 |
37 |
|
| 11 Of which retail underlying |
|
|
|
|
|
|
| 12 Of which wholesale |
6,294 |
|
|
4 |
37 |
|
| 13 Of which resecuritisation |
|
|
|
|
7 |
|
| 14 Of which senior |
|
|
|
|
7 |
|
| 15 Of which non-senior |
|
|
|
|
|
|
|
31.12.2019 |
|
Exposure values (by
regulatory approach) |
RWA (by regulatory
approach) |
| € million |
IRB SFA |
SA/SSFA |
1,250% |
IRB RBA (including IAA) |
IRB SFA |
SA/ SSFA |
| 1 Total exposures |
7,607 |
488 |
1,374 |
3,351 |
722 |
316 |
| 2 Traditional securitisation |
1,309 |
488 |
1,330 |
3,351 |
134 |
316 |
| 3 Of which securitisation |
1,309 |
488 |
1 |
3,351 |
134 |
316 |
| 4 Of which retail underlying |
|
|
|
243 |
|
|
| 5 Of which wholesale |
1,309 |
488 |
|
3,108 |
134 |
316 |
| 6 Of which resecuritisation |
|
|
1,329 |
|
|
|
| 7 Of which senior |
|
|
1,329 |
|
|
|
| 8 Of which non-senior |
|
|
|
|
|
|
| 9 Synthetic securitisation |
6,298 |
|
44 |
|
589 |
|
| 10 Of which securitisation |
6,298 |
|
37 |
|
589 |
|
| 11 Of which retail underlying |
|
|
|
|
|
|
| 12 Of which wholesale |
6,298 |
|
37 |
|
589 |
|
| 13 Of which resecuritisation |
|
|
7 |
|
|
|
| 14 Of which senior |
|
|
7 |
|
|
|
| 15 Of which non-senior |
|
|
|
|
|
|
|
31.12.2019 |
|
RWA (by regulatory approach) |
Capital charge after
cap |
| € million |
1,250% |
IRB RBA (including IAA) |
IRB SFA |
SA/ SSFA |
1,250% |
| 1 Total exposures |
529 |
268 |
58 |
25 |
42 |
| 2 Traditional securitisation |
313 |
268 |
11 |
25 |
25 |
| 3 Of which securitisation |
3 |
268 |
11 |
25 |
|
| 4 Of which retail underlying |
1 |
20 |
|
|
|
| 5 Of which wholesale |
3 |
248 |
11 |
25 |
|
| 6 Of which resecuritisation |
310 |
|
|
|
25 |
| 7 Of which senior |
310 |
|
|
|
25 |
| 8 Of which non-senior |
|
|
|
|
|
| 9 Synthetic securitisation |
215 |
|
47 |
|
17 |
| 10 Of which securitisation |
214 |
|
47 |
|
17 |
| 11 Of which retail underlying |
|
|
|
|
|
| 12 Of which wholesale |
214 |
|
47 |
|
17 |
| 13 Of which resecuritisation |
1 |
|
|
|
|
| 14 Of which senior |
1 |
|
|
|
|
| 15 Of which non-senior |
|
|
|
|
|
► Securitised
exposures in banking book and associated regulatory capital requirements
- Bank acting as IRB and STD investor (SEC4)
|
31.12.2019 |
|
Exposure values (by
RW bands) |
Exposure values (by regulatory
approach) |
| € million |
≤ 20% |
>20% to 50% |
>50% to 100% |
>100% to < 1,250% |
1,250% |
IRB RBA (including IAA) |
| 1 Total exposures |
428 |
66 |
501 |
|
|
934 |
| 2 Traditional securitisation |
428 |
66 |
501 |
|
|
934 |
| 3 Of which securitisation |
428 |
66 |
501 |
|
|
934 |
| 4 Of which retail underlying |
|
66 |
14 |
|
|
65 |
| 5 Of which wholesale |
428 |
|
487 |
|
|
869 |
| 6 Of which resecuritisation |
|
|
|
|
|
|
| 7 Of which senior |
|
|
|
|
|
|
| 8 Of which non-senior |
|
|
|
|
|
|
| 9 Synthetic securitisation |
|
|
|
|
|
|
| 10 Of which securitisation |
|
|
|
|
|
|
| 11 Of which retail underlying |
|
|
|
|
|
|
| 12 Of which wholesale |
|
|
|
|
|
|
| 13 Of which resecuritisation |
|
|
|
|
|
|
| 14 Of which senior |
|
|
|
|
|
|
| 15 Of which non-senior |
|
|
|
|
|
|
|
31.12.2019 |
|
Exposure values (by
regulatory approach) |
RWA (by regulatory
approach) |
| € million |
IRB SFA |
SA/ SSFA |
1,250% |
IRB RBA (including IAA) |
IRB SFA |
SA/ SSFA |
| 1 Total exposures |
47 |
15 |
|
403 |
3 |
10 |
| 2 Traditional securitisation |
47 |
15 |
|
403 |
3 |
10 |
| 3 Of which securitisation |
47 |
15 |
|
403 |
3 |
10 |
| 4 Of which retail underlying |
|
15 |
|
5 |
|
10 |
| 5 Of which wholesale |
47 |
|
|
398 |
3 |
|
| 6 Of which resecuritisation |
|
|
|
|
|
|
| 7 Of which senior |
|
|
|
|
|
|
| 8 Of which non-senior |
|
|
|
|
|
|
| 9 Synthetic securitisation |
|
|
|
|
|
|
| 10 Of which securitisation |
|
|
|
|
|
|
| 11 Of which retail underlying |
|
|
|
|
|
|
| 12 Of which wholesale |
|
|
|
|
|
|
| 13 Of which resecuritisation |
|
|
|
|
|
|
| 14 Of which senior |
|
|
|
|
|
|
| 15 Of which non-senior |
|
|
|
|
|
|
|
31.12.2019 |
|
RWA (by regulatory approach) |
Capital charge after
cap |
| € million |
1,250% |
IRB RBA (including IAA) |
IRB SFA |
SA/ SSFA |
1,250% |
| 1 Total exposures |
|
32 |
|
1 |
|
| 2 Traditional securitisation |
|
32 |
|
1 |
|
| 3 Of which securitisation |
|
32 |
|
1 |
|
| 4 Of which retail underlying |
|
0 |
|
1 |
|
| 5 Of which wholesale |
|
32 |
|
|
|
| 6 Of which resecuritisation |
|
|
|
|
|
| 7 Of which senior |
|
|
|
|
|
| 8 Of which non-senior |
|
|
|
|
|
| 9 Synthetic securitisation |
|
|
|
|
|
| 10 Of which securitisation |
|
|
|
|
|
| 11 Of which retail underlying |
|
|
|
|
|
| 12 Of which wholesale |
|
|
|
|
|
| 13 Of which resecuritisation |
|
|
|
|
|
| 14 Of which senior |
|
|
|
|
|
| 15 Of which non-senior |
|
|
|
|
|
♦ Exposure at
default of securitisation transactions in the trading book that generate
RWA
EXPOSURE AT DEFAULT
OF SECURITISATION TRANSACTIONS BY ROLE
► Securitisation
exposures in trading book (SEC2)
|
31.12.2019 |
|
Bank acts as originator |
Bank acts as sponsor |
| € million |
Traditional |
Synthetic |
Sub-total |
Traditional |
Synthetic |
Sub-total |
| 1 Securitisation |
|
|
|
|
|
|
| 2 Residential real estate loans |
|
|
|
|
|
|
| 3 Commercial real estate loans |
|
|
|
|
|
|
| 4 Credit card loans |
|
|
|
|
|
|
| 5 Leasing |
|
|
|
|
|
|
| 6 Loans to corporates and SMEs |
|
|
|
|
|
|
| 7 Personal loans |
|
|
|
|
|
|
| 8 Trade receivables |
|
|
|
|
|
|
| 9 Other |
|
|
|
|
|
|
| 10 Re-securitisation |
|
|
|
|
|
|
| 11 TOTAL 31.12.2019 |
|
|
|
|
|
|
| TOTAL 31.12.2018 |
|
|
|
|
|
|
|
31.12.2019 |
|
Banks acts as investor |
| € million |
Traditional |
Synthetic |
Sub-total |
| 1 Securitisation |
178 |
|
178 |
| 2 Residential real estate loans |
|
|
|
| 3 Commercial real estate loans |
|
|
|
| 4 Credit card loans |
|
|
|
| 5 Leasing |
|
|
|
| 6 Loans to corporates and SMEs |
|
|
|
| 7 Personal loans |
|
|
|
| 8 Trade receivables |
|
|
|
| 9 Other |
178 |
|
178 |
| 10 Re-securitisation |
19 |
|
19 |
| 11 TOTAL 31.12.2019 |
197 |
|
197 |
| TOTAL 31.12.2018 |
226 |
|
226 |
SECURITISATION
EXPOSURES RETAINED OR ACQUIRED IN THE TRADING BOOK BY APPROACH AND
BY WEIGHTING
► Securitisation
exposures retained or acquired in the trading book by approach and
by weighting
| € million |
31.12.2019 |
31.12.2018 |
| Risk weighting tranche |
Long Positions |
Short Positions |
Capital requirement |
Long Positions |
Short Positions |
Capital requirement |
| EAD subject to weighting |
|
|
|
|
|
|
| 7 - 10% weightings |
|
|
|
60 |
|
|
| 12 - 18% weightings |
138 |
|
1 |
113 |
|
|
| 20 - 35% weightings |
34 |
|
|
29 |
|
|
| 40 - 75% weightings |
5 |
|
|
|
|
|
| 100% weightings |
1 |
|
|
|
|
|
| 150% weightings |
|
|
|
|
|
|
| 200% weightings |
|
|
|
|
|
|
| 225% weightings |
|
|
|
|
|
|
| 250% weightings |
|
|
|
|
|
|
| 300% weightings |
|
|
|
|
|
|
| 350% weightings |
|
|
|
|
|
|
| 420% weightings |
|
|
|
|
|
|
| 500% weightings |
|
|
|
|
|
|
| 650% weightings |
|
|
|
|
|
|
| 750% weightings |
|
|
|
|
|
|
| 850% weightings |
|
|
|
|
|
|
| 1250% weightings |
19 |
|
3 |
24 |
|
5 |
| Internal valuation approach |
197 |
|
5 |
226 |
|
5 |
| Supervisory Formula Approach |
|
|
|
|
|
|
| Transparency Approach |
|
|
|
|
|
|
| NET TOTAL OF DEDUCTIONS OF EQUITY |
|
|
|
|
|
|
| 1250% / Positions deducted from capital |
|
|
|
|
|
|
| TOTAL TRADING PORTFOLIO |
197 |
|
5 |
226 |
|
5
|
CAPITAL REQUIREMENTS
RELATIVE TO SECURITISATIONS HELD OR ACQUIRED IN THE TRADING BOOK
► Capital requirements
relative to securitisations held or acquired in the trading
book
|
31.12.2019 |
31.12.2018 |
| € million |
Long Positions |
Short Positions |
Total weighted positions |
Capital requirement |
Long Positions |
Short Positions |
| Weighted EAD |
197 |
|
21 |
5 |
226 |
|
| Securitisation |
178 |
|
2 |
1 |
201 |
|
| Resecuririsation |
19 |
|
19 |
3 |
24 |
|
| Deductions |
|
|
|
|
|
|
|
31.12.2018 |
| € million |
Total weighted positions |
Capital requirement |
| Weighted EAD |
26 |
5 |
| Securitisation |
2 |
1 |
| Resecuririsation |
24 |
4 |
| Deductions |
|
|
3.4.4 Market risks
3.4.4.1 MARKET
RISK MEASUREMENT AND MANAGEMENT METHODOLOGY
The methodologies for measuring and supervising market risks in internal models
are
described in the Part "Risk management - Market risks - Methodology for measuring
and supervising market risks".
3.4.4.2 SETTLEMENT/DELIVERY
RISK IN THE TRADING BOOK
The rules for valuing the various items in the trading book are presented in Note
1.3 "Accounting policies and principles" of the notes to the financial statements.
The valuation models are subject to a periodic examination as described in the
Part
"Risk management - Market risks - Methodology for measuring and supervising market
risks".
3.4.4.3 EXPOSURE
TO THE TRADING BOOK'S MARKET RISK
♦ Risk weighted
assets using the standard method
► Risk weighted
assets using the standard method (MR1)
|
31.12.2019 |
31.12.2018 |
| € million |
RWA |
Capital requirement |
RWA |
Capital requirement |
| Futures and forwards |
1,250 |
100 |
1,247 |
100 |
| Interest rate risk (general and specific) |
81 |
6 |
136 |
11 |
| Risk on shares (general and specific) |
|
|
|
|
| Currency risk |
1,154 |
92 |
1,108 |
89 |
| Commodities risk |
15 |
1 |
4 |
|
| Options |
|
|
31 |
2 |
| Simplificated approach |
|
|
|
|
| Delta-plus method |
|
|
|
|
| Scenarios based approach |
|
|
31 |
2 |
| Securitisation |
59 |
5 |
68 |
5 |
| TOTAL |
1,309 |
105 |
1,346 |
108 |
♦ Exposures using
the internal model approach
RISK-WEIGHTED
ASSETS AND EQUITY CAPITAL REQUIREMENTS
► Market risk
in the internal model approach (MR2-A)
|
|
31.12.2019 |
31.12.2018 |
| € million |
|
RWA |
Minimum capital requirement |
RWA |
Minimum capital requirement |
| 1 |
VaR (higher of values a and b) |
1,743 |
139 |
798 |
64 |
| (a) |
Previous day's VaR (VaRt-1) |
|
30 |
|
14 |
| (b) |
Average of the daily VaR on each of the preceding sixty
business days (VaRavg) x multiplication
factor (mc)
|
|
139 |
|
64 |
| 2 |
SVaR (higher of values a and b) |
3,337 |
267 |
3,121 |
250 |
| (a) |
Latest SVaR (sVaRt-1) |
|
50 |
|
59 |
| (b) |
Average of the SVaR during the preceding sixty business
days (sVaRavg) X multiplication
factor (ms)
|
|
267 |
|
250 |
| 3 |
Incremental risk charge -IRC (higher of values a and
b) |
1,849 |
148 |
2,502 |
200 |
| (a) |
Most recent IRC value (incremental default and migration
risks section 3 calculated) |
|
65 |
|
193 |
| (b) |
Average of the IRC number over the preceding 12 weeks |
|
148 |
|
200 |
| 4 |
Comprehensive Risk Measure - CRM (higher of values a,
b and c) |
|
|
|
|
| (a) |
Most recent risk number for the correlation trading portfolio |
|
|
|
|
| (b) |
Average of the risk number for the correlation trading
portfolio over the preceding
12 weeks
|
|
|
|
|
| (c) |
Floor level |
|
|
|
|
| 5 |
TOTAL |
6,930 |
554 |
6,421 |
514 |
VALUES RESULTING
FROM THE USE OF INTERNAL MODELS
► Value of trading
book using the internal model approach (IMA) (MR3)
| € million |
|
31.12.2019 |
31.12.2018 |
| 1 |
VaR (10 days, 99%) |
|
|
| 2 |
Maximum value |
39 |
21 |
| 3 |
Mean value |
31 |
16 |
| 4 |
Minimum value |
21 |
12 |
| 5 |
End of period value |
30 |
14 |
| 6 |
VaR in stressed period (10 days, 99%) |
|
|
| 7 |
Maximum value |
75 |
78 |
| 8 |
Mean value |
59 |
62 |
| 9 |
Minimum value |
48 |
53 |
| 10 |
End of period value |
50 |
59 |
| 11 |
Capital requirement in line with IRC (99.9%) |
|
|
| 12 |
Maximum value |
300 |
236 |
| 13 |
Mean value |
114 |
154 |
| 14 |
Minimum value |
47 |
85 |
| 15 |
End of period value |
50 |
149 |
| 16 |
Capital requirement in line with CRM (99.9%) |
|
|
| 17 |
Maximum value |
|
|
| 18 |
Mean value |
|
|
| 19 |
Minimum value |
|
|
| 20 |
End of period value |
|
|
| 21 |
Floor (standard measure method) |
|
|
3.4.4.4 BACK TESTING
OF THE VAR (MR4) METHOD
The Backtesting process of the VaR model (Value at Risk) which controls the relevance
of the model, and the results of this Backtesting are present in Part 5 - Risk Management
- of the document..
3.4.5 Global interest
rate risk
The type of interest rate risk, the main underlying assumptions adopted and the
frequency
of interest rate risk measurements are described under "Risk management - Global interest
rate risks".
3.4.6 Operational
risk
3.4.6.1 METHODOLOGY
FOR CALCULATING EQUITY CAPITAL BY THE ADVANCED METHOD
The ACPR has since 1 January 2008 authorised Crédit Agricole CIB Group's main entities
to use the Advanced Measurement Approach (AMA) to calculate their regulatory capital
requirements for operational risk. The Group's other entities use the standardised
approach, in accordance with regulations.
The scope of application of the advanced and standard approaches and a description
of the advanced approach methodology are provided under "Risk management - Operational
risks - Methodology".
3.4.6.2 RISK MITIGATION
TECHNIQUES APPLIED TO THE OPERATIONAL RISK
The insurance techniques used to reduce operational risk are described under "Risk
management - Operational risks Insurance and risk coverage", page 179.
3.5 ENCUMBERED
ASSETS
Crédit Agricole CIB monitors and manages the level of its assets pledged as collateral.
At 31 December 2019, the ratio of encumbered assets to total assets was 28.16%.
On loans and receivables due from private customers, assets are pledged to obtain
refinancing under advantageous conditions or to constitute reserves that can easily
be made liquid if needed. Crédit Agricole CIB's policy seeks to diversify its refinancing
in order to better withstand liquidity stresses that may affect given markets differently
and to limit the number of assets pledged as collateral in order to conserve high-quality
unencumbered assets that can be easily liquidated through existing channels in the
event of stress.
The other sources of collateral are mainly pledged securities as well as cash (mainly
on margin calls):
| ― |
repos: outstandings of encumbered assets and collateral received
and reused in connection
with repos totaled €150 billion against €78 billion in December 2018, of which €142
billion in securities received as collateral and reused (composed of sovereign debt
in the proportion of 98%) out of €206 billion of collateral received. The strong increase
compared to 31 December 2018 mainly came from the un-netting of Repos (methodological
change applied since 30 September 2019);
|
| ― |
margin calls: margin calls represent outstandings of €27 billion,
primarily in connection
with the OTC derivatives activity.
|
► Use of encumbered
assets and collateral received
► Assets
(1)
|
Carrying amount of
encumbered assets |
Fair value of encumbered
assets |
Carrying amount of
unencumbered assets |
|
|
of which notionally eligible EHQLA
and HQLA |
|
of which notionally eligible EHQLA
and HQLA |
|
of which notionally eligible EHQLA
and HQLA |
| € million |
010 |
030 |
040 |
050 |
060 |
080 |
| 010 Assets of the reporting institution |
58,071 |
4,122 |
|
|
491,052 |
43,763 |
| 020 Demand loans |
|
|
|
|
56,915 |
|
| 030 Equity instruments |
2,292 |
|
2,292 |
|
5,506 |
|
| 040 Debt securities |
4,242 |
3,811 |
4,243 |
3,812 |
51,083 |
40,002 |
| 050 of which: covered bonds |
|
|
|
|
841 |
824 |
| 060 of which: asset-backed securities |
|
|
|
|
1,687 |
758 |
| 070 of which: issued by general governments |
3,379 |
3,362 |
3,379 |
3,363 |
27,942 |
27,568 |
| 080 of which: issued by financial corporations |
445 |
234 |
445 |
234 |
16,700 |
7,456 |
| 090 of which: issued by non-financial corporations |
214 |
99 |
214 |
99 |
4,823 |
1,551 |
| 100 Loans and receivables other than demand loans |
22,366 |
621 |
|
|
235,511 |
3,232 |
| 110 of which: mortgage loans |
|
|
|
|
3,179 |
|
| 120 Other assets |
27,098 |
|
|
|
141,316 |
|
|
Fair value of unencumbered
assets |
|
|
of which notionally eligible EHQLA
and HQLA |
| € million |
090 |
100 |
| 010 Assets of the reporting institution |
|
|
| 020 Demand loans |
|
|
| 030 Equity instruments |
5,309 |
|
| 040 Debt securities |
52,527 |
42,466 |
| 050 of which: covered bonds |
841 |
825 |
| 060 of which: asset-backed securities |
1,687 |
758 |
| 070 of which: issued by general governments |
32,874 |
31,367 |
| 080 of which: issued by financial corporations |
13,619 |
7,456 |
| 090 of which: issued by non-financial corporations |
4,823 |
1,551 |
| 100 Loans and receivables other than demand loans |
|
|
| 110 of which: mortgage loans |
|
|
| 120 Other assets |
|
|
(1)
On a quaterly basis, mediane of the 4 end of period values over the previous 12 month
period.
► Collateral received
(1)
|
|
|
Unencumbered |
|
|
Fair value of encumbered
collateral received or own debt securities issued |
Fair value of collateral
received or own debt securities issued available for encumbrance |
|
|
|
of which notionally eligible EHQLA
and HQLA |
|
of which notionally eligible EHQLA
and HQLA |
| € million |
|
010 |
030 |
040 |
060 |
| 130 |
Collateral received by the reporting institution |
109,102 |
97,793 |
44,167 |
28,278 |
| 140 |
Loans on demand |
|
|
|
|
| 150 |
Equity instruments |
713 |
|
2,596 |
|
| 160 |
Debt securities |
108,390 |
97,793 |
33,495 |
28,278 |
| 170 |
of which: covered bonds |
871 |
814 |
1,276 |
1,251 |
| 180 |
of which: asset-backed securities |
|
|
978 |
644 |
| 190 |
of which: issued by general governments |
96,260 |
88,557 |
17,363 |
15,152 |
| 200 |
of which: issued by financial corporations |
6,639 |
4,360 |
8,814 |
6,675 |
| 210 |
of which: issued by non-financial corporations |
3,877 |
2,628 |
1,999 |
1,961 |
| 220 |
Loans and advances other than loans on demand |
|
|
|
|
| 230 |
Other collateral received |
|
|
7,578 |
|
| 240 |
Own debt securities issued other than own covered bonds
or asset-backed securities |
|
|
|
|
| 250 |
Total assets, collateral received and own debt securities
issued |
167,174 |
101,915 |
|
|
► Encumbered assets/Securities
received and associated liabilities (1)
|
|
Matching liabilities, contingent
liabilities or securities lent |
Assets, collateral received and
own debt securities issued other than covered bonds
and ABSs encumbered
|
| € million |
|
010 |
030 |
| 010 |
Carrying amount of selected financial liabilities |
243,683 |
166,683 |
| 020 |
Derivatives |
115,588 |
26,607 |
| 040 |
Deposits |
131,257 |
139,825 |
| 090 |
Debt securities issued |
501 |
501 |
(1)
On a quaterly basis, mediane of the 4 end of period values over the previous 12 month
period.
3.6 LIQUIDITY
COVERAGE RATIO
3.6.1 Quantitative
information
| Scope of consolidation (solo/consolidated) |
|
Total unweighted
value (average) |
Total weighted value (average) |
| € million |
|
31.12.2019 |
30.09.2019 |
30.06.2019 |
31.03.2019 |
31.12.2019 |
| Number of data points used in the calculation of averages |
|
12 |
12 |
12 |
12 |
12 |
| High-quality liquid assets |
|
|
|
|
|
|
| 1 |
Total high-quality liquid assets (HQLA) |
|
|
|
|
108,045 |
| Cash-outflows |
|
|
|
|
|
|
| 2 |
Retail deposits and deposits from small business customers,
of which: |
11,062 |
10,814 |
10,342 |
10,218 |
1,646 |
| 3 |
Stable deposits |
|
|
|
|
|
| 4 |
Less stable deposits |
11,062 |
10,814 |
10,342 |
10,218 |
1,646 |
| 5 |
Unsecured wholesale funding |
128,939 |
127,875 |
112,573 |
112,934 |
73,604 |
| 6 |
Operational deposits (all counterparties) and deposits
in networks of cooperative
banks
|
18,158 |
16,456 |
11,617 |
11,503 |
4,540 |
| 7 |
Non-operational deposits (all counterparties) |
101,744 |
102,669 |
9,286 |
91,172 |
60,027 |
| 8 |
Unsecured debt |
9,038 |
8,750 |
7,164 |
10,259 |
9,038 |
| 9 |
Secured wholesale funding |
|
|
|
|
11,151 |
| 10 |
Additional requirements |
120,487 |
119,337 |
107,459 |
107,211 |
30,812 |
| 11 |
Outflows related to derivative exposures and other collateral
requirements |
7,276 |
6,859 |
5,906 |
6,946 |
4,244 |
| 12 |
Outflows related to loss of funding on debt products |
|
|
|
|
|
| 13 |
Credit and liquidity facilities |
113,211 |
112,478 |
101,553 |
100,265 |
26,568 |
| 14 |
Other contractual funding obligations |
25,445 |
23,659 |
26,217 |
22,920 |
1,129 |
| 15 |
Other contingent funding obligations |
47,792 |
47,360 |
42,398 |
42,676 |
773 |
| 16 |
TOTAL CASH OUTFLOWS |
|
|
|
|
119,116 |
| Cash-inflows |
|
|
|
|
|
|
| 17 |
Secured lending (eg reverse repos) |
132,981 |
128,641 |
100,053 |
92,606 |
6,434 |
| 18 |
Inflows from fully performing exposures |
23,381 |
22,257 |
20,313 |
19,386 |
17,977 |
| 19 |
Other cash inflows |
1,498 |
1,606 |
2,187 |
2,105 |
1,498 |
| EU-19a |
(Difference between total weighted inflows and total
weighted outflows arising from
transactions in third countries where there are transfer restrictions or which are
denominated in non-convertible currencies)
|
|
|
|
|
|
| EU-19b |
(Excess inflows from a related specialised credit institution) |
|
|
|
|
|
| 20 |
TOTAL CASH INFLOWS |
157,861 |
152,504 |
122,553 |
114,097 |
25,910 |
| EU-20a |
Fully exempt inflows |
|
|
|
|
|
| EU-20b |
Inflows Subject to 90% Cap |
|
|
|
|
|
| EU-20c |
Inflows Subject to 75% Cap |
147,307 |
144,258 |
115,718 |
105,833 |
25,910 |
| 21 |
Liquidity buffer |
|
|
|
|
108,045 |
| 22 |
Total net cash flows |
|
|
|
|
93,206 |
| 23 |
Liquidity Coverage Ratio (%) |
|
|
|
|
115.92% |
| Scope of consolidation (solo/consolidated) |
|
Total weighted value
(average) |
| € million |
|
30.09.2019 |
30.06.2019 |
31.03.2019 |
| Number of data points used in the calculation of averages |
|
12 |
12 |
12 |
| High-quality liquid assets |
|
|
|
|
| 1 |
Total high-quality liquid assets (HQLA) |
109,253 |
103,223 |
103,848 |
| Cash-outflows |
|
|
|
|
| 2 |
Retail deposits and deposits from small business customers,
of which: |
1,614 |
1,551 |
1,523 |
| 3 |
Stable deposits |
|
|
|
| 4 |
Less stable deposits |
1,614 |
1,551 |
1,523 |
| 5 |
Unsecured wholesale funding |
74,391 |
68,879 |
71,606 |
| 6 |
Operational deposits (all counterparties) and deposits
in networks of cooperative
banks
|
4,114 |
2,904 |
2,876 |
| 7 |
Non-operational deposits (all counterparties) |
61,526 |
58,811 |
58,471 |
| 8 |
Unsecured debt |
8,750 |
9,529 |
10,259 |
| 9 |
Secured wholesale funding |
10,352 |
6,216 |
5,704 |
| 10 |
Additional requirements |
30,537 |
29,500 |
30,102 |
| 11 |
Outflows related to derivative exposures and other collateral
requirements |
4,302 |
5,496 |
6,465 |
| 12 |
Outflows related to loss of funding on debt products |
|
|
|
| 13 |
Credit and liquidity facilities |
26,235 |
24,004 |
23,637 |
| 14 |
Other contractual funding obligations |
1,190 |
974 |
798 |
| 15 |
Other contingent funding obligations |
334 |
397 |
404 |
| 16 |
TOTAL CASH OUTFLOWS |
118,417 |
109,882 |
110,137 |
| Cash-inflows |
|
|
|
|
| 17 |
Secured lending (eg reverse repos) |
5,967 |
4,577 |
4,673 |
| 18 |
Inflows from fully performing exposures |
16,789 |
16,446 |
15,959 |
| 19 |
Other cash inflows |
1,606 |
2,187 |
2,105 |
| EU-19a |
(Difference between total weighted inflows and total
weighted outflows arising from
transactions in third countries where there are transfer restrictions or which are
denominated in non-convertible currencies)
|
|
|
|
| EU-19b |
(Excess inflows from a related specialised credit institution) |
|
|
|
| 20 |
TOTAL CASH INFLOWS |
24,362 |
23,210 |
22,737 |
| EU-20a |
Fully exempt inflows |
|
|
|
| EU-20b |
Inflows Subject to 90% Cap |
|
|
|
| EU-20c |
Inflows Subject to 75% Cap |
24,362 |
23,210 |
22,737 |
|
|
|
Total adjusted value |
| 21 |
Liquidity buffer |
109,253 |
103,223 |
103,848 |
| 22 |
Total net cash flows |
94,056 |
86,672 |
87,400 |
| 23 |
Liquidity Coverage Ratio (%) |
116.16% |
119.00% |
118.82% |
3.6.2 Qualitative
information
| Concentration of funding and liquidity sources |
Crédit Agricole CIB implements an active policy of diversifying
its sources of financing
with a diversified market via multi-format issue programmes for various geographical
areas.
|
| Derivative exposures and potential collateral calls |
The cash outflows relating to this item primarily reflect
the contingent risk of increasing
margin calls:
|
|
- on derivative transactions in an adverse market scenario; |
|
- following a downgrade in the Crédit Agricole CIB Group's
external rating. |
| Currency mismatch in the LCR |
Residual asymmetries, which can be observed in some currencies,
are limited in size.
Moreover, the surplus of high-quality liquid assets available in the major currencies
can be easily converted to cover these needs, including in a crisis situation.
|
| A description of the degree of centralisation of liquidity
management and interaction
between the group's units
|
The Treasury Department is responsible for the overall
daily management of the Crédit
Agricole CIB Group's short-term funding. Within each cost centre, the Treasurer is
responsible for managing the funding activities within the allocated limits. He reports
to the Crédit Agricole CIB Treasurer and the local Assets and Liabilities Committee.
|
|
The Control department is responsible for supervising
the requirements of the business
lines and the overall supervision of liquidity risk within the risk framework validated
by the Board of Directors. The operational management of long-term refinancing is
delegated to the ALM/ Execution department.
|
| Other items in the LCR calculation that are not captured
in the LCR disclosure template
but that the institution considers relevant for its liquidity profile
|
In addition to the LCR surplus observed at 31 December
2019, Crédit Agricole CIB has
nonHQLA reserves that can be made liquid on the market and reserves that can be mobilized
in Central banks, including €2,2 billion in eligible receivables as of 31 December
2019.
|
3.7 COMPENSATION
POLICY
The information on the compensation policy required pursuant to EU Regulation 575-2013
(CRR) can be found in Chapter 3 of this Registration Document.
3.8 CROSS-REFERENCE
TABLES
► EDTF Cross-reference
table
|
|
|
2019 Universal Registration
Document |
|
|
Recommendation |
Management report and other |
Risk factors and Risk management |
Pillar 3 |
Consolidated financial statements |
| Introduction |
1 |
Cross-reference table |
|
|
P 260 |
|
|
2 |
Risk terminology and management, key parameters used |
|
P 134 to 184 |
P 213 and P 227 to 236 |
P 276 to 292, 294 to 321 |
|
3 |
Presentation of main risks and/or emerging risks |
|
P 134 to 184 |
|
P 294 to 321 |
|
4 |
New solvency regulatory framework and Group targets |
|
P 176 to 178 |
P. 188 to 193 |
|
| Governance and risk management strategy |
5 |
Organisation of risk control and management |
P 76 to 82 |
P. 144 to 157 |
|
|
|
6 |
Risk management strategy and implementation |
P 76 to 82 |
P. 134 to 184, P. 148 to 157 |
P. 190 to 205 |
|
|
7 |
Risk mapping by business line |
|
|
|
|
|
8 |
Governance and management of internal credit and market
stress testing |
|
P 144 to 146, P 162 to 163 |
P 188 |
|
| Capital Requirements and risk-weighted assets |
9 |
Minimal capital requirements |
|
|
P 190 to 193 |
|
|
10a |
breakdown of composition of capital |
|
|
P.197 to 199 |
|
|
10b |
reconciliation of the balance sheet and prudential balance
sheet and accounting equity
and regulatory
|
|
|
P 189 to 199, 204 |
|
|
11 |
Changes in regulatory capital |
|
|
P 197 to 199 |
|
|
12 |
capital trajectory and CRD 4 ratio objectives |
|
|
P 190 to 205 |
|
|
13 |
Risk-weighted assets by type of risk |
|
|
P 211 to 227 |
|
|
14 |
Risk-weighted assets and capital requirements by method
and type of exposure |
|
|
P 211 to 227 |
|
|
15 |
Credit risk exposure by category and internal ratings |
|
P 157 to 161, 165 |
P. 213 to 246 |
|
|
16 |
Changes in risk-weighted assets by type of risk |
|
|
P 211 to 212 |
|
|
17 |
Description of backtesting models and their reliability |
|
P 158 and 169 to 171 |
P. 237 |
|
| Liquidity |
18 |
Liquidity management |
|
P 176 to 178 |
P. 257 to 258 |
|
|
19 |
Encumbered assets |
|
|
P 255 to 256 |
|
|
20 |
Breakdown of financial assets and liabilities by contractual
maturity |
|
|
|
P 314 to 316, 354 |
| Market risks |
21 |
Management of liquidity and funding risk |
|
P 176 to 178 |
P. 257 to 258 |
|
|
22 to 24 |
Market risk measurement |
|
P 168 to 174 |
P. 253 to 254 |
P 276 to 292, P 284 to 313, P 360 to 369 |
|
25 |
Market risk management techniques |
|
P 168 to 174 |
|
|
| Credit risk |
26 |
Maximum exposure, breakdown and diversification of credit
risks |
|
P 157 to 167 |
P 213 to 246 |
P. 294 to 321 |
|
27 and 28 |
Provisioning and risk hedging policy |
|
P 166 to 167 |
|
P 276 to 292, 325 |
|
29 |
derivative instruments: notional,counterparty risk, offsetting |
|
P 157 to 167, P 166 to 167, P 163, P 178 |
P 238 to 246 |
P 285, P 310 to 314, P 343 to 344, P 363 |
|
30 |
Credit risk mitigation mechanisms |
|
P 163 |
P. 244 to 245 |
P 359 |
| Operational and legal risks |
31 |
Other risks: insurance sector, operational, legal, IT
systems, business continuity
plans
|
P 76 to 82 |
P 134 to 143, P. 175 to 182 |
|
|
|
32 |
Stated risks and on-going actions with respect to operational
and legal risks |
|
P 179 to 184 |
|
P 349 to 351 |
► Pillar 3 cross-reference
table (CRR AND CRD IV)
| Article CRR |
Theme |
2019 Universal Registration Document |
Pages |
| 90 (CRD IV) |
Return on assets |
Undisclosed information |
|
| 435 (CRR) |
1. Risk management objectives and policies |
Presentation of Committees - Corporate governance Organisation
of the Risk function
Risk Committee
|
P. 76 to 82 P. 144 to 147 |
| 436 (a) (b) |
2. Scope of application |
Financial statements Note 11.2 Pillar 3 |
P.189, 204 and 206 P. 372 to 375 |
| 436 (c) (d) (e) (CRR) |
2. Scope of application |
Information not published |
|
| 437 (CRR) |
3. Own funds |
Reconciliation of accounting and regulatory capital Deeply
subordinated notes and
preferred shares
|
P. 199 P. 195 to 196 |
| 438 (CRR) |
4. Capital requirements |
Risk weighted assets by type of risk and evolution Overview
- Exposure by type of
risk
|
P. 211 to 212 |
| 439 (CRR) |
5. Exposure to counterparty credit risk |
Credit risk Counterparty risk |
P. 213 to 245 |
| 440 (CRR) |
6. Capital buffers |
Pillar 1 and 2 minimum capital requirements and exposures
by geographic area |
P. 190 to 191 P. 216 to 217 |
| 441 (CRR) |
7. Indicators of global systemic importance |
N/A |
|
| 442 (CRR) |
8. Credit risk adjustments |
credit and counterparty risk mitigation techniques |
P. 221 to 227 |
| 443 (CRR) |
9. Encumbered assets |
Encumbered assets |
P. 255 to 256 |
| 444 (CRR) |
10. Use of ECAIs |
Insurance providers |
P. 244 to 255 |
| 445 (CRR) |
11. Exposure to market risk |
Exposure to the trading book's market risk |
P. 253 to 254 |
| 446 (CRR) |
12. Operational risk |
Operational risk |
P. 179 and 254 |
| 447 (CRR) |
13. Exposures in equities not included in the trading
book |
Exposures to equities included in the banking book |
P. 213 to 214, P. 245 to 246 |
| 448 (CRR) |
14. Exposures to interest rate risk on positions not
included in the trading book |
Global interest rate risk - Risk management |
P. 154, 175 to 176 and P. 254 |
| 449 (CRR) |
15. Exposure to securitisation positions |
Securitisation - Pillar 3 |
P. 246 to 252 |
| 450 (CRR) |
16. Compensation policy |
Compensation policy - Corporate governance (chapter.
3) |
P. 105 to 111 and P. 258 |
| 451 (CRR) |
17. Leverage |
Leverage ratio |
P. 200 to 202 |
| 452 (CRR) |
18. Use of the IRB Approach for credit risk |
Credit risk under IRB approach |
P. 231 to 237 |
| 453 (CRR) |
19. Use of credit risk mitigation techniques |
Credit risk mitigation mechanism |
P. 163, P. 244 to 245 |
| 454 (CRR) |
20. Use of the Advanced Measurement approaches for operational
risk |
Operational risk |
P. 179 and 254 |
| 455 (CRR) |
21. Use of internal market risk models |
Exposures capital requirements under the internal models
approach |
P. 253 to 254 |
6 CONSOLIDATED
FINANCIAL STATEMENTS AT31DECEMBER 2019
Approved by the
Board of Directors on February 12th 2020 and submitted for approval
by the Ordinary General Meeting of 4th May 2020
€ 1,553 M
NET INCOME GROUP SHARE
€ 22,147 M
TOTAL EQUITY
€ 5,459 M
NET BANKING INCOME
€ 552,743 M
TOTAL ASSETS
123
NUMBER OF CONSOLIDATED ENTITIES
The consolidated financial statements consist of the general framework, the consolidated
financial statements and the notes to the consolidated financial statements.
1. GENERAL BACKGROUND
1.1 LEGAL PRESENTATION
OF CRÉDIT AGRICOLE CORPORATE AND INVESTMENT BANK
CORPORATE NAME
Crédit Agricole Corporate and Investment Bank.
TRADING NAMES
Crédit Agricole Corporate and Investment Bank - Crédit Agricole CIB - CACIB.
ADDRESS OF THE
REGISTERED OFFICE
12, place des États-Unis
CS 70052
92547 Montrouge Cedex
France
REGISTRATION NUMBER
304 187 701, Nanterre Trade and Companies Registry.
NAF CODE
6419 Z (APE).
LEI CODE (LEGAL
ENTITY IDENTIFIER)
1VUV7VQFKUOQSJ21A208.
LEGAL FORM
Crédit Agricole Corporate and Investment Bank is a Public Limited Company (Société
Anonyme) under French law (with a Board of Directors) governed by the laws and regulations
applicable to credit institutions and French Public Limited Companies, as well as
by its Articles of Association.
Since December 2011, Crédit Agricole Corporate and Investment Bank is affiliated
with
Crédit Agricole according to the French Monetary and Financial code.
SHARE CAPITAL
€7,851,636,342.
CORPORATE PURPOSE
(ART. 3 OF THE COMPANY'S ARTICLES OF ASSOCIATION)
The Company's purpose, in France and abroad, is:
| ― |
to carry out all banking and financial operations, and notably:
| ― |
the receipt of funds, the grant of loans, advances, credit, financing,
guarantees,
the implementation of deposits, payments, recoveries;
|
| ― |
financial advice and particularly regarding financing, debt,
subscription, issue,
investment, acquisition, disposal, merger, restructuring;
|
| ― |
the custody, management, purchase, sale, exchange, brokerage
and arbitrage of all
securities, company rights, financial products, derivatives, currencies, commodities,
precious metals and other securities of any kind;
|
|
| ― |
the provision of all investment services and related services
within the meaning of
the French Monetary and Financial Code and any subsequent text;
|
| ― |
to create and participate in any businesses, groupings, companies
from contributions,
subscription, purchase of shares or company rights, merger, or in any other manner;
|
| ― |
to carry out all commercial, industrial, securities or real estate
transactions connected
directly or indirectly to any or all of the above purposes or all similar or related
purposes;
|
| ― |
all for itself or on behalf of third parties or as a participating
member, and in
whatever form.
|
1.2 SYNTHETIC
GROUP ORGANISATION
1.3 RELATED PARTIES
Parties related to Crédit Agricole CIB are companies of the Crédit Agricole S.A.
Group,
companies of the Crédit Agricole CIB Group that are fully or proportionately consolidated,
and the senior executives of the Group.
Relations with
Crédit Agricole S.A. Group
On-and off-balance sheet amounts representing transactions between the Crédit Agricole
CIB Group and the rest of the Crédit Agricole S.A. Group are summarised in the following
table:
| Outstandings (€ million) |
31.12.2019 |
| Assets |
|
| Loans and advances |
7,619 |
| Derivatives financial instruments held for trading |
22,361 |
| Liabilities |
|
| Accounts and deposits |
18,959 |
| Derivatives financial instruments held for trading |
22,269 |
| Subordinated debts |
4,982 |
| Preferred shares |
|
| Financing and guarantee commitments |
|
| Other guarantees given |
1,054 |
| Counter-guarantees received |
2,408 |
| Other guarantees received |
|
| Refinancing agreements received |
|
The outstandings on loans and unsettled accounts represent the cash flow between
Crédit
Agricole CIB and Crédit Agricole Group.
The outstandings of derivative instruments held for trading mainly represent Crédit
Agricole Group interest rate hedging transactions arranged by Crédit Agricole CIB
in the market.
Crédit Agricole CIB, which is 99.9% owned by Crédit Agricole Group since 27 December
1996, and some of its subsidiaries are part of Crédit Agricole S.A.'s tax consolidation
group.
In this regard, Crédit Agricole S.A. compensates the Crédit Agricole CIB sub-group
for any potential tax losses, which are charged against Crédit Agricole Group's taxable
income.
Relations between
consolidated companies of Crédit Agricole CIB Group
A list of the Crédit Agricole CIB Group's consolidated companies can be found in
Note
13.
Transactions realised between two fully consolidated entities are fully eliminated.
Outstandings at year-end between fully consolidated companies and equity consolidated
companies are not eliminated in the Group's consolidated financial statements.
As at 31 December 2019, the non-netted and off-balance sheet outstandings reported
by Crédit Agricole CIB and its affiliates UBAF and Elipso are:
Outstandings (€ million)
|
31.12.2019 |
| Assets |
|
| Loans and advances |
|
| Derivatives financial instruments held for trading |
1 |
| Liabilities |
|
| Accounts and deposits |
5 |
| Derivatives financial instruments held for trading |
14 |
| Financing and guarantee commitments |
|
| Other guarantees given |
29 |
| Counter-guarantees received |
|
Relations with
senior management
Detailed information on senior management compensation is provided in Note 7.7
"Executive
officers' compensation".
2. CONSOLIDATED
FINANCIAL STATEMENTS
2.1 INCOME STATEMENT
| € million |
Notes |
31.12.2019 |
31.12.2018 |
| Interest and similar income |
4.1 |
6,984 |
6,215 |
| Interest and similar expenses |
4.1 |
(4,288) |
(3,758) |
| Fee and commission income |
4.2 |
1,547 |
1,581 |
| Fee and commission expenses |
4.2 |
(708) |
(624) |
| Net gains (losses) on financial instruments at fair value
through profit or loss |
4.3 |
1,832 |
1,774 |
| Net gains (losses) on held for trading assets/liabilities |
|
3,503 |
540 |
| Net gains (losses) on other financial assets/liabilities
at fair value through profit
or loss
|
|
(1,671) |
1,234 |
| Net gains (losses) on financial instruments at fair value
through other comprehensive
income
|
4.4 |
88 |
92 |
| Net gains (losses) on debt instruments at fair value
through other comprehensive income
that may be reclassified subsequently to profit or loss
|
|
1 |
|
| Remuneration of equity instruments measured at fair value
through other comprehensive
income that will not be reclassified subsequently to profit or loss (dividends)
|
|
87 |
92 |
| Net gains (losses) arising from the derecognition of
financial assets at amortised
cost
|
4.5 |
(17) |
(1) |
| Net gains (losses) arising from the reclassification
of financial assets at amortised
cost to financial assets at fair value through profit or loss
|
|
|
|
| Net gains (losses) arising from the reclassification
of financial assets at fair value
through other comprehensive income to financial assets at fair value through profit
or loss
|
|
|
|
| Income on other activities |
4.6 |
79 |
94 |
| Expenses on other activities |
4.6 |
(58) |
(97) |
| Revenues |
|
5,459 |
5,276 |
| Operating expenses |
4.7 |
(3,226) |
(3,235) |
| Depreciation, amortisation and impairment of property,
plant & equipment and intangible
assets
|
4.8 |
(196) |
(86) |
| Gross operating income |
|
2,037 |
1,955 |
| Cost of risk |
4.9 |
(165) |
55 |
| Operating income |
|
1,872 |
2,010 |
| Share of net income of equity-accounted entities |
|
4 |
|
| Net gains (losses) on other assets |
4.10 |
51 |
|
| Change in value of goodwill |
6.7 |
|
|
| Pre-tax income |
|
1,927 |
2,010 |
| Income tax charge |
4.11 |
(355) |
(525) |
| Net income from discontinued operations |
|
|
|
| Net income |
|
1,572 |
1,485 |
| Non-controlling interests |
6.18 |
19 |
6 |
| NET INCOME GROUP SHARE |
|
1,553 |
1,479 |
| Earnings per share (in euros) 1 |
6.17 |
4.46 |
4.44 |
| Diluted earnings per share (in euros) 1 |
6.17 |
4.46 |
4.44 |
1
Corresponds to income including net income from discontinued operations.
2.2 NET INCOME
AND OTHER COMPREHENSIVE INCOME
| € million |
Notes |
31.12.2019 |
31.12.2018 |
| Net income |
|
1,572 |
1,485 |
| Actuarial gains and losses on post-employment benefits |
4.12 |
(90) |
52 |
| Other comprehensive income on financial liabilities attributable
to changes in own
credit risk 1 |
4.12 |
(67) |
368 |
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss 1 |
4.12 |
36 |
264 |
| Pre-tax other comprehensive income on items that will
not be reclassified to profit
or loss excluding equity-accounted entities
|
4.12 |
(121) |
684 |
| Pre-tax other comprehensive income on items that will
not be reclassified to profit
or loss on equity-accounted entities
|
4.12 |
|
|
| Income tax related to items that will not be reclassified
to profit or loss excluding
equity-accounted entities
|
4.12 |
45 |
(262) |
| Income tax related to items accounted that will not be
reclassified to profit or loss
on equity-accounted entities
|
4.12 |
|
|
| Other comprehensive income on items that will not be
reclassified to profit or loss
on entities from discontinued operations
|
4.12 |
|
|
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss net of income tax
|
4.12 |
(76) |
422 |
| Gains and losses on translation adjustments |
4.12 |
129 |
148 |
| Other comprehensive income on debt instruments that may
be reclassified to profit
or loss
|
4.12 |
3 |
(40) |
| Gains and losses on hedging derivative instruments |
4.12 |
229 |
(109) |
| Pre-tax other comprehensive income on items that may
be reclassified to profit or
loss excluding equity-accounted entities
|
4.12 |
361 |
(1) |
| Pre-tax other comprehensive income on items that may
be reclassified to profit or
loss on equity-accounted entities, Group Share
|
4.12 |
(3) |
(1) |
| Income tax related to items that may be reclassified
to profit or loss excluding equity-accounted
entities
|
4.12 |
(80) |
47 |
| Income tax related to items that may be reclassified
to profit or loss on equity-accounted
entities
|
4.12 |
|
|
| Other comprehensive income on items that may be reclassified
to profit or loss on
entities from discontinued operations
|
4.12 |
|
|
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss net of income tax
|
4.12 |
278 |
45 |
| OTHER COMPREHENSIVE INCOME NET OF INCOME TAX |
4.12 |
202 |
467 |
| NET INCOME AND OTHER COMPREHENSIVE INCOME |
|
1,774 |
1,952 |
| Of which Group share |
|
1,757 |
1,951 |
| Of which non-controlling interests |
|
17 |
1 |
1
Amount of items that will not be reclassified in profit and loss transferred to reserves.
(see Note 4.12).
2.3 BALANCE SHEET
ASSETS
| € million |
Notes |
31.12.2019 |
31.12.2018 |
| Cash, central banks |
6.1 |
58,257 |
46,538 |
| Financial assets at fair value through profit or loss |
3.1 - 6.2 - 6.6 - 6.7 |
249,790 |
240,774 |
| Financial assets held for trading |
|
249,068 |
240,560 |
| Other financial instruments at fair value through profit
or loss |
|
722 |
214 |
| Hedging derivative Instruments |
3.1 - 3.2 - 3.4 |
1,550 |
965 |
| Financial assets at fair value through other comprehensive
income |
3.1 - 6.4 - 6.6 - 6.7 |
9,641 |
11,362 |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
|
8,883 |
9,700 |
| Equity instruments at fair value through other comprehensive
income that will not
be reclassified to profit or loss
|
|
758 |
1,662 |
| Financial assets at amortised cost |
3.1 - 3.3 - 6.5 - 6.6 - 6.7 |
197,440 |
181,371 |
| Loans and receivables due from credit institutions |
|
15,996 |
19,172 |
| Loans and receivables due from customers |
|
143,864 |
134,302 |
| Debt securities |
|
37,580 |
27,897 |
| Revaluation adjustment on interest rate hedged portfolios |
|
1 |
2 |
| Current and deferred tax assets 1 |
6.10 |
1,117 |
1,145 |
| Accruals, prepayments and sundry assets |
6.11 |
32,541 |
27,862 |
| Non-current assets held for sale and discontinued operations |
|
|
|
| Investments in equity-accounted entities |
6.12 |
|
|
| Investment property |
|
1 |
1 |
| Property, plant and equipment 1 |
6.13 |
999 |
356 |
| Intangible assets 1 |
6.13 |
362 |
301 |
| Goodwill |
6.14 |
1,044 |
1,025 |
| TOTAL ASSETS |
|
552,743 |
511,702 |
|
LIABILITIES
|
|
|
|
| € million |
Notes |
31.12.2019 |
31.12.2018 |
| Central banks |
6.1 |
1,812 |
877 |
| Financial liabilities at fair value through profit or
loss |
6.2 |
254,776 |
234,880 |
| Held for trading financial liabilities |
|
224,789 |
208,156 |
| Financial liabilities designated at fair value through
profit or loss |
|
29,987 |
26,724 |
| Hedging derivative Instruments |
3.2 - 3.4 |
1,334 |
1,067 |
| Financial liabilities at amortised cost |
|
235,289 |
222,353 |
| Due to credit institutions |
3.3 - 6.8 |
44,646 |
47,302 |
| Due to customers |
3.1 - 3.3 - 6.8 |
133,352 |
123,510 |
| Debt securities |
3.2 - 3.3 - 6.8 |
57,291 |
51,541 |
| Revaluation adjustment on interest rate hedged portfolios |
|
37 |
5 |
| Current and deferred tax liabilities 1 |
6.10 |
2,393 |
1,959 |
| Accruals, prepayments and sundry liabilities 1 |
6.11 |
28,543 |
23,487 |
| Liabilities associated with non-current assets held for
sale and discontinued operations |
|
|
|
| Insurance compagny technical reserves |
|
8 |
10 |
| Provisions 2 |
6.15 |
1,422 |
1,679 |
| Subordinated debt |
6.16 |
4,982 |
4,959 |
| Total Liabilities |
|
530,596 |
491,276 |
| Equity |
|
22,147 |
20,426 |
| Equity - Group share |
|
22,032 |
20,308 |
| Share capital and reserves |
|
13,574 |
12,860 |
| Consolidated reserves |
|
6,527 |
5,795 |
| Other comprehensive income |
|
378 |
174 |
| Other comprehensive income on discontinued operations |
|
|
|
| Net income (loss) for the year |
|
1,553 |
1,479 |
| Non-controlling interests |
|
115 |
118 |
| TOTAL LIABILITIES AND EQUITY |
|
552,743 |
511,702 |
1
See note 12 "Impacts of accounting changes or other events" on the impacts of the
first-time application of IFRS 16 Leases at 1 January 2019.
2
Impacts of the first-time application of IFRIC 23 on the reclassification of provisions
for fiscal risks relating to income taxes under "Current and deferred tax liabilities".
2.5 STATEMENT
OF CHANGES IN EQUITY
|
Group share |
|
Share and capital
reserves |
Other comprehensive income |
| € million |
Share capital |
Share premium and consolidated
reserves |
Elimination of treasury shares |
Other equity instruments |
Total capital and consolidated
reserves |
Other comprehensive income on items
that may be reclassified to profit and loss |
| Equity at 1st January 2018 Publised |
7,852 |
8,832 |
|
2,107 |
18,791 |
454 |
| Impacts of new accounting standards |
|
328 |
|
|
328 |
36 |
| Equity at 1st January 2018 |
7,852 |
9,160 |
|
2,107 |
19,119 |
490 |
| Capital increase |
|
|
|
|
|
|
| Changes in treasury shares held |
|
|
|
|
|
|
| Issuance of equity instruments |
|
|
|
1,000 |
1,000 |
|
| Remuneration of undated deeply subordinated notes |
|
|
|
(190) |
(190) |
|
| Dividends paid in 2018 |
|
(1,236) |
|
|
(1,236) |
|
| Dividends received from Regional Banks and subsidiaries |
|
|
|
|
|
|
| Impact of acquisitions/disposals on non-controlling interests |
|
(14) |
|
|
(14) |
|
| Changes due to share-based payments |
|
|
|
|
|
|
| Changes due to transactions with shareholders |
|
(1,250) |
|
810 |
(440) |
|
| Changes in other comprehensive income |
|
(72) |
|
|
(72) |
47 |
| Of which other comprehensive income on equity instruments
that will not be reclassified
to profit or loss reclassified to consolidated reserves
|
|
(60) |
|
|
(60) |
|
| Of which other comprehensive income attributable to changes
in own credit risk reclassified
to consolidated reserves
|
|
(12) |
|
|
(12) |
|
| Share of changes in equity-accounted entities |
|
|
|
|
|
(1) |
| Net income for 2018 |
|
|
|
|
|
|
| Other variations |
|
48 |
|
|
48 |
|
| Equity at 31 December 2018 |
7,852 |
7,886 |
|
2,917 |
18,655 |
536 |
| Appropriation of 2018 net income |
|
1,479 |
|
|
1,479 |
|
| Equity at 1st January 2019 |
7,852 |
9,365 |
|
2,917 |
20,134 |
536 |
| Impacts of new accounting standards |
|
|
|
|
|
|
| Equity at 1st January 2019 Restated |
7,852 |
9,365 |
|
2,917 |
20,134 |
536 |
| Capital increase |
|
|
|
|
|
|
| Changes in treasury shares held |
|
|
|
|
|
|
| Issuance of equity instruments |
|
|
|
714 |
714 |
|
| Remuneration of undated deeply subordinated notes |
|
|
|
(257) |
(257) |
|
| Dividends paid in 2019 |
|
(489) |
|
|
(489) |
|
| Dividends received from Regional Banks and subsidiaries |
|
|
|
|
|
|
| Impact of acquisitions/disposals on non-controlling interests |
|
(1) |
|
|
(1) |
|
| Changes due to share-based payments |
|
|
|
|
|
|
| Changes due to transactions with shareholders |
|
(490) |
|
457 |
(33) |
|
| Changes in other comprehensive income |
|
32 |
|
|
32 |
282 |
| Of which other comprehensive income on equity instruments
that will not be reclassified
to profit or loss reclassified to consolidated reserves
|
|
42 |
|
|
42 |
|
| Of which other comprehensive income attributable to changes
in own credit risk reclassified
to consolidated reserves
|
|
(7) |
|
|
(7) |
|
| Share of changes in equity-accounted entities |
|
|
|
|
|
(3) |
| Net income for 2019 |
|
|
|
|
|
|
| Other variations |
|
(32) |
|
|
(32) |
|
| EQUITY AT 31 DECEMBER 2019 |
7,852 |
8,875 |
|
3,374 |
20,101 |
815 |
|
Group share |
Group share |
Non-controlling interests |
|
Other comprehensive income |
Other comprehensive income |
Net income |
Total equity |
Capital, associated reserves and
income |
Other comprehensive income |
| € million |
Other comprehensive income on items
that will not be reclassified to profit and loss |
Total other comprehensive income |
|
|
|
Other comprehensive income on items
that may be reclassified subsequently to profit
or loss net of income tax
|
| Equity at 1st January 2018 Publised |
(305) |
149 |
|
18,940 |
101 |
3 |
| Impacts of new accounting standards |
(483) |
(447) |
|
(119) |
|
|
| Equity at 1st January 2018 |
(788) |
(298) |
|
18,821 |
101 |
3 |
| Capital increase |
|
|
|
|
11 |
|
| Changes in treasury shares held |
|
|
|
|
|
|
| Issuance of equity instruments |
|
|
|
1,000 |
|
|
| Remuneration of undated deeply subordinated notes |
|
|
|
(190) |
|
|
| Dividends paid in 2018 |
|
|
|
(1,236) |
(8) |
|
| Dividends received from Regional Banks and subsidiaries |
|
|
|
|
|
|
| Impact of acquisitions/disposals on non-controlling interests |
|
|
|
(14) |
9 |
|
| Changes due to share-based payments |
|
|
|
|
|
|
| Changes due to transactions with shareholders |
|
|
|
(440) |
12 |
|
| Changes in other comprehensive income |
426 |
473 |
|
401 |
|
(1) |
| Of which other comprehensive income on equity instruments
that will not be reclassified
to profit or loss reclassified to consolidated reserves
|
60 |
60 |
|
|
|
|
| Of which other comprehensive income attributable to changes
in own credit risk reclassified
to consolidated reserves
|
12 |
12 |
|
|
|
|
| Share of changes in equity-accounted entities |
|
(1) |
|
(1) |
|
|
| Net income for 2018 |
|
|
1,479 |
1,479 |
6 |
|
| Other variations |
|
|
|
48 |
|
|
| Equity at 31 December 2018 |
(362) |
174 |
1,479 |
20,308 |
119 |
2 |
| Appropriation of 2018 net income |
|
|
(1,479) |
|
|
|
| Equity at 1st January 2019 |
(362) |
174 |
|
20,308 |
119 |
2 |
| Impacts of new accounting standards |
|
|
|
|
|
|
| Equity at 1st January 2019 Restated |
(362) |
174 |
|
20,308 |
119 |
2 |
| Capital increase |
|
|
|
|
|
|
| Changes in treasury shares held |
|
|
|
|
|
|
| Issuance of equity instruments |
|
|
|
714 |
|
|
| Remuneration of undated deeply subordinated notes |
|
|
|
(257) |
|
|
| Dividends paid in 2019 |
|
|
|
(489) |
(8) |
|
| Dividends received from Regional Banks and subsidiaries |
|
|
|
|
|
|
| Impact of acquisitions/disposals on non-controlling interests |
|
|
|
(1) |
(8) |
|
| Changes due to share-based payments |
|
|
|
|
|
|
| Changes due to transactions with shareholders |
|
|
|
(33) |
(16) |
|
| Changes in other comprehensive income |
(75) |
207 |
|
239 |
|
(1) |
| Of which other comprehensive income on equity instruments
that will not be reclassified
to profit or loss reclassified to consolidated reserves
|
(42) |
(42) |
|
|
|
|
| Of which other comprehensive income attributable to changes
in own credit risk reclassified
to consolidated reserves
|
7 |
7 |
|
|
|
|
| Share of changes in equity-accounted entities |
|
(3) |
|
(3) |
|
|
| Net income for 2019 |
|
|
1,553 |
1,553 |
19 |
|
| Other variations |
|
|
|
(32) |
(4) |
|
| EQUITY AT 31 DECEMBER 2019 |
(437) |
378 |
1,553 |
22,032 |
118 |
1 |
|
Non-controlling interests |
|
|
Other comprehensive
income |
Total consolidated equity |
| € million |
Other comprehensive income on items
that will not be reclassified subsequently to
profit or loss net of income tax
|
Total other comprehensive income |
Total equity |
|
| Equity at 1st January 2018 Publised |
1 |
4 |
105 |
19,045 |
| Impacts of new accounting standards |
|
|
|
(119) |
| Equity at 1st January 2018 |
1 |
4 |
105 |
18,926 |
| Capital increase |
|
|
11 |
11 |
| Changes in treasury shares held |
|
|
|
|
| Issuance of equity instruments |
|
|
|
1,000 |
| Remuneration of undated deeply subordinated notes |
|
|
|
(190) |
| Dividends paid in 2018 |
|
|
(8) |
(1,244) |
| Dividends received from Regional Banks and subsidiaries |
|
|
|
|
| Impact of acquisitions/disposals on non-controlling interests |
|
|
9 |
(5) |
| Changes due to share-based payments |
|
|
|
|
| Changes due to transactions with shareholders |
|
|
12 |
(428) |
| Changes in other comprehensive income |
(4) |
(5) |
(5) |
396 |
| Of which other comprehensive income on equity instruments
that will not be reclassified
to profit or loss reclassified to consolidated reserves
|
|
|
|
|
| Of which other comprehensive income attributable to changes
in own credit risk reclassified
to consolidated reserves
|
|
|
|
|
| Share of changes in equity-accounted entities |
|
|
|
(1) |
| Net income for 2018 |
|
|
6 |
1,485 |
| Other variations |
|
|
|
48 |
| Equity at 31 December 2018 |
(3) |
(1) |
118 |
20,426 |
| Appropriation of 2018 net income |
|
|
|
|
| Equity at 1st January 2019 |
(3) |
(1) |
118 |
20,426 |
| Impacts of new accounting standards |
|
|
|
|
| Equity at 1st January 2019 Restated |
(3) |
(1) |
118 |
20,426 |
| Capital increase |
|
|
|
|
| Changes in treasury shares held |
|
|
|
|
| Issuance of equity instruments |
|
|
|
714 |
| Remuneration of undated deeply subordinated notes |
|
|
|
(257) |
| Dividends paid in 2019 |
|
|
(8) |
(497) |
| Dividends received from Regional Banks and subsidiaries |
|
|
|
|
| Impact of acquisitions/disposals on non-controlling interests |
|
|
(8) |
(9) |
| Changes due to share-based payments |
|
|
|
|
| Changes due to transactions with shareholders |
|
|
(16) |
(49) |
| Changes in other comprehensive income |
(1) |
(2) |
(2) |
237 |
| Of which other comprehensive income on equity instruments
that will not be reclassified
to profit or loss reclassified to consolidated reserves
|
|
|
|
|
| Of which other comprehensive income attributable to changes
in own credit risk reclassified
to consolidated reserves
|
|
|
|
|
| Share of changes in equity-accounted entities |
|
|
|
(3) |
| Net income for 2019 |
|
|
19 |
1,572 |
| Other variations |
|
|
(4) |
(36) |
| EQUITY AT 31 DECEMBER 2019 |
(4) |
(3) |
115 |
22,147 |
2.6 CASH FLOW
STATEMENT
The cash flow statement is presented using the indirect method. Operating activities
are the Crédit Agricole CIB Group's revenue generating activities.
Tax inflows and outflows are included in full within operating activities.
Investment activities show the impact of cash inflows and outflows associated with
purchases and sales of investments in consolidated and non-consolidated companies,
property, plant and equipment and intangible assets. This section includes strategic
equity investments in the "fair value through profit or loss" or "fair value through
non-recylcable equity" sections.
Financing activities show the impact of cash inflows and outflows associated with
shareholders' equity and long-term financing.
Net cash flows attributable to the operating, investment and financing activities
from discontinued operations are presented under separate headings in the cash flow
statement.
Net cash and cash equivalents include cash, debit and credit balances with central
banks, and debit and credit sight balances with banks.
| € million |
Notes |
31.12.2019 |
31.12.2018 |
| Pre-tax income |
|
1,927 |
2,010 |
| Net depreciation and impairment of property, plant &
equipment and intangible assets |
|
196 |
86 |
| Impairment of goodwill and other fixed assets |
|
|
|
| Net addition to provisions |
|
218 |
(19) |
| Share of net income of equity-accounted entities |
|
(4) |
|
| Net income (loss) from investment activities |
|
(52) |
|
| Net income (loss) from financing activities |
|
242 |
188 |
| Other movements |
|
(265) |
(56) |
| Total non-cash and other adjustment items included in
pre-tax income |
|
335 |
199 |
| Change in interbank items |
|
696 |
5,536 |
| Change in customer items |
|
(2,783) |
(592) |
| Change in financial assets and liabilities |
|
8,091 |
1,935 |
| Change in non-financial assets and liabilities |
|
105 |
(371) |
| Dividends received from equity-accounted entities |
|
1
|
|
| Tax paid |
|
(324) |
(203) |
| Net change in assets and liabilities used in operating
activities |
|
5,786 |
6,305 |
| Cash provided (used) by discontinued operations |
|
|
|
| Total net cash flows from (used by) operating activities
(A) |
|
8,048 |
8,514 |
| Change in equity investments 1 |
|
980 |
(7) |
| Change in property, plant & equipment and intangible
assets |
|
(226) |
(159) |
| Cash provided (used) by discontinued operations |
|
|
|
| Total net cash flows from (used by) investment activities
(B) |
|
754 |
(166) |
| Cash received from (paid to) shareholders 2 |
|
(40) |
(422) |
| Other cash provided (used) by financing activities 3 |
|
1,497 |
824 |
| Cash provided (used) by discontinued operations |
|
|
|
| Total net cash flows from (used by) financing activities
(C) |
|
1,457 |
402 |
| Impact of exchange rate changes on cash and cash equivalent
(D) |
|
1,153 |
1,298 |
| NET INCREASE/(DECREASE) IN CASH AND CASH EQUIVALENT (A
+ B + C + D) |
|
11,412 |
10,048 |
| Cash and cash equivalents at beginning of period |
|
42,150 |
32,101 |
| Net cash accounts and accounts with central banks * |
|
45,647 |
31,008 |
| Net demand loans and deposits with credit institutions
** |
|
(3,497) |
1,093 |
| Cash and cash equivalents at end of period |
|
53,564 |
42,149 |
| Net cash accounts and accounts with central banks * |
|
56,438 |
45,646 |
| Net demand loans and deposits with credit institutions
** |
|
(2,874) |
(3,497) |
| NET CHANGE IN CASH AND CASH EQUIVALENTS |
|
11,414 |
10,048 |
1
This line includes net impacts of acquisitions and disposals of consolidated equity
investments on cash. It mostly refers to the effect of the disposal of BSF securities
for €965 million.
2
For 2019, this amount includes the payment of Crédit Agricole CIB dividends to Crédit
Agricole S.A. for -€450 million, an AT1 issue by Crédit Agricole CIB subscribed by
Crédit Agricole S.A. for +€714 million and a payment of interest under the AT1 issue
of -€257 million.
3
This line mainly records the issue of the SNP debt (Senior non-Preferred) by Crédit
Agricole CIB S.A. for €1,812 million, exercise of the TSS call subscribed by Crédit
Agricole S.A. London for -€232 million, AT2 issues for €250 million as well as interest
payment for -€192 million.
*
Consisting of the net balance of the "Cash and central banks item", excluding accrued
interest and including cash of entities reclassified as held-for-sale operations.
**
Consisting of the balance of "Performing current accounts in debit" and "Performing
overnight accounts and advances" as detailed in Note 6.3 and "Current accounts in
credit" and "Overnight accounts and advances" as detailed in Note 6.5 (excluding accrued
interest).
3. NOTES TO THE
CONSOLIDATED FINANCIAL STATEMENTS
NOTE 1: GROUP
ACCOUNTING POLICIES AND PRINCIPLES, ASSESSMENTS AND ESTIMATES APPLIED
1.1 Applicable
standards and comparability
Pursuant to EC Regulation No. 1606/2002, the consolidated financial statements
have
been prepared in accordance with IAS/IFRS and IFRIC applicable at 31 December 2019
and as adopted by the European Union (carve-out version), by using certain exceptions
in the application of IAS 39 on macro-hedge accounting.
This standard is available on the European Commission's website at the following
URL
address: https: //ec.europa.eu/ info/business-economy-euro/company-reporting-and-auditing/
company-reporting/financial-reporting_en.
The standards and interpretations are the same as those applied and described in
the
Group's financial statements at 31 December 2018.
They have been supplemented by the provisions of those IFRS as endorsed by the
European
Union at 31 December 2019 and that must be applied in 2019 for the first time.
They cover the following:
| Standards, amendments or interpretations |
Date published by the European Union |
Applicable in the Group |
Date of first-time application: financial
years from |
| IFRS 16 "Leases" Replacement of IAS 17 on lease accounting
and related interpretations
(IFRIC 4 "Determining Whether an Arrangement Contains a Lease", SIC 15 "Operating
Leases - Incentives" and SIC 27 "Evaluating the Substance of Transactions" in the
Legal Form of a Lease).
|
31 October 2017 (EU 2017/1986) |
Yes |
1 January 2019 |
| Amendment to IFRS 9 "Financial Instruments" Options for
early prepayment with negative
penalty
|
22 March 2018 (EU 2018/498) |
Yes |
1 January 2019 1 |
| Interpretation of IFRIC 23 "Uncertainty over Income Tax
Treatments" Clarifications
to IAS 12 "Income Taxes"
|
24 October 2018 (EU 2018/1595) |
Yes 2 |
1 January 2019 |
| Improvements to IFRS cycle 2015-2017: |
|
|
|
| - IAS 12 "Income taxes" |
15 March 2019 (EU 2019/412) |
Yes |
1 January 2019 |
| - IAS 23 "Borrowing Costs" |
|
Yes |
1 January 2019 |
| - IFRS 3/IFRS 11 "Business Combinations" |
|
Yes |
1 January 2019 |
| Amendment to IAS 28 "Investments in Associates and Joint
Ventures" Clarifications
for investors on the accounting of long-term interests granted to an associate/joint
venture
|
11 February 2019 (EU 2019/237) |
Yes |
1 January 2019 |
| Amendment to IAS 19 "Employee benefits" Clarifications
on the consequences of a regime
modification, reduction or liquidation on determining the cost of services rendered
and the net interest
|
14 March 2019 (EU 2019/402) |
Yes |
1 January 2019 |
1
The Group decided to apply the amendment to IFRS 9 early from 1 January 2018.
2
The Group has applied the IFRIC 23 rule "Uncertainty over income tax treatments"
to establish its consolidated financial statements for 2019 exercice. As a consequence
of this rule, Crédit Agricole CIB reclassified provisions for tax related uncertainties
to income under "Current and deferred tax liabilities" in the balance sheet.
For its accounts from 1st January 2019, Crédit Agricole CIB Group publishes, for
the
first time, its IFRS financial statements under IFRS 16 Leases (see Chapter 1.2 "Accounting
principles and methods").
IFRS 16 "Leases" will replace IAS 17 and all related interpretations (IFRIC 4 "Determining
Whether an Arrangement Contains a Lease", SIC 15 "Operating Leases - Incentives" and
SIC 27 "Evaluating the Substance of Transactions" in the Legal Form of a Lease).
The main change made by IFRS 16 relates to accounting for lessees. IFRS 16 calls
for
a model in respect of lessees that recognises all leases on the balance sheet, with
a lease liability on the liability side representing commitments over the life of
the lease and on the asset side, an amortisable right of use.
For the first application of IFRS 16, the Group Crédit Agricole CIB decided to
apply
the modified retrospective method without restatement of comparative information for
2019 in accordance with paragraph C5(b) of IFRS 16. In line with this approach, for
contracts previously classified as operating leases pursuant to IAS 17, at 1 January
2019, the Group reported lease liabilities equal to the value updated for remaining
lease payments and an asset for the right of use equal to the amount of the lease
liability adjusted for any lease payments in advance or to be made which were reported
in the statement of financial position immediately prior to the date of first application.
For leases previously classified as finance leases, Crédit Agricole CIB reclassified
the carrying amount of the lease asset and the liability reported according to IAS
17 immediately prior to the date of first application as right of use (property, plant
and equipment) and lease liabilities (other liabilities) on the date of first application.
The application of IFRS 16 has not had a significant impact on net income and equity.
On the date of transition, the Group chose to apply the following simplification
measures
proposed by the standard:
| ― |
no adjustment for leases whose residual maturity on the date
of application is less
than twelve months;
|
| ― |
in accordance with the IFRIC update of March 2019 as well as
the AMF recommendation
2019-13, the Group has not taken into account the decision of the IFRS IC of 26/11/2019
relating to the determination of the duration of IFRS16 lease in the financial statements
at 31 December 2019, so as to have the time necessary for analysing the accounting
consequences of this decision during fiscal year 2020. As a result, the accounting
policies and methods of the annual financial statements at 31 December 2019 have not
been impacted;
|
This in particular applies to:
| ― |
no adjustment for leases whose underlying asset is of low value;
|
| ― |
adjustment of the righ of use in the amount reported at 31 December
2018 in the statement
of financial position as provision for loss-making contracts;
|
| ― |
exclusion of the initial direct costs of the right of use valuation.
The Group also
decided not to reassess whether a contract is or contains a lease on the date of transition.
For contracts entered into prior to the date of transition, the Group has applied
IFRS 16 to contracts identified as leases pursuant to IAS 17 and IFRIC 4. The discount
rate used for the calculation of the right of use and the lease liability is the marginal
debt ratio on the initial date of application of IFRS 16, based on the residual term
of the contract on 1 January 2019.
|
The right of use recorded on the date of first application essentially concern
property
leases (offices buildings).
Furthermore, as long as the early application of standards and interpretations
adopted
by the European Union is optional for a period, the Group does not apply them, unless
otherwise stated.
| Standards, amendments or interpretations |
Date of publication by the European
Union |
Applicable in the Group |
Date of first-time mandatory application:
financial years from |
| Amendment to references to the Conceptual Framework in
IFRS standards |
6 December 2019 (UE 2019/2075) |
Yes |
1 January 2020 |
| IAS 1/IAS 8 Presentation of the financial statements
Definition of materiality |
10 December 2019 (UE 2019/2104) |
Yes |
1 January 2020 |
| Amendment to IFRS 9, IAS 39 and IFRS 7 Financial instruments
Reform of benchmark interest
rates
|
15 January 2020 (UE 2020/34) |
Yes |
1 January 2020 1 |
1
The Group decided to apply the amendment to IFRS 9, IAS 39 and IFRS 7 Financial instruments
on the reform of benchmark interest rates early from 1 January 2019.
The standards and interpretations published by IASB at 31 December 2019, but not
yet
adopted by the European Union, are not applied by the Group. They will become mandatory
only as from the date planned by the European Union and have not been applied by the
Group at 31 December 2019.
This concerns IFRS 17 in particular.
IFRS 17 Insurance Contracts published in May 2017 will replace IFRS 4. The Exposure
Draft of the IASB amending IFRS 17 published in June 2019 recommended postponing its
application date by one year, i.e. to 1 January 2022.
IFRS 17 defines new principles in terms of valuation, recognition of liabilities
under
insurance contracts and the assessment of their profitability, as well as in terms
of presentation. In 2017 and 2018, a framework for the implementation project was
carried out to identify the issues and impacts of the standard for the Group's insurance
subsidiaries. During 2019, the analysis and implementation preparation work continued.
In addition, an amendment to an existing standard, published by the IASB, is also
waiting to be adopted by the European Union: it is the amendment to IFRS 3 Business
combinations (with possibility of early application).
IBOR REFORM
The Crédit Agricole Group, as a user of critical interest rates indexes, is highly
aware of the importance of benchmarks indexes and the challenges relating to their
developments, which are taking place within the framework of the ongoing reforms.
The "Benchmarks" project of the Crédit Agricole Group steers the transition of
benchmark
indexes for the Group and ensures that the entities comply with the BMR (Benchmark
Regulation). It was launched within Group entities to prepare all businesses and support
customers in the transitions to the new benchmark rates. It has been organised to
review and analyse the impacts of the reform. A cartography identifies, in particular,
all of the exposures and contracts so as to estimate Crédit Agricole Group's consolidated
exposure to the reform.
The Group's hedging relationships are exposed to the following main indexes:
| ― |
EONIA
|
| ― |
Critical benchmarks defined in the BMR: Euribor, USD Libor, GBP
Libor, JPY Libor,
CHF Libor, EUR Libor, Weber, Stibor and Hibor Considering the items available to date,
for Eonia contracts, the period of uncertainty about the future of this index should
end on 3 January 2022. For other indexes, the various works in progress do not, at
this stage, make it possible to establish an application end date.
|
At 31 December 2019, this cartography shows a nominal amount of hedging instruments
impacted by the reform of €153 billion.
The Group will apply the amendments to IFRS 9 published by the IASB on 26 September
2019 as long as the uncertainties about the future of the indexes will impact the
amounts and maturities of interest flows.
1.2 Accounting
policies and principles
1.2.1 USE OF ASSESSMENTS
AND ESTIMATES IN THE PREPARATION OF THE FINANCIAL STATEMENTS
Estimates made to establish the financial statements are by their nature based
on
certain assumptions and involve risks and uncertainties as to whether they will be
achieved in the future.
Future results may be influenced by many factors, including:
| ― |
activities in domestic and international markets;
|
| ― |
fluctuations in interest and exchange rates;
|
| ― |
the economic and political climate in certain industries or countries;
and
|
| ― |
changes in regulation or legislation.
|
This list is not exhaustive.
Accounting estimates based on assumptions are principally used in the following
assessments:
| ― |
financial instruments measured at fair value;
|
| ― |
investments in non-consolidated companies;
|
| ― |
retirement plans and other postemployment benefits;
|
| ― |
stock option plans;
|
| ― |
impairment of loans and debt securities at amortised cost or
at fair value through
other comprehensive income with transfer to profit and loss;
|
| ― |
provisions;
|
| ― |
goodwill impairment;
|
| ― |
deferred tax assets;
|
| ― |
valuation of equity-accounted entities;
|
| ― |
deferred profit-sharing.
|
The procedures for the use of assessments or estimates are described in the relevant
sections below.
1.2.2 FINANCIAL
INSTRUMENTS (IFRS 9, IAS 32 AND IAS 39)
♦ Definitions
The IAS 32 standard defines a financial instrument as a contract that gives rise
to
a financial asset of one entity and a financial liability or equity instrument of
another entity, namely a contract representing the rights or obligations to receive
or pay cash or other financial assets.
Derivative instruments are financial assets or liabilities the value of which evolves
in line with that of an underlying asset, which require little or no initial investment,
and the settlement of which occurs at a future date.
Financial assets and liabilities are treated in the financial statements in accordance
with IFRS 9 as endorsed by the European Commission, including financial assets held
by the Group's insurance entities.
The IFRS 9 Standard defines the principles relating to the classification and measurement
of financial instruments, the credit risk impairment and hedge accounting, excluding
macro-hedging transactions.
However, Crédit Agricole CIB uses the option of not applying the IFRS 9 general
model
of hedging. All of the hedging relationships therefore are treated according to IAS
39, pending future provisions relating to macro-hedging.
♦ Conventions
for measuring financial assets and liabilities
INITIAL MEASUREMENT
When first recognised, financial assets and liabilities are measured at their fair
value as defined by IFRS 13.
The fair value as defined by IFRS 13 corresponds to the price which would be received
for the sale of an asset or paid for the transfer of a liability during a normal transaction
between market participants, on the main market or on the most beneficial market,
on the date of the measurement.
SUBSEQUENT MEASUREMENT
When first recognised, financial assets and financial liabilities are measured
according
to their classification, either at amortised cost based on the effective interest
rate method, or at their fair value as defined by IFRS 13. For derivative instruments,
they are always measured at their fair value.
The amortised cost corresponds to the amount at which the financial asset or financial
liability is measured when first recognised, including the transaction costs directly
attributable to their acquisition or issuance, minus principal repayments, plus or
minus the aggregate depreciation calculated using the effective interest (EIR) method
for any difference (discount or premium) between the initial amount and the amount
at maturity. In the case of a financial asset, the amount is adjusted if necessary
for impairment losses (see paragraph "Provisioning for credit risk").
The effective interest rate (EIR) is the rate that exactly discounts estimated
future
cash payments or receipts through the expected life of the financial instrument or,
when appropriate, over a shorter period, to obtain the net carrying amount of the
financial asset or financial liability.
♦ Financial assets
CLASSIFICATION
AND MEASUREMENT OF FINANCIAL ASSETS
The non-derivative financial assets (debt or equity instruments) are classified
in
the balance sheet in accounting categories which determine their accounting treatment
and subsequent method of measurement. These financial assets are classified in one
of the three following categories:
| ― |
financial assets at fair value through profit and loss;
|
| ― |
financial assets at amortised cost;
|
| ― |
financial assets at fair value through other comprehensive income.
|
The criteria for classification and measurement of financial assets depend on the
nature of the financial asset, and its classification as:
| ― |
debt instruments (i.e. loans and fixed or determinable-income
securities); or
|
| ― |
equity instruments (i.e. shares).
|
DEBT INSTRUMENT
The classification and measurement of a debt instrument depend on two combined
criteria:
the business model defined at portfolio level and the analysis of the contractual
characteristics determined for each debt instrument except when using the fair value
option.
The three business
models:
The business model is representative of the strategy followed by Crédit Agricole
CIB
to manage its financial assets and achieve its objectives. The business model is specified
for a portfolio of assets and does not constitute an intention on a case by case basis
for an isolated asset.
We distinguish three business models:
| ― |
The collect model where the intention is to collect the contractual
cash flows over
the life of the asset; this model does not systematically involve holding all assets
until their contractual maturity. However, sales of financial assets with a collect
business model are strictly restricted;
|
| ― |
The collect and sale model, where the objective is to collect
the cash flows over
the life of the asset and to sell it. In this model, both the sale of financial assets
and the collection of the cash flows are essential; and
|
| ― |
The other/sale model, the main objective of which is to dispose
of the assets.
|
When the strategy that the management follows to manage financial assets corresponds
neither to the collect model nor to the collect and sale model, these financial assets
are classified in a portfolio, whose business model is other/sale. It concerns the
portfolios which are held for the purpose of collecting cash via disposals, portfolios
the performance of which is appreciated on the basis of their fair value and portfolios
of financial assets held for trading.
The contractual
terms (the "Solely Payments of Principal and Interest" or "SPPI" test):
The "SPPI" test combines a set of criteria, examined cumulatively, to establish
whether
contractual cash flows meet the characteristics of simple financing (principal repayments
and interest payments on the remaining amount of principal due).
The test is satisfied when financing gives a right only to the repayment of principle
and when the payment of interests reflects the time value of money, the credit risk
associated with the instrument, the other costs and risks of a classic loan contract
and a reasonable margin, whether the interest rate is fixed or variable. In simple
financing, interest represents the cost of the passage of time, the price of credit
and liquidity risk over the period, and other components related to the cost of carrying
the asset (e.g. administrative costs).
In some cases, when such qualitative analysis is not adequate to conclude, quantitative
analysis (or Benchmark testing) is carried out. This additional analysis consists
in comparing the contractual cash flows of the asset under review with the cash flows
of a benchmark asset.
If the difference between the cash flows of the financial asset and the benchmark
asset is considered insignificant, the asset is deemed to be simple financing.
Moreover, specific analysis is conducted when the financial asset is issued by
special
purpose entities establishing a priority order of payment among the holders of the
financial assets by contractually linking multiple instruments and creating concentrations
of credit risk ("tranches").
Each tranche is assigned a rank of subordination that specifies the order of distribution
of cash flows generated by the structured entity.
In this case, the "SPPI" test requires an analysis of the characteristics of the
contractual
cash flows of the asset concerned and of the underlying assets according to the "look
through" approach and the credit risk borne by the tranches subscribed compared with
the credit risk of the underlying assets.
The accounting method of debt instruments resulting from the qualification of the
business model combined with the "SPPI" test can be presented in the form of the diagram,
below:
► Debt instrument
Debt instruments
at amortised cost
Debt instruments are measured at the amortised cost if they are eligible for the
collection
model and if they respect the "SPPI" test. They are recorded on the date of settlement/delivery
and their initial measurement also includes accrued coupons and transaction costs.
Amortisation of any premiums or discounts and transaction costs on fixed-income
securities
is recognised in the income statement using the effective interest rate method.
This category of financial assets is subject to impairment under the conditions
described
in the specific paragraph "Provisions for credit risk".
Debt instruments
at fair value through other comprehensive income with transfer to
profit and loss
Debt instruments are measured at fair value through other comprehensive income
with
transfer to profit and loss if they are eligible for the collection and sale model
and if they respect the "SPPI" test. They are recorded on the trading date and their
initial measurement also includes accrued coupons and transaction costs. Amortisation
of any premiums or discounts and transaction costs on fixed-income securities is recognised
in the income statement using the effective interest rate method.
These financial assets are subsequently measured at their fair value and the variations
in fair value are recognised under other comprehensive income with transfer to profit
and loss against the outstanding account (excluding incurred interest accounted for
in profit and loss using the effective interest rate method).
In the case of a disposal, these variations are transferred to profit and loss.
This category of financial instruments is subject to impairment under the conditions
described in the specific paragraph "Provisions for credit risk" (without affecting
the fair value on the balance sheet).
Debt instruments
at fair value through profit and loss
Debt instruments are measured at fair value through profit and loss in the following
circumstances:
| ― |
The instruments are placed in portfolios made up of financial
assets held for trading
or the main objective of which is disposal;
|
Financial assets held for trading are assets acquired or generated by the company
mainly with a view to short term sale or which are part of a portfolio of instruments
jointly managed with a view to generating a profit linked to short term price fluctuations
or arbitrage. Although contractual cash flows are received during the time during
which Crédit Agricole CIB holds the assets, the receipt of these contractual cash
flows is not essential but accessory.
| ― |
Debt instruments which do not respect the criteria of the "SPPI"
test. Notably the
case of UCITS;
|
| ― |
Financial instruments in portfolios, for which the entity opts
for fair value measurement
in order to reduce an accounting treatment difference in the income statement. In
this case, it is a classification at fair value through profit and loss.
|
Financial assets at fair value through profit or loss are initially entered at
fair
value, excluding transaction costs (directly recognised under profit and loss) and
including coupons incurred.
They are subsequently measured at their fair value and the changes in fair value
are
recognised under profit and loss, Net Banking Income (NBI), against the outstanding
account. Interests from these instruments are recognised under "Net gains (losses)
on financial instruments at fair value through profit and loss. This category of financial
assets is not subject to impairment. Debt instruments at fair value through profit
and loss by nature are recorded on the date of settlement/delivery.
Debt instruments at fair value through profit and loss as an option are recorded
on
the trading date.
EQUITY INSTRUMENTS
Equity instruments are by default recognised at fair value through profit and loss,
except as an irrevocable option for a classification at fair value through other comprehensive
income with no transfer to profit and loss, providing these instruments are not held-for-trading.
Equity instruments
at fair value through profit and loss
Financial assets at fair value through profit and loss are initially recognised
at
fair value, excluding transaction costs (directly recognised under profit and loss).
They are recognised on the settlement/delivery date.
They are subsequently measured at their fair value and the changes in fair value
are
recognised under profit and loss, Net Banking Income (NBI), against the outstanding
account.
This category of financial assets is not subject to impairment.
Equity instruments
at fair value through other comprehensive income with no transfer
to profit and loss (as irrevocable option)
The irrevocable option to recognise equity instruments at fair value through other
comprehensive income with no transfer to profit and loss is taken at the transactional
level (line by line) and is applied from the initial date of accounting. These securities
are registered on the trading date.
Initial fair value includes securities trading costs.
During subsequent measurements, the variations in fair value are accounted in other
comprehensive income. If sold, these variations are not transferred to profit and
loss, the income from the sale is recognised under other comprehensive income.
Only dividends are recognised in profit and loss.
RECLASSIFICATION
OF FINANCIAL ASSETS
In the case of a significant change of economic model in the management of financial
assets (new activity, acquisition of entities, sale or discontinuation of a significant
activity), a reclassification of these financial assets is necessary. The reclassification
applies to all financial assets of the portfolio from the date of reclassification.
In the other cases, the management model remains unchanged for the existing financial
assets. If a new management model is identified, it is applied from then on to the
new financial assets, re-grouped in a new management portfolio.
TEMPORARY ACQUISITION
AND DISPOSAL OF SECURITIES
Temporary disposals of securities (loans of securities, securities delivered under
repurchase agreements) do not generally meet derecognition requirements.
Securities lent or sold under repurchase agreements remain on the balance sheet.
In
the case of securities sold under repurchase agreements, the amount collected, representing
the debt vis-a-vis the transferee, is recognised under balance sheet liabilities by
the transferor. Securities borrowed or bought under repurchase agreements are not
recognised on the balance sheet of the transferee.
In the case of securities purchased under resale agreements, a receivable vis-a-vis
the transferor is recognised on the balance sheet of the transferee against the amount
paid. If the security is subsequently sold, the transferee recognises a liability
measured at fair value in respect of their obligation to return the security under
the repurchase agreement. Securities sold and purchased under repurchase agreements
are recognised at fair value through profit or loss when they are part of trading
transactions (a managed operation, the performance of which is measured on the basis
of fair value), and otherwise at the amortised cost.
DERECOGNITION
OF FINANCIAL ASSETS
Financial assets (or a group of financial assets) are fully or partially derecognised:
| ― |
when the contractual rights to the cash flows from the financial
asset expire;
|
| ― |
or when they are transferred or are deemed to have been transferred
because they belong
de facto to one or more beneficiaries and when the near totality of the risks and
rewards of ownership in the financial asset are transferred.
|
In this case, rights or obligations created or retained at the time of transfer
are
recognised separately as assets and liabilities.
If the contractual rights to the cash flows are transferred, but some of the risks
and rewards of ownership as well as control are retained, the financial assets continue
to be recognised to the extent of the Group's continuing involvement in the asset.
Financial assets renegotiated for commercial reasons without financial difficulties
of the counterparty and with the aim of developing or keeping a commercial relationship
are derecognised at the date of the renegotiation. The new loans granted to clients
are recognised on this date at their fair value on the renegotiation date. The subsequent
accounting treatment depends on the business model and the "SPPI" test.
♦ Financial liabilities
CLASSIFICATION
AND MEASUREMENT OF FINANCIAL LIABILITIES
Financial liabilities are classified on the balance sheet in the following two
accounting
categories:
| ― |
financial liabilities at fair value through profit and loss,
by nature or option;
|
| ― |
financial liabilities at amortised cost.
|
FINANCIAL LIABILITIES
AT FAIR VALUE THROUGH PROFIT AND LOSS BY NATURE
Financial instruments issued mainly with a view to being repurchased in the short
term, instruments which are part of a portfolio of identified financial instruments
which are managed together and which present indications of recent short term profit
taking (with the exception of certain hedging derivatives), and derivatives are measured
at fair value by nature.
The variations in fair value of this portfolio are recognised in the income statement.
FINANCIAL LIABILITIES
DESIGNATED AT FAIR VALUE THROUGH PROFIT AND LOSS BY OPTION
Financial liabilities which meet one of the three cases defined by the standard
may
be measured at fair value through profit and loss: hybrid issuances including one
or several separable embedded derivatives, with a view to reducing or eliminating
accounting treatment distortion, or in the case of groups of financial liabilities
managed and which performance is measured at fair value. This option is irrevocable
and must apply to the initial accounting date of the instrument.
During subsequent measurements, these financial liabilities are measured at fair
value
against profit and loss for changes in fair value not related to the issuer's own
credit risk and against other comprehensive income with no transfer to profit and
loss for changes in value related to the issuer's own credit risk, except if this
distorts the accounting treatment.
Crédit Agricole CIB's structured issuances are classified as financial liabilities
designated at fair value through profit and loss by option. These liabilities are
part of portfolios of assets and liabilities that are managed at fair value and whose
performance is measured on the basis of fair value.
In accordance with IFRS 13, their recognition at fair value includes the changes
in
the Group's issuer credit risk.
FINANCIAL LIABILITIES
AT AMORTISED COST
All the other liabilities meeting the definition of a financial liability (excluding
derivatives) are measured at amortised cost.
These liabilities are initially measured at fair value (including transaction income
and costs) and subsequently at amortised cost using the effective interest method.
RECLASSIFICATION
OF FINANCIAL LIABILITIES
The initial classification of financial liabilities is irrevocable. No subsequent
reclassification is authorised.
DISTINCTION BETWEEN
LIABILITIES AND EQUITY
The distinction between liabilities and equities is based on the economic substance
of the contractual terms.
A financial liability is a debt instrument if it includes a contractual obligation
to:
| ― |
remit cash, another financial asset or a variable number of equity
instruments to
another entity; or
|
| ― |
to exchange financial assets and liabilities with another entity
under potentially
unfavourable conditions.
|
An equity instrument is a non-reimbursable financial instrument that offers a discretionary
return, represents a residual interest in a company's net assets after deducting liabilities
and is not qualified as a debt instrument.
DERECOGNITION
AND MODIFICATION OF FINANCIAL LIABILITIES
A financial liability is fully or partially derecognised:
| ― |
when it expires; or
|
| ― |
when quantitative and qualitative analyses suggest it has undergone
a substantial
change following restructuring.
|
A substantial modification of an existing financial liability must be recorded
as
an extinction of the initial financial liability and the accounting of a new financial
liability (novation). Any differential between the carrying amount of the liability
extinguished and the new liability will be immediately recorded in the income statement.
If the financial liability is not derecognised, the original effective interest rate
is kept. A discount/premium is immediately recognised in the income statement at the
date of the modification and then is subject to a staggering at the original EIR over
the residual lifespan of the instrument.
♦ Impairment /
Provisioning for credit risk
SCOPE OF APPLICATION
In accordance with IFRS 9, Crédit Agricole CIB recognises a value correction for
the
Expected Credit Losses (ECL) on the following outstandings:
| ― |
the financial assets of debt instruments recognised at amortised
cost or at fair value
through other comprehensive income with transfer to profit and loss (loans and receivables,
debt securities);
|
| ― |
the financing commitments which are not measured at fair value
through profit and
loss;
|
| ― |
guarantee commitments under IFRS 9 and which are not measured
at fair value through
profit and loss;
|
| ― |
lease receivables under IFRS 16; and
|
| ― |
trade receivables generated by transactions under IFRS 15.
|
Equity instruments (at fair value through profit and loss or at fair value through
other comprehensive income with no transfer to profit and loss) are not concerned
by impairment arrangements. Derivative instruments and other instruments at fair value
through profit and loss are subject to a counterparty risk calculation which is not
covered by the ECL model. This calculation is described in Chapter 5 "Risk factors
and Pillar 3".
CREDIT RISK AND
IMPAIRMENT/PROVISIONING STAGES
The credit risk is defined as the risk of losses linked to the default of a counterparty
making it unable to meet its commitments vis-a-vis the Group.
The credit risk provisioning process has three stages (Buckets):
| ― |
First stage (Bucket 1): upon initial recognition of the financial
instrument (credit,
debt security, guarantee, etc.), the entity recognises the credit losses expected
over 12 months;
|
| ― |
Second stage (Bucket 2): if the quality of credit significantly
deteriorates for a
given transaction or portfolio, the entity recognises the expected losses at maturity;
|
| ― |
Third stage (Bucket 3): at a later date, once one or more default
events have occurred
on the transaction or on a counterparty having an adverse effect on the estimated
future cash flows, the entity recognises credit losses expected at maturity. Subsequently,
if the conditions for classifying the financial instruments in Bucket 3 are no longer
respected, the financial instruments are re-classified in Bucket 2, then in Bucket
1 according to the subsequent improvement of the quality of credit risk.
|
Definition of
default
The definition of default for the ECL provisioning requirements is identical to
that
used in management and for the calculations of regulatory ratios. A debtor is, therefore,
considered to be in default when at least one of the following conditions has been
met:
| ― |
a payment is generally more than ninety days past due, unless
specific circumstances
point to the fact that the delay is due to reasons beyond the debtor's control;
|
| ― |
the entity believes that the debtor is unlikely to settle its
credit obligations unless
it avails itself of certain measures such as the provision of collateral surety.
|
An outstanding in default (Bucket 3) is said to be impaired when one or more events
have occurred which have a negative effect on future estimated cash flows of this
financial asset.
The impairment indications of a financial asset include the observable data relating
to the following events:
| ― |
significant financial difficulties of the issuer or borrower;
|
| ― |
a breach of an agreement, such as a default or late payment;
|
| ― |
granting, by the lenders to the borrower, for economic or contractual
reasons related
to the financial difficulties of the borrower, of one or several favours which the
lenders would not have envisaged in other circumstances;
|
| ― |
the increasing probability of bankruptcy or of the financial
restructuring of the
borrower;
|
| ― |
the disappearance of an active market for the financial asset
due to financial difficulties;
|
| ― |
the purchase or the creation of a financial asset with a large
discount, which reflects
the credit losses incurred.
|
It is not necessarily possible to isolate a particular event as the impairment
of
the financial asset could result from the combined effect of several events.
The defaulting counterparty only returns to a sound situation after complete regularisation
of the delay noted and of any other elements triggering the default (lifting of the
default for the parent company, lifting of an alert which caused the default, etc.).
The notion of
expected credit loss "ECL"
ECL is defined as the weighted expected probable value of the discounted credit
loss
(principal and interests). It represents the present value of the difference between
the contractual cash flows and the expected cash flows (including principal and interests).
The ECL approach aims at anticipating, as soon as possible, for the recognition
of
expected credit losses.
GOVERNANCE AND
MEASUREMENT OF ECL
The governance of the mechanism for measuring IFRS 9 parameters is based on the
organisation
implemented as part of the Basel mechanism. The Group Risks Department is responsible
for defining the methodological framework and for the supervision of the mechanism
for provisioning outstanding amounts.
The Group prioritises the internal ratings mechanism and the current Basel processes
in order to generate the IFRS 9 parameters necessary for the calculation of ECL. The
assessment of the evolution of the credit risk is based on a model of expected losses
and extrapolation on the basis of reasonable scenarios. All the available, pertinent,
reasonable and justifiable information, including forward looking information, must
be used.
The formula includes the probability of default, loss given default and exposure
at
default parameters.
These calculations are widely based on the internal models used as part of the
regulatory
framework when they exist, but with adjustments to determine an economic ECL. IFRS
9 recommends a Point in Time analysis while taking into account historical loss data
and Forward Looking macro-economic data, whereas the regulatory perspective is analysed
Through The Cycle for probability of default and Downturn for loss given default.
The accounting approach also requires the recalculation of certain Basel parameters,
in particular to eliminate internal recovery costs or floors that are imposed by the
regulator in the regulatory calculation of Loss Given Default (LGD).
The methods of calculating ECL depend on the types of products: financial instruments
and off-balance sheet instruments.
Expected credit losses on the next 12 months are a portion of the expected credit
losses on the lifespan, and they represent cash flow deficiencies for the lifespan
resulting from a default in the 12 months following the reporting date (or a shorter
period if the expected lifespan of the financial instrument is lower than 12 months),
weighted by the probability of a default.
The expected credit losses are discounted at the effective interest rate determined
during the initial recognition of the financial instrument.
IFRS 9 parameters are measured and updated according to the methodologies defined
by the Group and thus make it possible to establish an initial level of reference,
or shared base, for provisioning.
The ECL measurement methods take into account the assets pledged as guarantee and
other credit enhancements that are part of the contractual terms and that the entity
does not recognise separately. The estimate of expected insufficiency of cash flows
from a guaranteed financial instrument reflects the amount and timing of recovery
of the guarantees. In accordance with IFRS 9, guarantees and collateral taken into
account do not impact the assessment of the significant deterioration in credit risk:
it is based on the change in the credit risk on the debtor without taking the guarantees
into account.
Backtesting of models and parameters used is carried out at least on a yearly basis.
Prospective macro-economic data (Forward Looking) are taken into account in a methodological
framework which is applicable on two levels:
| ― |
at the Group level in the determination of a shared framework
for taking into account
Forward Looking data in the projection of PD and LGD parameters regarding the amortisation
of transactions;
|
| ― |
at the level of each entity with regard to its own portfolios.
|
SIGNIFICANT DETERIORATION
OF THE CREDIT RISK
All Group entities must assess, for each financial instrument, at each closing
date
the deterioration of the credit risk from inception. This assessment of the evolution
of the credit risk leads entities to classify their transactions by class of risk
(Buckets).
In order to assess significant deterioration, the Group has a process based on
2 levels
of analysis:
| ― |
a first level based on relative and absolute rules and criteria
applying to Group
entities;
|
| ― |
a second level related to the assessment by an expert, with local
Forward Looking
data, of the risk carried by each entity on its portfolios which may lead to an adjustment
of the Group criteria for declassifying in Bucket 2 (switch of portfolio or sub portfolio
in ECL at maturity).
|
Significant deterioration is monitored for every financial instrument, without
exception.
No contagion is required for the move from Bucket 1 to Bucket 2 of the financial instruments
of the same counterparty. The monitoring of the significant deterioration must be
performed with regards to the evolution of the credit risk of the principal debtor
without taking into account the guarantee, including for transactions benefiting from
a shareholder guarantee. Possible losses in respect of portfolios of small loans with
similar characteristics may be estimated on a statistical basis rather than an individual
basis.
In order to measure the significant deterioration of the credit risk since the
initial
recognition, it is necessary to retrieve the internal rating and the PD (probability
of default) upon inception.
Inception is understood as the trading date, when the entity becomes party to the
contractual terms of the financial instrument. For financing and guarantee commitments,
inception is understood as the date of irrevocable commitment.
For the scope without an internal rating model, the Crédit Agricole Group uses
the
absolute arrears threshold of more than 30 days as the ultimate threshold for significant
deterioration and classification as Bucket 2.
For amounts outstanding (except for securities) for which internal rating mechanisms
have been built (in particular exposures monitored with authorised methods), the Crédit
Agricole Group considers that all information incorporated into the rating mechanisms
enables a more relevant assessment than just the criteria of arrears of over 30 days.
If the deterioration from inception ceases to be registered, the impairment may
be
expressed as expected losses at 12 months (Bucket 1).
In order to compensate for the fact that certain factors or indicators of significant
deterioration are not identifiable at the level of an isolated financial instrument,
the standard authorises the assessment of the significant deterioration of portfolios,
groups of portfolios or portions of portfolios of financial instruments.
The constitution of portfolios for a collective assessment of impairment may result
from common characteristics such as:
| ― |
type of instrument;
|
| ― |
credit risk rating;
|
| ― |
type of guarantee;
|
| ― |
date of initial recognition;
|
| ― |
term left until maturity;
|
| ― |
sector of activity;
|
| ― |
geographic location of the borrower;
|
| ― |
the value of the asset allocated as a guarantee in relation to
the financial assets,
if this has an effect on the probability of default (for example, in the case of loans
only guaranteed by real security in certain countries, or on the financing ratio);
|
| ― |
the distribution channel, the object of the financing, etc.
|
The reunification of financial instruments for the purpose of assessing the credit
risk variations on a collective basis may change over time, as new information becomes
available.
For securities, Crédit Agricole CIB uses the approach which consists in applying
an
absolute level of credit risk, in accordance with IFRS 9, below which exposures are
classified in Bucket 1 and provisions are made based on 12-month ECL.
The following rules will apply for the monitoring of the significant deterioration
of securities:
| ― |
"Investment Grade" rated securities, at the date of closing,
will be classified in
Bucket 1 and provisioned on the basis of an ECL at 12 months;
|
| ― |
"Non-Investment Grade" (NIG) rated securities , at the date of
closing, must be monitored
for significant deterioration, from inception and be classified in Bucket 2 (ECL at
maturity) in the case of significant deterioration of the credit risk.
|
The relative deterioration must be assessed prior to the occurrence of a confirmed
default (Bucket 3).
RESTRUCTURING
DUE TO FINANCIAL DIFFICULTIES
Debt instruments restructured due to financial difficulties are those for which
the
entity changed the initial financial terms (interest rate, maturity) for economic
or legal reasons related to the borrower's financial difficulties, in a manner that
would not have been considered under other circumstances. Thus, it relates to all
debt instruments, whatever the classification of the security, according to the deterioration
of the credit risk observed since the initial recognition.
In accordance with the definition of the EBA (European Banking Authority) specified
in the "Risk Factors" Chapter, receivables restructuring corresponds to all of the
modifications to one or more loan contracts, and to the refinancing granted due to
the financial difficulties encountered by the client.
This notion of restructuring must be assessed at the level of the contract and
not
at the client level (no contagion).
The definition of receivables restructured due to financial difficulties therefore
involves two cumulative criteria:
| ― |
Modifications of contract or refinancing of receivables;
|
| ― |
A client in a difficult financial situation.
|
Examples of the circumstances under which "modification of contract" apply:
| ― |
There is a difference, in favour of the borrower, between the
modified contract and
the conditions existing prior to the contract;
|
| ― |
The modifications made to the contract lead to more favourable
conditions for the
borrower than other borrowers would have been able to obtain, at the same time, from
a bank with a similar risk profile.
|
"Refinancing" refers to situations in which a new debt is granted to the client
in
order to enable them to totally or partially repay another debt whose contractual
conditions they cannot support due to their financial situation.
Loan restructuring (sound or default) indicates a presumption of the existence
of
a risk of incurred loss (Bucket 3).
The need to constitute impairment on restructured exposure must therefore be analysed
accordingly (restructuring does not systematically lead to impairment for an incurred
loss and classification in default).
The qualification of "restructured receivable" is temporary.
As soon as the restructuring transaction according to the EBA has been carried
out,
the exposure maintains this status of "restructured" for a period of at least two
years if the exposure was sound at the time of the restructuring, or three years if
the exposure was in default at the time of the restructuring. These periods are extended
if certain events occur, provided by Group regulations (new incidents, for example).
In the absence of derecognition, the reduction of future flows granted to a counterparty,
or the postponing of these flows as part of a restructuring, results in the recognition
of a discount in cost of risk.
It is equal to the difference between:
| ― |
The carrying amount of the receivable;
|
| ― |
And the sum of theoretical future cash flows from the "restructured"
loan, discounted
at the initial effective interest rate (defined at the date of the financing commitment).
|
In the case of the abandonment of part of the principal, this amount constitutes
a
loss to be immediately recognised under cost of risk. The discount recognised when
a loan is restructured is recorded under cost of risk.
When this discount is reversed, the portion due to the effect of the passage of
time
is recognised under Net Banking Income.
NON-RECOVERABILITY
When a receivable is considered to be non-recoverable, i.e. there is no longer
any
hope of recovering even part of it, the amount considered to be non-recoverable is
derecognised from the balance sheet and written off.
Decisions as to when to write off are taken on the basis of expert judgment. Each
entity must then determine it, with its Risk Department, with regards to its business
knowledge. Before any write-off, a Bucket 3 provision should be recognized (except
for assets at fair value through profit and loss).
♦ Derivatives
CLASSIFICATION
AND MEASUREMENT
Derivative instruments are financial assets or liabilities classified by default
as
derivative instruments held-for-trading unless they can be qualified as hedging derivatives.
They are recognised on the balance sheet for their initial fair value at the trading
date.
They are subsequently measured at their fair value.
On each closing date, changes in fair value of derivatives on the balance sheet
are
recorded:
| ― |
Under profit and loss for derivative instruments held for trading
or fair value hedging;
|
| ― |
Under OCI for cash flow hedging or a net investment in an activity
abroad, for the
effective part of the hedge.
|
HEDGE ACCOUNTING
General framework
In accordance with the Group decision, Crédit Agricole CIB does not apply the IFRS
9 "hedge accounting" section, in line with the option offered by the standard. All
hedging relationships are documented under IAS 39 rules, at latest up to the date
of application of the text on macro hedge, when it is adopted by the European Union.
However, the eligibility of financial instruments for hedge accounting under IAS 39
takes into account the classification and measurement principles of financial instruments
under IFRS 9.
Under IFRS 9, and given the hedging principles of IAS 39, debt instruments at amortised
cost and at fair value through other comprehensive income with transfer to profit
and loss are eligible for fair value hedge and cash flow hedge.
Documentation
Hedging relationships must respect the following principles:
| ― |
Fair value hedge aims at providing protection from exposure to
a change in the fair
value of an asset or of a liability that has been recognised, or of a firm commitment
that has not been recognised, attributable to the risk(s) hedged and which may affect
the profit and loss (for example, hedge of all or part of the changes in fair value
due to the interest rate risk of a fixed rate loan);
|
| ― |
Cash flow hedge aims at providing protection from an exposure
to the variations in
future cash flow of an asset or liability recognised, or of a highly likely planned
transaction, attributable to the risks hedged and which could (in the case of a transaction
planned but not carried out) affect the profit and loss (for example, hedge of variations
of all or part of future interest payments on a variable rate loan);
|
| ― |
Hedge of net investments in a foreign transaction aims at providing
protection from
the risk of an adverse movement in the fair value arising from the foreign exchange
risks associated with a foreign investment in a currency other than Euro, the currency
which Crédit Agricole CIB reports in.
|
Hedge must also meet the following criteria in order to be eligible for hedge accounting:
| ― |
The hedging instrument and the instrument hedged must be eligible;
|
| ― |
There must be formal documentation from inception, primarily
including the individual
identification and characteristics of the hedged item, the hedging instrument, the
nature of the hedging relationship and the nature of the hedged risk;
|
| ― |
The effectiveness of the hedge must be demonstrated, at inception
and retrospectively,
by testing at each reporting date.
|
For interest rate hedge for a portfolio of financial assets or financial liabilities,
Crédit Agricole Group documents the hedging relationship for fair value hedge in accordance
with the carve-out version of IAS 39 as endorsed by the European Union. Namely:
| ― |
The Group documents these hedging relationships based on its
gross position in derivative
instruments and hedged items;
|
| ― |
The effectiveness of the hedging relationships is measured by
maturity schedules.
|
Details of the Group risk management strategy and its application are in Chapter
5
"Risk factors and Pillar 3".
Measurement
The accounting entry for the re-measurement of the derivative at its fair value
is
carried out in the following manner:
| ― |
Fair value hedge: the change in value of the derivative is recognised
in the income
statement symmetrically with the change in value of the hedged item in the amount
of the hedged risk. Only the net amount of any ineffective portion of the hedge is
recognised in the income statement;
|
| ― |
Cash flow hedge: the change in value of the derivative is recognised
in the balance
sheet through a specific account in other comprehensive income for the efficient portion
and any inefficient portion of the hedge is recognised in the income statement. Any
profits or losses on the derivative accumulated through other comprehensive income
are then transferred in the income statement when the hedged cash flows occur;
|
| ― |
Hedging of net investments in a foreign activity: the change
in value of the derivative
is recognised in the balance sheet against the account of translation differences
in other comprehensive income and the inefficient portion of the hedge is recognised
in the income statement.
|
When the conditions to benefit from hedge accounting are no longer met, the following
accounting treatment must be applied from then on:
| ― |
Fair value hedge: only the hedging instrument continues to be
remeasured through profit
and loss. The hedged item is wholly accounted for according to its classification.
For debt instruments at fair value through other comprehensive income with transfer
to profit and loss, fair value variations after the end of the hedging relationship
are entirely recognised in other comprehensive income. For hedged items measured at
amortised cost, which were interest rate hedged, the re-measurement adjustment is
amortised over the remaining life of those hedged items;
|
| ― |
Cash flow hedge: the hedging instrument is measured at fair value
through profit and
loss. The amounts accumulated in other comprehensive income under the effective portion
of the hedging remain in other comprehensive income until the hedged element affects
profit and loss. For interest rate hedged instruments, profit and loss is affected
according to the payment of interest. The remeasurement adjustment is therefore amortised
over the remaining life of those hedged items;
|
| ― |
Hedge of a net investment in a foreign transaction: the amounts
accumulated in other
comprehensive income under the effective portion of the hedge remain in other comprehensive
income while the net investment is held. The income is recorded once the net investment
in a foreign transaction exits the scope of consolidation.
|
EMBEDDED DERIVATIVES
An embedded derivative is a component of a hybrid contract that meets the definition
of a derivative product. This designation only applies to financial liabilities and
non-financial contracts. Embedded derivatives must be accounted for separately from
the host contract if the following three conditions are met:
| ― |
The hybrid contract is not measured at fair value through profit
and loss;
|
| ― |
The embedded component taken separately from the host contract
meets the definition
of a derivative;
|
| ― |
The characteristics of the derivative are not closely related
to those of the host
contract.
|
♦ Determination
of the fair value of financial instruments
The fair value of financial instruments is measured by maximising the use of observable
input data. It is presented following the hierarchy defined in IFRS 13.
IFRS 13 defines fair value as the price that would be received to sell an asset
or
paid to transfer a liability in an ordinary transaction between market participants,
on the principal or the most advantageous market, at the measurement date.
The fair value applies separately to each financial asset and each financial liability.
A portfolio exemption may be used when the management and risk monitoring strategy
allow so and are appropriately documented. Hence, when a group of financial assets
and liabilities are managed on a net exposure basis to market and credit risks, some
parameters of the fair value are calculated on a net basis. This is the case for the
CVA/DVA calculation described in Chapter 5 "Risk factors and Pillar 3".
Crédit Agricole CIB considers that the best evidence of fair value is quoted prices
published in an active market.
In the absence of such prices, fair value is determined by the application of valuation
techniques which maximise the use of pertinent observable data and minimise the use
of non-observable data. When a debt is measured at fair value through profit and loss
(by nature or as an option), the fair value takes into account the issuer's own credit
risk.
FAIR VALUE OF
STRUCTURED ISSUANCES
In accordance with IFRS 13, Crédit Agricole CIB measures its structured issuances,
recognised at fair value, by taking as a reference the issuer spread that specialist
participants agree to receive to acquire new Group issuances.
COUNTERPARTY RISK
ON DERIVATIVE INSTRUMENTS
Crédit Agricole CIB incorporates into the fair value the assessment of counterparty
risk for derivative assets (Credit Valuation Adjustment CVA) and, using a symmetrical
treatment, the non-performance risk for derivative liabilities (Debit Valuation Adjustment
or DVA or own credit risk).
The CVA makes it possible to determine the expected losses due to the counterparty
from the perspective of Crédit Agricole Group, and DVA the expected losses due to
Crédit Agricole Group from the perspective of the counterparty.
The CVA/DVA is calculated on the basis of an estimate of expected losses based
on
the probability of default and loss given default. The methodology used maximises
the use of observable market inputs. It is primarily based on market parameters such
as registered and listed Credit default Swaps (CDS) (or CDS Single Name) or index-based
CDS in the absence of registered CDS on the counterparty. In certain circumstances,
historical default data may also be used.
COSTS AND BENEFITS
RELATED TO THE FUNDING OF DERIVATIVES
The value of non-collateralised or partially collateralised derivative instruments
incorporates a Funding Valuation Adjustment (FVA) that represents costs and benefits
related to the financing of these instruments. This adjustment is measured based on
positive or negative future exposure of transactions for which a cost of financing
is applied.
FAIR VALUE HIERARCHY
The standard classifies fair value into three levels based on the observability
of
inputs used in valuation techniques.
Level 1: fair
value corresponding to quoted prices (non-adjusted) in active markets
Level 1 is composed of financial instruments that are directly quoted in active
markets
for identical assets and liabilities that the entity can access at the measurement
date. This applies primarily to shares and bonds listed in an active market (such
as the Paris Stock Exchange, the London Stock Exchange, the New York Stock Exchange,
etc.), units of investment funds listed in active markets and derivatives contracted
in an organised market, especially futures contracts.
A market is regarded as being active if quoted prices are readily and regularly
available
from an exchange, broker, dealer, pricing service or regulatory agency, and those
prices represent actual and regularly occurring market transactions on an arm's length
basis. For financial assets and liabilities with offsetting market risks, Crédit Agricole
CIB uses mid-prices as a basis for establishing fair values for the offsetting risk
positions. The Group applies the current bid price to asset held or liability to be
issued (open long position) and the current asking price to asset to be acquired or
liability held (open short position).
Level 2: fair
values measured using directly or indirectly observable inputs other
than those in Level 1
These data can be observed either directly (i.e. prices) or indirectly (derived
from
price data) and generally meet the following characteristics: they are non-entity-specific
data that are publicly available or accessible and based on a market consensus.
Level 2 is composed of:
| ― |
Stocks and bonds quoted in an inactive market or non-quoted in
an active market but
for which fair value is established using a valuation methodology typically used by
market participants (such as discounted cash flow techniques or the Black & Scholes
model) and based on observable market data;
|
| ― |
Instruments that are traded over the counter, the fair value
of which is measured
with models using observable market data, i.e. derived from various and independent
available external sources which can be obtained on a regular basis. For example,
the fair value of interest rate swaps is generally derived from the yield curves of
market interest rates as observed at the reporting date.
|
When the models are consistent notably with standard models based on observable
market
data (such as interest rate yield curves or implied volatility surfaces), the day
one gain or loss resulting from the initial fair value measurement of the related
instruments is recognised in profit and loss at inception.
Level 3: fair
value that is measured using significant unobservable inputs
For some complex instruments that are not traded in an active market, fair value
measurement
is based on valuation techniques using assumptions i.e. that cannot be observed on
the market for an identical instrument. These instruments are disclosed within Level
3.
This mainly concerns complex interest rate instruments, equity derivatives, structured
credit instruments which fair value measurement includes for instance correlation
or volatility inputs that are not directly benchmarkable.
Since the transaction price is deemed to reflect the fair value at initial recognition,
any day one gain or loss recognition is deferred. The margin earned on these structured
financial instruments is generally recognised in profit and loss by spreading over
the duration during which the parameters are considered unobservable. When market
data become "observable", the remaining margin to be spread is immediately recognised
in profit and loss. Valuation methodologies and models used for financial instruments
that are disclosed within Level 2 and 3 incorporate all factors that market participants
would consider in setting a price. They must be validated beforehand by an independent
control. Fair value measurement notably includes both liquidity risk and counterparty
risk.
♦ Netting of financial
assets and financial liabilities
In accordance with IAS 32, Crédit Agricole CIB pays an asset and a financial liability
and has a net balance if and when it has a legally enforceable right to offset the
amounts recognised and intends to settle the net amount or realise the asset and settle
the liability simultaneously.
The derivative instruments and repos handled with clearing houses that meet the
two
criteria required by IAS 32 have been offset on the balance sheet.
The effect of this offsetting is presented in the table in Note 6.12 on the amendment
to IFRS 7 on disclosures regarding the offsetting of financial assets and financial
liabilities.
♦ Net gains or
losses on financial instruments
NET GAINS OR LOSSES
ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT AND LOSS
For financial instruments recognised at fair value through profit and loss, this
account
includes the following income elements:
| ― |
Dividends and other revenues from equities and other variable
income securities which
are classified under financial assets at fair value through profit and loss;
|
| ― |
Changes in fair value of financial assets or liabilities at fair
value through profit
and loss;
|
| ― |
Gains and losses on disposal of financial assets at fair value
through profit and
loss;
|
| ― |
Changes in fair value and the results of disposals or termination
of derivative instruments
that do not enter into a fair value or cash flow hedging relationship.
|
This heading also includes the inefficient portion of hedges.
NET GAINS OR LOSS110ES
ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE
INCOME
For financial assets recognised at fair value through other comprehensive income,
this account includes the following income elements:
| ― |
Dividends from equity instruments classified as financial assets
measured at fair
value through other comprehensive income with no transfer to profit and loss;
|
| ― |
Net gains (losses) on disposals and the profit or loss linked
to the termination of
the hedging relationship on debt instruments classified as financial assets at fair
value through other comprehensive income with transfer to profit and loss;
|
| ― |
Income on disposal or termination of instruments used for fair
value hedge of financial
assets at fair value through other comprehensive income when the hedged element is
disposed of.
|
♦ Given financing
commitments and financial guarantees
Financing commitments that are not designated at fair value through profit and
loss
or not treated as derivative instruments within the meaning of IFRS 9 are not recognised
on the balance sheet. They are, however, covered by provisions in accordance with
IFRS 9.
A financial guarantee contract is a contract which requires the issuer to make
specified
payments to reimburse the bearer for a loss suffered as a result of the default of
a specified debtor who does not make a payment at maturity according to the initial
conditions or those modified by a debt instrument.
Financial guarantee contracts are recognised at fair value initially then subsequently
at the higher of:
| ― |
the amount of the value correction for losses determined according
to the provisions
of the "Impairment" Chapter of IFRS 9; or
|
| ― |
the amount initially recognised, less, where appropriate, the
aggregate income recognised
according to the principles of IFRS 15 "Revenue from contracts with customers".
|
1.2.3 PROVISIONS
(IAS 37 AND 19)
Crédit Agricole CIB has identified all obligations (legal or tacit) resulting from
a past event for which it is probable that an outflow of resources will be required
to settle the obligation, and for which the due date or amount of the settlement is
uncertain but can be reliably estimated. These estimates are updated where applicable
whenever there is a material impact.
For obligations other than those related to credit risk, Crédit Agricole CIB has
set
aside general provisions to cover:
| ― |
operational risks;
|
| ― |
employee benefits;
|
| ― |
financing commitment execution risks;
|
| ― |
liability claims and guarantees; and
|
| ― |
tax risks (excluding income taxes).
|
Certain estimates may be made to determine the amount of the following provisions:
| ― |
the reserve for operational risks, which although subject to
examination for identified
risks, requires Management to make assessments with regard to incident frequency and
the potential financial impact; and
|
| ― |
the reserve for legal risks, which is based on Management's best
estimate in light
of the information in its possession at the end of the reporting period.
|
Detailed information is provided in Note 6.15 "Provisions".
1.2.4 EMPLOYEE
BENEFITS (IAS 19)
In accordance with IAS 19, employee benefits are recorded in four categories:
| ― |
short-term employee benefits, including salaries, social security
contributions, annual
leave, profit-sharing and incentive plans and premiums, are defined as those which
are expected to be settled within 12 months of the period in which the related services
have been rendered;
|
| ― |
post-employment benefits subdivided into the following two subcategories:
defined-benefit
schemes and defined-contribution schemes;
|
| ― |
other long-term employee benefits (long-service awards, variable
compensation and
compensation payable 12 months or more after the end of the period);
|
| ― |
job termination benefits.
|
POST-EMPLOYMENT
BENEFITS
Defined-benefit
plans
At each reporting date, Crédit Agricole CIB Group sets aside reserves to cover
its
liabilities for retirement and similar benefits and all other employee benefits falling
in the category of defined benefit plans.
In accordance with IAS 19, these commitments are stated based on a set of actuarial,
financial and demographic assumptions, and in accordance with the projected unit credit
method. This method consists in booking a charge for each period of service, for an
amount corresponding to employee's vested benefits for the period. This charge is
calculated based on the discounted future benefit.
The calculations pertaining to the liabilities for retirement and other employee
benefits
are based on assumptions made by management with respect to the discount rate, staff
turnover rate and probable increases in salary and social security costs. If the actual
figures differ from the assumptions made, the retirement liability may increase or
decrease in future years (see Note7.4 "Post-employment benefits, defined benefit plans").
The discount rates are determined based on the average term of the commitment,
that
is, the arithmetical average of the terms calculated between the valuation date and
the payment date weighted by employee turnover assumptions.
The anticipated return on plan assets is also estimated by management. The returns
are estimated on the basis of expected returns on fixed income securities, and notably
bonds.
The expected return on plan assets is determined using discount rates applied to
measure
the defined benefit obligation.
In accordance with IAS 19 revised, Crédit Agricole CIB recognises all actuarial
differences
as gains or losses recognised directly in other comprehensive income with no transfer
to profit and loss. The amount of the provision is equal to:
| ― |
the present value of the obligation to provide the defined benefits
at the end of
the reporting period, calculated in accordance with the actuarial method recommended
by IAS 19;
|
| ― |
if necessary, reduced by the fair value of the assets allocated
to hedge these commitments.
These may be represented by an eligible insurance policy. In the event that 100% of
the obligation is hedged by a policy that exactly equals the expense amount payable
over the period for all or part of a defined benefit plan, the fair value of the policy
is deemed to be the value of the corresponding obligation, i.e. the amount of the
corresponding actuarial liability.
|
Defined-contribution
plans
There are various mandatory pension plans to which employers contribute. The funds
are managed by independent organisations and the contributing companies have no legal
or implied obligation to pay additional contributions if the funds do not have sufficient
assets to provide all the benefits corresponding to the services rendered by staff
during the current and previous years. As a consequence, Crédit Agricole CIB has no
liability in this respect other that the contributions to be paid for the year ended.
OTHER LONG-TERM
BENEFITS
Other long-term employee benefits are employee benefits other than post-employment
benefits or termination benefits but not fully due to employees within 12 months after
the end of the period in which the related services have been rendered.
These include, in particular, bonuses and other deferred compensation payable 12
months
or more after the end of the period during which they have been granted, but which
are not share-based.
The measurement method is similar to the one used by the Group for post-employment
benefits with defined-benefit plans.
1.2.5 SHARE-BASED
PAYMENTS (IFRS 2)
IFRS 2 "Share-based payments" requires measurement of sharebased payment transactions
in the company's income statement and balance sheet. The standard applies to transactions
carried out with employees, and more specifically:
| ― |
share-based payment transactions settled in equity instruments;
and
|
| ― |
share-based payment transactions settled in cash.
|
In the accounts of Crédit Agricole CIB, payment plans based on the shares of Crédit
Agricole S.A. and recognised according to IFRS 2 are only transactions settled in
cash. The plans granted are measured at fair value mainly according to the Black &
Scholes option pricing model. These plans are recognised as expense under Personnel
costs against an expense debt account to be paid gradually over the vesting period,
i.e. four years for all existing plans.
Subscriptions of shares offered to employees as part of the company savings plan
also
fall under the scope of IFRS 2. Shares may be offered to employees with a discount
of no more than 20%. These plans have no vesting period but the shares are subject
to a lock-up period of five years. The benefit granted to employees is measured as
the difference between the fair value of the acquired share taking into account the
lock-up period and the purchase price paid by the employee at the issuance date multiplied
by the number of shares issued.
A detailed description of the method of the plans allocated and the valuation methods
can be found in Note 7.6 "Share-based payments".
1.2.6 CURRENT
AND DEFERRED TAXES (IAS 12)
Crédit Agricole CIB is 99.9% owned by Crédit Agricole Group since 27 December 1996
and some of its subsidiaries are part of the tax consolidation Group of Crédit Agricole
S.A.
In accordance with IAS 12, the income tax charge includes all income taxes, whether
current or deferred.
The standard defines current tax due as "the amount of income tax payable (recoverable)
in respect of the taxable profit (tax loss) for a reporting period". Taxable income
is the profit (or loss) for a given accounting period measured in accordance with
the rules determined by the taxation authorities.
The applicable rates and rules used to measure the current tax payable are those
in
effect in each country where the Group's companies are established.
The current tax liability relates to any income due or that will become due, for
which
payment is not subordinated to the completion of future transactions, even if payment
is spread over several years.
The current tax payable must be recognised as a liability until it is paid. If
the
amount that has already been paid for the current year and previous years exceeds
the amount due for these years, the surplus must be recognised under assets.
Moreover, certain transactions carried out by the entity may have tax consequences
that are not taken into account in measuring the current tax payable. IAS 12 defines
the difference between the carrying amount of an asset or liability and its tax basis
as a temporary difference.
This standard requires that deferred taxes be recognised in the following cases:
| ― |
a deferred tax liability should be recognised for any taxable temporary differences
between the carrying amount of an asset or liability on the balance sheet and its
tax base, unless the deferred tax liability arises from:
| ― |
the initial recognition of goodwill,
|
| ― |
the initial recognition of an asset or a liability in a transaction
that is not a
business combination and that does not affect either the accounting or the taxable
profit (taxable loss) at the transaction date.
|
|
| ― |
a deferred tax asset should be recognised for any deductible
temporary differences
between the carrying amount of an asset or liability on the balance sheet and its
tax base, insofar as it is deemed probable that a future taxable profit will be available
against which such deductible temporary differences can be allocated.
|
| ― |
a deferred tax asset must also be recognised in order to carry
forward tax losses
and eventual tax credits not allocated, to the extent that those sums can be offset
against future taxable income.
|
The tax rates applicable in each country are used.
Deferred taxes are not discounted.
Taxable unrealised gains on securities do not generate any taxable temporary differences
between the carrying amount of the asset and the tax base. As a result, deferred tax
is not recognised on these gains. When the securities in question are classified as
other financial instruments at fair value through other comprehensive income, the
latent capital gains and losses are recognised against other comprehensive income.
The tax charge or saving effectively borne by the entity arising from these unrealised
gains or losses is also reclassified as a deduction from these gains.
In France, all but 12% of long-term capital gains on the sale of equity investments,
as defined by the General Tax Code, are exempt from corporate tax; the 12% share of
long term capital gains are taxed at the normally applicable rate. Accordingly, unrealised
gains recognised at the reporting date generate a temporary difference requiring the
recognition of deferred tax on this portion. Under IFRS 16 leases, a deferred tax
liability is recognised on the right of use and a deferred tax asset on the lease
liability for the leases in which the Group is a lessee.
Current and deferred tax are recognised in net income for the year, unless the
tax
arises from:
| ― |
either a transaction or event that is recognised directly through
other comprehensive
income, during the same year or during another year, in which case it is directly
debited or credited to other comprehensive income;
|
| ― |
or a business combination.
|
Deferred tax assets and liabilities are offset against each other if, and only
if:
| ― |
the entity has a legally enforceable right to offset current
tax assets against current
tax liabilities; and
|
| ― |
the deferred tax assets and liabilities apply to income taxes
assessed by the same
tax authority:
|
a) either on the same taxable entity;
b) or for different taxable entities that intend either to settle current tax assets
and liabilities on a net basis, or to settle their tax assets and liabilities at the
same time during each future financial year in which it is expected that substantial
deferred tax assets or liabilities will be paid or recovered.
Tax risks relating to income taxes give rise to the recognition of a current tax
receivable
or liability, when the probability of receiving the asset or paying the liability
is considered more likely than unlikely.
When tax credits on income from securities portfolios and amounts receivable are
effectively
used to pay income tax due for the year, they are recognised under the same heading
as the income with which they are associated. The corresponding tax charge is kept
under the heading "Income tax charge" in the income statement.
1.2.7 TREATMENT
OF FIXED ASSETS (IAS 16, 36, 38 AND 40)
Crédit Agricole CIB Group applies component accounting for all of its property,
plant
and equipment. In accordance with the provisions of IAS 16, the depreciable amount
takes account of the potential residual value of property, plant and equipment.
Land is measured at cost less any impairment losses.
Operating and investment properties and equipment are recorded at acquisition cost
minus the depreciation and impairment accumulated over the period of use.
Purchased software is measured at purchase price minus accumulated depreciation
and
impairment losses since acquisition.
Proprietary software is measured at cost less accumulated depreciation and impairment
losses since completion.
Apart from software, intangible assets are mainly assets acquired during a business
combination resulting from contract law (e.g. distribution agreement). These were
measured on the basis of corresponding future economic benefits or expected service
potential. Fixed assets are depreciated over their estimated useful lives.
The following components and depreciation periods have been adopted by the Crédit
Agricole CIB Group following the application of component accounting for fixed assets.
These depreciation periods are adjusted according to the type of asset and its location:
| Component |
Depreciation period |
| Land |
Not depreciable |
| Structural works |
30 to 80 years |
| Non-structural works |
8 to 40 years |
| Plant and equipment |
5 to 25 years |
| Fixtures and fittings |
5 to 15 years |
| Computer equipment |
4 to 7 years |
| Special equipment |
4 to 5 years |
Exceptional depreciation charges corresponding to tax-related depreciation and
not
to any real impairment in the value of the asset are eliminated in the consolidated
financial statements.
1.2.8 FOREIGN
CURRENCY TRANSACTIONS (IAS 21)
On the reporting date, foreign-currency denominated monetary assets and liabilities
are translated into euros, Crédit Agricole CIB Group's functional currency.
In accordance with IAS 21, a distinction is made between monetary items (e.g. debt
instruments) and non-monetary items (e.g. equity instruments).
Foreign currency-denominated assets and liabilities are translated at the closing
exchange rates. The resulting translation adjustments are recorded in the income statement.
There are three exceptions to this rule:
| ― |
on debt instruments at fair value through other comprehensive
income with transfer
to profit and loss, the translation adjustment component calculated on the amortised
cost is recognised in profit and loss; the additional amount is recorded under other
comprehensive income with transfer to profit and loss;
|
| ― |
on elements designated as cash flow hedge or forming part of
a net investment in a
foreign exchange transaction are recognised in other comprehensive income with transfer
to profit and loss for the effective part;
|
| ― |
for financial liabilities at fair value through profit and loss,
translation adjustments
linked to variations in fair value of own credit risk are recognised under other comprehensive
income with no transfer to profit and loss.
|
Non-monetary items are treated differently depending on the accounting treatment
of
these items before translation:
| ― |
items at historical cost remain measured at the exchange rate
on the transaction date
(historical rate);
|
| ― |
items at fair value are converted at the exchange rate at the
end of the reporting
period.
|
The translation adjustments on non-monetary items are recognised:
| ― |
in the income statement if the gain or loss on the non-monetary
item is recorded in
the income statement;
|
| ― |
in other comprehensive income if the gain or loss on the non-monetary
item is recorded
in other comprehensive income .
|
1.2.9 REVENUE
FROM CONTRACTS WITH CUSTOMERS (IFRS 15)
Fee and commission income and expenses are recognised in income based on the nature
of the services with which they are associated:
Fees and commissions that are an integral part of the effective yield on a financial
instrument are recognised as an adjustment to the yield on the instrument and included
in its effective interest rate. With regards to other kinds of commissions, the entry
in the income statement must reflect the rate of transfer to the client of the control
of the good or service sold:
| ― |
the profit or loss of a transaction associated with a provision
of services is recognised
under Commissions, during the transfer of control of the provision of the service
to the client if it can be reliably estimated. This transfer may occur at the same
rate as that at which the service is provided (ongoing service) or on a given date
(one-off service).
a. Commissions remunerating ongoing services (commissions on payment methods, for
example) are recognised under profit and loss depending on the degree of completion
of the service provided.
b. Commissions received or paid for the remuneration of one-off
services are, for
their part, entirely recognised under profit and loss when the service is provided.
|
Commission to be paid or received pending the attainment of a performance target
are
recognised for the amount for which it is highly likely that the revenue thus recognised
will not be subsequently subject to a significant downward adjustment once the uncertainty
has been resolved. This estimate is updated at each closing. In practice, this condition
has the effect of deferring the recording of certain performance commissions until
the performance assessment period has passed, and until commissions are certain.
1.2.10 LEASES
(IFRS 16)
The Group may be party to a lease in the capacity of lessor or lessee.
LEASES IN WHICH
THE GROUP IS LESSOR
Lease operations are analysed according to their substance and financial reality.
They are classified as finance leases or operating leases, as appropriate.
| ― |
Finance leases are treated similarly to the sale of a fixed asset
to the lessee, financed
by a loan from the lessor. The analysis of the economic substance of finance leases
leads the lessor to: a) Remove the leased fixed asset from the balance sheet;
b) Record a financial receivable on the client under "financial assets at amortised
cost" at a value equal to the discounted value at the implicit rate of the contract
for lease payments owed to the lessor under the lease, plus any residual non-guaranteed
value owing to the lessor;
c) Report deferred taxes due to time differences affecting the financial receivable
and the net carrying amount of the leased fixed asset;
d) Break down the proceeds from the lease payments into interest
and repayment of
principal.
|
| ― |
For operating leases, the lessor reports the leased properties
as "property, plant
and equipment" on the assets side of its balance sheet and records the lease proceeds
in a linear way as "proceeds from other activities" on the income statement.
|
LEASES IN WHICH
THE GROUP IS LESSEE
Lease transactions are reported on the balance sheet on the date of availability
of
the leased asset. The lessee records an asset representative of the right of use of
the leased asset under property, plant and equipment for the estimated duration of
the lease and a liability under the obligation to make lease payments under miscellaneous
liabilities over this same duration.
The lease duration is the non-terminable duration of the lease, adjusted for lease
extension options that the lessee is reasonably certain to make use of and termination
options that the lessee is reasonably certain not to make use of.
In France, the duration used for commercial leases known as "3/6/9" leases is generally
9 years, with an initial non-terminable period of 3 years.
Lease liabilities are recorded for an amount equal to the discounted value of the
lease payments over the duration of the contract. Rent payments include fixed rents,
variable rents based on a rate or index and payments that the lessee expects to pay
in respect of residual value guarantees, purchase options or early termination penalties.
Variable rents which do not depend on an index or rate and non-deductible VAT on rents
are not included in the liabilities calculation and are reported as general operating
expenses. The default discount rate applicable to calculate the right of use and the
lease liability is the lessee's marginal debt ratio over the duration of the contract
on the date of signature, when the implicit rate is not easy to determine. The marginal
debt ratio takes the structure of the lease payment into account.
The lease expenses are broken down into interests and principal. The asset right
of
use is measured at the initial value of the lease liability plus the direct initial
costs, advance payments, remedial costs and less the lease incentives. It is amortised
over the estimated duration of the lease.
Lease liabilities and the right of use can be adjusted in the event of modifications
to the lease, re-estimation of the lease duration or review of the rents linked to
application of indices or rates.
Deferred taxes are reported under time differences of rights of use and lessee
lease
liabilities.
In line with the exception provided for by the standard, shortterm leases (initial
duration of under twelve months) and leases on properties with a low new value are
not included on the balance sheet, the corresponding lease expenses are recorded in
a linear manner on the income statement with general operating expenses. In accordance
with the provisions of the standard, the Group does not apply IFRS 16 to leases of
intangible assets.
1.2.11 NON-CURRENT
ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS (IFRS 5)
A non-current asset (or a disposal group) is classified as held for sale if its
carrying
amount will be recovered principally through a sale transaction rather than through
continuing use.
For this to be the case, the asset (or disposal group) must be available for immediate
sale in its present condition and its sale must be highly probable.
The relevant assets and liabilities are shown separately on the balance sheet under
Non-current assets held-for-sale and discontinued operations and Liabilities associated
with non-current assets held-for-sale and discontinued operations.
A non-current asset (or disposal group) classified as held for sale is measured
at
the lower of its carrying amount and fair value less costs of sale. A charge for impairment
of unrealised gains is recognised in the income statement. Unrealised gains are no
longer amortised when they are reclassified.
If the fair value of a disposal group less selling costs is under its carrying
amount
after impairment of non-current assets, the difference is allocated to other disposal
group assets including the financial assets and is recognised under income net of
taxes on discontinued operations.
A discontinued operation is a component that the Group has either disposed of,
or
is classified as held-for-sale, according to the following situations:
| ― |
it represents a main and different line of business or a geographical
area;
|
| ― |
it is part of a single coordinated plan to dispose of a separate
major line of business
or geographical area of operations; or
|
| ― |
it is a subsidiary acquired exclusively with a view to resale.
|
The following are disclosed on a separate line of the income statement:
| ― |
the profit or loss from discontinued operations until the date
of disposal, net of
tax;
|
| ― |
the gain or loss recognised on the disposal or on measurement
to fair value less costs
of sale of the assets and liabilities constituting the discontinued operations, net
of tax.
|
1.3 Consolidation
principles and methods (IFRS 10, IFRS 11 and IAS 28)
1.3.1 SCOPE OF
APPLICATION
The consolidated financial statements include the financial statements of Crédit
Agricole
CIB and those of all companies over which, in compliance with IFRS 10, IFRS 11 and
IAS 28, Crédit Agricole CIB exercises control, joint control or significant influence.
DEFINITIONS OF
CONTROL
In compliance with international accounting standards, all entities under control,
under joint control or under significant influence are consolidated, provided that
they are not covered by the exclusions below.
Exclusive control over an entity is deemed to exist if Crédit Agricole CIB is exposed
to or entitled to receive variable returns as a result of its involvement with the
entity and if the power it holds over this entity allows it to influence these returns.
Power in this context means substantive (voting or contractual) rights. Rights are
considered substantive if the holder of the rights can in practice exercise them when
decisions about the company's relevant activities are made.
Crédit Agricole CIB is deemed to control a subsidiary through voting rights when
its
rights give it the practical ability to direct the subsidiary's relevant activities.
Crédit Agricole CIB generally controls the subsidiary when it holds, directly or indirectly
through subsidiaries, more than half of the existing or potential voting rights of
an entity, unless it can be clearly demonstrated that such holding does not allow
directing relevant activities. Control is also deemed to exist where Crédit Agricole
CIB holds half or less than half of the voting rights, including potential rights,
in an entity but is able in practice to direct its relevant activities at its sole
discretion, notably because of the existence of contractual arrangements, the size
of its stake in the voting rights compared to those of other investors, or other reasons.
Control of a structured entity is not assessed on the basis of voting rights as
these
have no effect on the entity's returns. When assessing control, consideration is given
not only to contractual arrangements in force but also to whether Crédit Agricole
CIB was involved in creating the entity and what decisions it made at the time, what
agreements were made at its inception and what risks are borne by Crédit Agricole
CIB, any rights under agreements that give the investor the power to direct relevant
activities in specific circumstances only and any other facts or circumstances that
indicate the investor can direct the entity's relevant activities. Where a management
mandate exists, the scope of the decision-making authority relating to the delegation
of power to the manager and the remuneration to which the contractual arrangements
entitles are analysed in order to determine whether the manager acts as an agent (delegated
power) or principal (for his own account).
Thus, when decisions about the relevant activities of the entity need to be taken,
the indicators to be analysed in order to define whether an entity acts as an agent
or as the principal are the scope of the decision-making power delegated to the manager
over the entity, the remunerations to which the contractual arrangements give entitlement,
but also the substantive rights that may affect the decision-maker's capacity held
by the other parties involved in the entity, and the exposure to the entity and the
variability in returns from other interests held in the entity.
Joint control is deemed to exist when there is a contractual division of control
over
an economic activity. Decisions affecting the entity's relevant activities require
unanimous agreement of the joint controllers.
In traditional entities, significant influence is defined as the power to influence
but not control a company's financial and operational policies. Crédit Agricole CIB
is presumed to have significant influence if it owns 20% or more of the voting rights
in an entity, whether directly or indirectly through subsidiaries.
EXCLUSIONS FROM
THE SCOPE OF CONSOLIDATION
In accordance with IAS 28, minority holdings held by entities for which the option
provided in article 18 of this standard has been exercised are excluded from the scope
of consolidation insofar as they are categorised as financial assets at fair value
through profit and loss by nature.
1.3.2 CONSOLIDATION
METHODS
The methods of consolidation are respectively defined by IFRS 10 and IAS 28 revised.
They depend on the type of control exercised by Crédit Agricole CIB over the entities
that can be consolidated, regardless of activity or if they have legal entity status:
| ― |
full consolidation, for controlled entities, including entities
with different financial
statement structures, even if their business is not an extension of that of Crédit
Agricole CIB;
|
| ― |
the equity method, for the entities over which Crédit Agricole
S.A. exercises significant
influence or joint control.
|
Full consolidation consists in substituting for the value of the shares each of
the
assets and liabilities carried by each subsidiary. The share of the minority interests
in equity and income is separately identified in the consolidated balance sheet and
income statement. Non-controlling interests correspond to the holdings that do not
allow control as defined by IFRS 10 and incorporate the instruments that are shares
of current interests and that give right to a proportional share of net assets in
the event of liquidation and the other equity issued by the subsidiary and not held
by the Group. The equity method consists in substituting for the value of shares,
the Group's proportional share of the equity and income of the companies concerned.
The change in the carrying amount of these shares includes changes in goodwill.
In the event of incremental share purchases or partial disposals with continued
joint
control or significant influence, Crédit Agricole CIB recognises:
| ― |
in the case of an increase in the percentage of interest, additional
goodwill;
|
| ― |
in the case of a reduction in the percentage of interest, a gain
or loss on disposal/dilution
in profit or loss.
|
1.3.3 ADJUSTMENTS
AND ELIMINATIONS
Adjustments are made to harmonise the methods of valuing the consolidated companies.
The impact of Group internal transactions on the consolidated balance sheet and
income
statement is eliminated for fully consolidated entities.
Capital gains or losses arising from intra-Group asset transfers are eliminated;
any
potential lasting impairment resulting from an internal disposal is recognised.
1.3.4 TRANSLATION
OF FINANCIAL STATEMENTS OF FOREIGN OPERATIONS (IAS 21)
Financial statements of entities representing a "foreign operation" (subsidiary,
branch,
associate or joint venture) are translated into Euros in two steps:
| ― |
conversion, where applicable, of the local currency in the functional
currency (the
currency of the main economic environment in which the entity operates). The conversion
is done as if the items were initially recognised in the functional currency (same
conversion principles as for transactions in foreign currency);
|
| ― |
the functional currency is translated into euros, the currency
in which the Group's
consolidated financial statements are presented. Assets and liabilities, including
goodwill, are translated at the closing rate. Equity items, such as share capital
or reserves, are translated at their historical exchange rate. Income and expenses
included in the income statement are translated at the average exchange rate for the
period. The resulting translation adjustments are recorded as specific equity. These
translation differences are recognised in profit or loss in the event of discontinuation
of foreign operations (transfer, capital repayment, liquidation, discontinuation of
operations) or in the event of deconsolidation due to loss of control (even without
transfer) when recognising profit of loss due to discontinuation or loss of control.
|
1.3.5 BUSINESS
COMBINATIONS - GOODWILL
Business combinations are accounted for using the acquisition method in accordance
with IFRS 3, except for business combinations under common control which are excluded
from the field of application of IFRS 3. Pursuant to IAS 8, these transactions are
entered at carrying amount using the pooling of interests method, with reference to
US standard ASU805-50 which seems to comply with the IFRS general principles.
On the date of acquisition, the identifiable assets, liabilities and contingent
liabilities
of the acquired entity which satisfy the conditions for recognition set out in IFRS
3 are recognised at their fair value.
Notably, restructuring liabilities are only recognised as a liability of the acquired
entity if, at the date of acquisition, the acquire is under an obligation to complete
the restructuring.
Price adjustment clauses are recognised at fair value even if their application
is
not probable. Subsequent changes in the fair value of clauses if they are financial
liabilities are recognised in the income statement. Only price adjustment clauses
relating to transactions where control was obtained at the latest by 31 December 2009
may still be recorded against goodwill, because these transactions were accounted
for under IFRS 3 pre-revision (2004).
The portion of holdings not allowing control that are shares of current interests
giving rights to a share of the net assets in the event of liquidation may be measured,
at the acquirer's choice, in two ways:
| ― |
at fair value on the date of acquisition;
|
| ― |
the share of the identifiable assets and liabilities of the acquired
company revalued
at fair value.
|
The option may be exercised at each acquisition.
The balance of interests not allowing control (equity instruments issued by the
subsidiary
and not held by the Group) should be recognised for its fair value on the date of
acquisition.
The initial assessment of assets, liabilities and contingent liabilities may be
revised
within a maximum period of twelve months after the date of acquisition.
Some transactions relating to the acquired entity are recognised separately from
the
business combination. This applies primarily to:
| ― |
transactions that end an existing relationship between the acquired
company and the
acquiring company;
|
| ― |
transactions that compensate employees or shareholders of the
acquired company for
future services;
|
| ― |
transactions whose aim is to have the acquired company or its
former shareholders
repay expenses borne by the acquirer.
|
These separate transactions are generally recognised in the income statement at
the
acquisition date.
The consideration transferred on the occasion of a business combination (the acquisition
costs) is valued as the total of the fair values transferred by the acquirer at the
date of acquisition in exchange for control of the acquired entity (e.g. cash flow,
equity, etc.).
The costs directly attributable to the business combination are recognised as expenses,
separately from the business combination. If the transaction has a very strong probability
of occurrence, they are recognised under the heading "Net gains (losses) on disposal
of other assets", otherwise they are recognised under the heading "Operating expenses".
The difference between the cost of acquisition and interests that do not allow
control
and the net balance on the date of acquisition of acquired identifiable assets and
liabilities taken over, valued at their fair value is recognised, when it is positive,
in the assets side of the consolidated balance sheet, under the heading "Goodwill"
when the acquired entity is fully consolidated and in the heading "Investments in
equity-accounted entities" when the acquired company is consolidated using the equity
method of accounting. Any negative goodwill is recognised immediately through profit
or loss.
Goodwill is carried in the balance sheet at its initial amount in the currency
of
the acquired entity and translated at the closing rate at the end of the reporting
period.
When control is taken by stages, the interest held before taking control is revalued
at fair value through profit or loss at the date of acquisition and the goodwill is
calculated once, using the fair value at the date of acquisition of acquired assets
and liabilities taken over.
Goodwill is tested for impairment whenever there is objective evidence of a loss
of
value and at least once a year.
The choices and assumptions used in assessing the holdings that do not allow control
at the date of acquisition may influence the amount of initial goodwill and any impairment
resulting from a loss of value.
For the purpose of impairment testing, goodwill is allocated to the Group Cash
Generating
Units (CGUs) that are expected to benefit from the business combination. The CGUs
have been defined within the Group's business lines as the smallest identifiable group
of assets and liabilities functioning in a single business model. Impairment testing
consists of comparing the carrying amount of each CGU, including any goodwill allocated
to it, with its recoverable amount.
The recoverable amount of the CGUs is defined as the higher of fair value diminished
of selling costs and value in use. The value in use is the present value of the future
cash flows of the CGUs, as set out in medium-term business plans prepared by the Group
for management purposes.
When the recoverable amount is lower than the carrying amount, a corresponding
impairment
loss is recognised for the goodwill allocated to the CGUs. This impairment is irreversible.
In the case of an increase in the interest percentage of Crédit Agricole CIB in
an
entity already controlled exclusively, the difference between the cost of acquisition
and the share of net assets acquired is recorded in the heading "Consolidated reserves
Group share". In the event of a decrease in the interest percentage of Crédit Agricole
CIB in an entity that remains exclusively controlled, the difference between the sale
price and the book value of the share of the divested position is also recognised
directly in "Consolidated reserves Group share". The expenses arising from these transactions
are recognised in equity.
The accounting treatment of sale options granted to minority shareholders is as
follows:
| ― |
when a sale option is granted to the minority shareholders of
a fully consolidated
subsidiary, a liability is recognised in the balance sheet; on initial recognition,
the liability is measured at the estimated present value of the exercise price of
the options granted. Against this liability, the share of net assets belonging to
the minority shareholders concerned is reduced to zero and the remainder is deducted
from equity;
|
| ― |
subsequent changes in the estimated value of the exercise price
will affect the amount
of the liability, offset by an adjustment to equity. Symmetrically, subsequent changes
in the share of net assets due to minority shareholders are cancelled, offset in equity.
|
When there is a loss of control, the proceeds from the disposal are calculated
on
the entirety of the entity sold and any investment share kept is recognised in the
balance sheet at its fair value on the date control was lost.
NOTE 2: MAJOR
STRUCTURAL TRANSACTIONS AND MATERIAL EVENTS DURING THE PERIOD
The scope of consolidation and changes at 31 December 2019 are shown in detail
at
the end of the notes in Note 13 "Scope of consolidation at 31 December 2019".
2.1 Disposal of
Banque Saudi Fransi
During the financial year, Crédit Agricole Corporate & Investment Bank realised
the
disposal of a 10.9% stake in the capital of Banque Saudi Fransi (BSF) a consortium
led by Ripplewood Group.
This disposal was realised in two phases:
| ― |
The disposal of a first block of 4.9% took place on 29 April
2019 for a price of 31.50
Saudi Riyals (SAR) per share for a total amount of SAR 1.86 billion, or €444 million.
The buyers were the investment company RAM Holdings I Ltd (an investment holding company
controlled by Ripplewood Advisors LLC based in the United States) for 3.0% and Olayan
Saudi Investment Company for 1.9%.
|
| ― |
The disposal of a second block of 6.0% took place on 21l November
2019 in favour of
RAM Holdings I Ltd for a price of 30.00 Saudi Riyals (SAR) per share for a total amount
of SAR 2.17 billion, or €522 million. This disposal followed the exercise of the stock
options granted during the disposal of the first block, which could be exercised until
December 2019.
|
The impact of these disposals were entered in the consolidated financial statements
under equity. Crédit Agricole CIB continues to hold 4.0% stake of BSF's capital and
will assess the options of disposal of this residual investment in an opportunistic
manner.
NOTE 3: FINANCIAL
MANAGEMENT, RISK EXPOSURE AND HEDGING POLICY
The Department of Group Permanent Control and Risks (DRG) is responsible for the
management
of banking risks in Crédit Agricole CIB. This department reports to the Chief Executive
Officer and its brief is to ensure the management and permanent control of credit,
financial and operational risks.
A description of these processes and commentary appear in the "Risk factors" chapter
of the management report, as allowed under IFRS 7. The accounting breakdowns are presented
in the financial statements.
3.1 Credit risk
(see Chapter on "Risk Management - Credit Risk")
VALUE ADJUSTMENTS
FOR LOSSES DURING THE PERIOD
Value adjustments for losses correspond to the impairment of assets and to provisions
for off-balance sheet commitments recognised in net income ("Cost of risk") relating
to credit risk.
The following tables present the closing balances of value adjustments for losses
recognised under "Cost of risk", by accounting category and type of instrument.
► Financial assets
at amortised cost: Debt securities
|
Performing assets |
Credit-impaired assets
(Bucket 3) |
|
Assets subject to
12 month ECL (Bucket 1) |
Assets subject to
lifetime ECL (Bucket 2) |
Gross carrying amount |
Loss allowance |
| € million |
Gross carrying amount |
Loss allowance |
Gross carrying amount |
Loss allowance |
|
|
| Balance at 31 December 2018 |
27,889 |
(4) |
|
|
26 |
(14) |
| Transfer between buckets during the period |
|
|
|
|
|
|
| Transfer from Bucket 1 to Bucket 2 |
|
|
|
|
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
|
|
|
|
| Transfer to Bucket 3 1 |
|
|
|
|
|
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
|
|
|
| Total after transfer |
27,889 |
(4) |
|
|
26 |
(14) |
| Changes in gross carrying amounts and loss allowances |
9,181 |
(3) |
358 |
(10) |
(3) |
(1) |
| New production : purchase, granting, origination… 2 |
15,470 |
(15) |
356 |
(14) |
|
|
| Derecognition : disposal, repayment, maturity... |
(9,344) |
15 |
(139) |
14 |
(4) |
|
| Write-off |
|
|
|
|
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(3) |
|
|
|
|
| Changes in model / methodology |
|
1 |
|
|
|
|
| Changes in scope |
|
|
|
|
|
|
| Other |
3,055 |
(1) |
141 |
(10) |
1 |
(1) |
| Total |
37,070 |
(7) |
358 |
(10) |
23 |
(15) |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
161 |
|
|
|
|
|
| Balance at 31 December 2019 |
37,231 |
(7) |
358 |
(10) |
23 |
(15) |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
|
|
|
|
|
Total |
|
Gross carrying amount (a) |
Loss allowance (b) |
Net carrying amount (a) + (b) |
| € million |
|
|
|
| Balance at 31 December 2018 |
27,915 |
(18) |
27,897 |
| Transfer between buckets during the period |
|
|
|
| Transfer from Bucket 1 to Bucket 2 |
|
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
|
| Transfer to Bucket 3 1 |
|
|
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
| Total after transfer |
27,915 |
(18) |
27,897 |
| Changes in gross carrying amounts and loss allowances |
9,536 |
(14) |
|
| New production : purchase, granting, origination… 2 |
15,826 |
(29) |
|
| Derecognition : disposal, repayment, maturity... |
(9,487) |
29 |
|
| Write-off |
|
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(3) |
|
| Changes in model / methodology |
|
1 |
|
| Changes in scope |
|
|
|
| Other |
3,197 |
(12) |
|
| Total |
37,451 |
(32) |
37,419 |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
161 |
|
|
| Balance at 31 December 2019 |
37,612 |
(32) |
37,580 |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
|
1
Transfers to Bucket 3 correspond to stocks initially classified in Bucket 1, which
during the year have been downgraded directly in Bucket 3, or in Bucket 2 and then
in Bucket 3.
2
Originations in Bucket 2 could include some originated loans in Bucket 1 reclassified
in Bucket 2 during the period.
3
Includes the variations of fair value adjustments of micro-hedged instruments, the
variations relating to the use of the EIR method (notably the amortisation of premiums/
discounts), the variations of the accretion of discounts on restructured loans (recovered
as revenue over the remaining term of the asset).
► Financial assets
at amortised cost: loans and receivables due from credit institutions
|
Performing assets |
Credit-impaired assets
(Bucket 3) |
|
Assets subject to
12 month ECL (Bucket 1) |
Assets subject to
lifetime ECL (Bucket 2) |
Gross carrying amount |
Loss allowance |
| € million |
Gross carrying amount |
Loss allowance |
Gross carrying amount |
Loss allowance |
|
|
| Balance at 31 December 2018 |
19,101 |
(4) |
55 |
|
411 |
(391) |
| Transfer between buckets during the period |
(89) |
|
|
|
89 |
(8) |
| Transfer from Bucket 1 to Bucket 2 |
|
|
|
|
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
|
|
|
|
| Transfer to Bucket 3 1 |
(89) |
|
|
|
89 |
(8) |
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
|
|
|
| Total after transfer |
19,012 |
(4) |
55 |
|
500 |
(399) |
| Changes in gross carrying amounts and loss allowances |
(3,167) |
3 |
(43) |
|
(1) |
11 |
| New production : purchase, granting, origination… 2 |
8,813 |
(7) |
10 |
(1) |
|
|
| Derecognition : disposal, repayment, maturity... |
(12,295) |
12 |
(53) |
|
(11) |
1 |
| Write-off |
|
|
|
|
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(5) |
|
|
|
17 |
| Changes in model / methodology |
|
2 |
|
1 |
|
|
| Changes in scope |
|
|
|
|
|
|
| Other |
315 |
1 |
|
|
10 |
(7) |
| Total |
15,845 |
(1) |
12 |
|
499 |
(388) |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
28 |
|
|
|
1 |
|
| Balance at 31 December 2019 |
15,873 |
(1) |
12 |
|
500 |
(388) |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
|
|
|
|
|
Total |
|
Gross carrying amount (a) |
Loss allowance (b) |
Net carrying amount (a) + (b) |
| € million |
|
|
|
| Balance at 31 December 2018 |
19,567 |
(395) |
19,172 |
| Transfer between buckets during the period |
|
(8) |
|
| Transfer from Bucket 1 to Bucket 2 |
|
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
|
| Transfer to Bucket 3 1 |
|
(8) |
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
| Total after transfer |
19,567 |
(403) |
19,164 |
| Changes in gross carrying amounts and loss allowances |
(3,211) |
14 |
|
| New production : purchase, granting, origination… 2 |
8,823 |
(8) |
|
| Derecognition : disposal, repayment, maturity... |
(12,359) |
13 |
|
| Write-off |
|
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
| Changes in models' credit risk parameters during the
period |
|
12 |
|
| Changes in model / methodology |
|
3 |
|
| Changes in scope |
|
|
|
| Other |
325 |
(6) |
|
| Total |
16,356 |
(389) |
15,967 |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
29 |
|
|
| Balance at 31 December 2019 |
16,385 |
(389) |
15,996 |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
|
1
Transfers to Bucket 3 correspond to stocks initially classified in Bucket 1, which
during the year have been downgraded directly in Bucket 3, or in Bucket 2 and then
in Bucket 3.
2
Originations in Bucket 2 could include some originated loans in Bucket 1 reclassified
in Bucket 2 during the period.
3
Includes the variations of fair value adjustments of micro-hedged instruments, the
variations relating to the use of the EIR method (notably the amortisation of premiums/
discounts), the variations of the accretion of discounts on restructured loans (recovered
as revenue over the remaining term of the asset), and the variations of changes in
related receivables.
► Financial assets
at amortised cost: loans and receivables due from customers
|
Performing assets |
Credit-impaired assets
(Bucket 3) |
|
Assets subject to
12 month ECL (Bucket 1) |
Assets subject to
lifetime ECL (Bucket 2) |
Gross carrying amount |
Loss allowance |
| € million |
Gross carrying amount |
Loss allowance |
Gross carrying amount |
Loss allowance |
|
|
| Balance at 31 December 2018 |
121,300 |
(144) |
12,110 |
(434) |
3,226 |
(1,756) |
| Transfer between buckets during the period |
(651) |
(6) |
(144) |
12 |
795 |
(273) |
| Transfer from Bucket 1 to Bucket 2 |
(725) |
3 |
725 |
(19) |
|
|
| Return from Bucket 2 to Bucket 1 |
552 |
(10) |
(552) |
12 |
|
|
| Transfer to Bucket 3 1 |
(479) |
1 |
(364) |
21 |
843 |
(276) |
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
1 |
|
47 |
(2) |
(48) |
3 |
| Total after transfer |
120,649 |
(150) |
11,966 |
(422) |
4,021 |
(2,029) |
| Changes in gross carrying amounts and loss allowances |
11,789 |
(10) |
(1,903) |
152 |
(658) |
236 |
| New production : purchase, granting, origination… 2 |
89,862 |
(121) |
3,219 |
(134) |
|
|
| Derecognition : disposal, repayment, maturity... |
(77,339) |
117 |
(5,159) |
244 |
(416) |
76 |
| Write-off |
|
|
|
|
(264) |
256 |
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(7) |
|
|
|
(103) |
| Changes in model / methodology |
|
(4) |
|
44 |
|
|
| Changes in scope |
|
|
|
|
|
|
| Other |
(734) |
5 |
37 |
(2) |
22 |
7 |
| Total |
132,438 |
(160) |
10,063 |
(270) |
3,363 |
(1,793) |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
177 |
|
1 |
|
45 |
|
| Balance at 31 December 2019 |
132,615 |
(160) |
10,064 |
(270) |
3,408 |
(1,793) |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
|
|
|
|
|
Total |
|
Gross carrying amount (a) |
Loss allowance (b) |
Net carrying amount (a) + (b) |
| € million |
|
|
|
| Balance at 31 December 2018 |
136,636 |
(2,334) |
134,302 |
| Transfer between buckets during the period |
|
(267) |
|
| Transfer from Bucket 1 to Bucket 2 |
|
(16) |
|
| Return from Bucket 2 to Bucket 1 |
|
2 |
|
| Transfer to Bucket 3 1 |
|
(254) |
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
1 |
|
| Total after transfer |
136,636 |
(2,601) |
134,035 |
| Changes in gross carrying amounts and loss allowances |
9,228 |
378 |
|
| New production : purchase, granting, origination… 2 |
93,081 |
(255) |
|
| Derecognition : disposal, repayment, maturity... |
(82,914) |
437 |
|
| Write-off |
(264) |
256 |
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(110) |
|
| Changes in model / methodology |
|
40 |
|
| Changes in scope |
|
|
|
| Other |
(675) |
10 |
|
| Total |
145,864 |
(2,223) |
143,641 |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
223 |
|
|
| Balance at 31 December 2019 |
146,087 |
(2,223) |
143,864 |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
|
1
Transfers to Bucket 3 correspond to stocks initially classified in Bucket 1, which
during the year have been downgraded directly in Bucket 3, or in Bucket 2 and then
in Bucket 3.
2
Originations in Bucket 2 could include some originated loans in Bucket 1 reclassified
in Bucket 2 during the period.
3
Includes the variations of fair value adjustments of micro-hedged instruments, the
variations relating to the use of the EIR method (notably the amortisation of premiums/
discounts), the variations of the accretion of discounts on restructured loans (recovered
as revenue over the remaining term of the asset).
► Financial assets
at fair value through equity: Debt securities
|
Performing assets |
Credit-impaired assets
(Bucket 3) |
|
Assets subject to
12 month ECL (Bucket 1) |
Assets subject to
lifetime ECL (Bucket 2) |
Carrying amount |
Loss allowance |
| € million |
Carrying amount |
Loss allowance |
Carrying amount |
Loss allowance |
|
|
| Balance at 31 December 2018 |
9,700 |
(3) |
|
|
|
(3) |
| Transfer between buckets during the period |
|
|
|
|
|
|
| Transfer from Bucket 1 to Bucket 2 |
|
|
|
|
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
|
|
|
|
| Transfer to Bucket 3 1 |
|
|
|
|
|
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
|
|
|
| Total after transfer |
9,700 |
(3) |
|
|
|
(3) |
| Changes in gross carrying amounts and loss allowances |
(819) |
(1) |
|
|
|
|
| Fair value revaluation during the period |
71 |
|
|
|
|
|
| New production : purchase, granting, origination… 2 |
1,649 |
(3) |
|
|
|
|
| Derecognition : disposal, repayment, maturity... |
(2,680) |
2 |
|
|
|
|
| Write-off |
|
|
|
|
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
|
|
|
| Changes in models' credit risk parameters during the
period |
|
|
|
|
|
|
| Changes in model / methodology |
|
|
|
|
|
|
| Changes in scope |
|
|
|
|
|
|
| Other |
141 |
|
|
|
|
|
| Total |
8,881 |
(4) |
|
|
|
(3) |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
2 |
|
|
|
|
|
| Balance at 31 December 2019 |
8,883 |
(4) |
|
|
|
(3) |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
|
|
|
|
|
Total |
|
Carrying amount |
Loss allowance |
| € million |
|
|
| Balance at 31 December 2018 |
9,700 |
(6) |
| Transfer between buckets during the period |
|
|
| Transfer from Bucket 1 to Bucket 2 |
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
| Transfer to Bucket 3 1 |
|
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
| Total after transfer |
9,700 |
(6) |
| Changes in gross carrying amounts and loss allowances |
(819) |
(1) |
| Fair value revaluation during the period |
71 |
|
| New production : purchase, granting, origination… 2 |
1,649 |
(3) |
| Derecognition : disposal, repayment, maturity... |
(2,680) |
2 |
| Write-off |
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
| Changes in models' credit risk parameters during the
period |
|
|
| Changes in model / methodology |
|
|
| Changes in scope |
|
|
| Other |
141 |
|
| Total |
8,881 |
(7) |
| Changes in carrying amount due to specific accounting
assessment methods (with no
significant impact on loss allowance) 3 |
2 |
|
| Balance at 31 December 2019 |
8,883 |
(7) |
| Contractual amount outstanding of financial assets written
off during the period,
that are still subject to enforcement measures
|
|
|
1
Transfers to Bucket 3 correspond to outstandings initially classified in Bucket 1,
which during the year have been downgraded directly in Bucket 3, or in Bucket 2 and
then in Bucket 3.
2
Originations in Bucket 2 could include some outstandings originated in Bucket 1 reclassified
in Bucket 2 during the period.
3
Includes the impacts of the use of the EIR method (notably the amortisation of premiums/discounts).
► Financing commitments
|
Performing commitments |
Provisioned commitments
(Bucket 3) |
|
Commitments subject
to 12 month ECL (Bucket 1) |
Commitments subject
to lifetime ECL (Bucket 2) |
Amount of commitment |
Loss allowance |
| € million |
Amount of commitment |
Loss allowance |
Amount of commitment |
Loss allowance |
|
|
| Balance at 31 December 2018 |
125,869 |
(75) |
3,517 |
(160) |
34 |
(3) |
| Transfer between buckets during the period |
(777) |
(5) |
593 |
5 |
184 |
(14) |
| Transfer from Bucket 1 to Bucket 2 |
(1,119) |
4 |
1,119 |
(4) |
|
|
| Return from Bucket 2 to Bucket 1 |
472 |
(9) |
(472) |
9 |
|
|
| Transfer to Bucket 3 1 |
(130) |
|
(54) |
|
184 |
(14) |
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
|
|
|
| Total after transfer |
125,092 |
(80) |
4,110 |
(155) |
218 |
(17) |
| Changes in commitments and loss allowances |
(14,585) |
(4) |
(1,059) |
45 |
(7) |
(11) |
| New commitments given 2 |
53,174 |
(52) |
654 |
(81) |
|
|
| End of commitments |
(69,526) |
52 |
(1,773) |
110 |
(149) |
6 |
| Write-off |
|
|
|
|
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(7) |
|
|
|
(17) |
| Changes in model / methodology |
|
5 |
|
20 |
|
|
| Changes in scope |
|
|
|
|
|
|
| Other |
1,767 |
(2) |
60 |
(4) |
142 |
|
| Balance at 31 December 2019 |
110,507 |
(84) |
3,051 |
(110) |
211 |
(28) |
|
Total |
|
Amount of commitment (a) |
Loss allowance (b) |
Net amount of commitment (a) +
(b) |
| € million |
|
|
|
| Balance at 31 December 2018 |
129,420 |
(238) |
129,182 |
| Transfer between buckets during the period |
|
(14) |
|
| Transfer from Bucket 1 to Bucket 2 |
|
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
|
| Transfer to Bucket 3 1 |
|
(14) |
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
| Total after transfer |
129,420 |
(252) |
129,168 |
| Changes in commitments and loss allowances |
(15,651) |
30 |
|
| New commitments given 2 |
53,828 |
(133) |
|
| End of commitments |
(71,448) |
168 |
|
| Write-off |
|
|
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(24) |
|
| Changes in model / methodology |
|
25 |
|
| Changes in scope |
|
|
|
| Other |
1,969 |
(6) |
|
| Balance at 31 December 2019 |
113,769 |
(222) |
113,547 |
1
Transfers to Bucket 3 correspond to commitments initially classified in Bucket 1,
which during the year have been downgraded directly in Bucket 3, or in Bucket 2 and
then in Bucket 3.
2
New commitments in Bucket 2 could include some commitments which originated in Bucket
1 reclassified in Bucket 2 during the period.
► Guarantee commitments
|
Performing commitments |
Provisioned commitments
(Bucket 3) |
|
Commitments subject
to 12 month ECL (Bucket 1) |
Commitments subject
to lifetime ECL (Bucket 2) |
Amount of commitment |
Loss allowance |
| € million |
Amount of commitment |
Loss allowance |
Amount of commitment |
Loss allowance |
|
|
| Balance at 31 December 2018 |
46,711 |
(14) |
2,855 |
(28) |
304 |
(92) |
| Transfer between buckets during the period |
(1,106) |
(2) |
553 |
8 |
553 |
(119) |
| Transfer from Bucket 1 to Bucket 2 |
(927) |
1 |
927 |
(1) |
|
|
| Return from Bucket 2 to Bucket 1 |
331 |
(3) |
(331) |
3 |
|
|
| Transfer to Bucket 3 1 |
(510) |
|
(43) |
6 |
553 |
(119) |
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
|
|
|
| Total after transfer |
45,605 |
(16) |
3,408 |
(20) |
857 |
(211) |
| Changes in commitments and loss allowances |
3,288 |
|
(8) |
4 |
(103) |
23 |
| New commitments given 2 |
24,039 |
(8) |
1,207 |
(16) |
|
|
| End of commitments |
(21,524) |
11 |
(1,224) |
18 |
(110) |
17 |
| Write-off |
|
|
|
|
(18) |
1 |
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
|
|
|
| Changes in models' credit risk parameters during the
period |
|
(2) |
|
|
|
7 |
| Changes in model / methodology |
|
|
|
2 |
|
|
| Changes in scope |
|
|
|
|
|
|
| Other |
773 |
|
9 |
|
25 |
(2) |
| Balance at 31 December 2019 |
48,893 |
(16) |
3,400 |
(16) |
754 |
(188) |
|
Total |
| € million |
Amount of commitment (a) |
Loss allowance (b) |
Net amount of commitment (a) +
(b) |
| Balance at 31 December 2018 |
49,870 |
(134) |
49,736 |
| Transfer between buckets during the period |
|
(113) |
|
| Transfer from Bucket 1 to Bucket 2 |
|
|
|
| Return from Bucket 2 to Bucket 1 |
|
|
|
| Transfer to Bucket 3 1 |
|
(113) |
|
| Return from Bucket 3 to Bucket 2 / Bucket 1 |
|
|
|
| Total after transfer |
49,870 |
(247) |
49,623 |
| Changes in commitments and loss allowances |
3,177 |
27 |
|
| New commitments given 2 |
25,246 |
(24) |
|
| End of commitments |
(22,858) |
46 |
|
| Write-off |
(18) |
1 |
|
| Changes of cash flows resulting in restructuring due
to financial difficulties |
|
|
|
| Changes in models' credit risk parameters during the
period |
|
5 |
|
| Changes in model / methodology |
|
2 |
|
| Changes in scope |
|
|
|
| Other |
807 |
(2) |
|
| Balance at 31 December 2019 |
53,047 |
(220) |
52,827 |
1
Transfers to Bucket 3 correspond to commitments initially classified in Bucket 1,
which during the year have been downgraded directly in Bucket 3, or in Bucket 2 and
then in Bucket 3.
2
New commitments in Bucket 2 could include some originated commitments in Bucket 1
reclassified in Bucket 2 during the period.
3.1.1 MAXIMUM
EXPOSURE TO CREDIT RISK
The maximum exposure to credit risk of an entity corresponds to the carrying amount,
net of any loss of recorded value and not taking account of assets held as collateral
or other credit enhancements (for example, offsetting agreements which do not meet
the offsetting conditions according to IAS 32).
The tables below present maximum exposures and the amount of assets held as collateral
and other credit enhancement techniques which make it possible to reduce this exposure.
Impaired assets at the reporting date correspond to impaired assets (Bucket 3).
► Financial assets
not subject to impairment requirements (accounted at fair value
through profit or loss)
|
31.12.2019 |
|
Maximum exposure to credit risk |
Credit risk mitigation |
|
|
Collateral held as
security |
Other credit enhancement |
| € million |
|
Financial instruments provided
as collateral |
Mortgages |
Pledged securities |
Guarantees |
Credit derivatives |
| Financial assets at fair value through profit or loss
(excluding equity securities
and assets backing unit-linked contracts)
|
242,531 |
|
3,327 |
1,798 |
79 |
|
| Financial assets held for trading |
242,168 |
|
|
1,769 |
|
|
| Debt instruments that do not meet the conditions of the
"SPPI" test |
363 |
|
3,327 |
29 |
79 |
|
| Financial assets designated at fair value through profit
or loss |
|
|
|
|
|
|
| Hedging derivative Instruments |
1,550 |
|
|
1,298 |
|
|
| TOTAL |
244,081 |
|
3,327 |
3,096 |
79 |
|
|
31.12.2018 |
|
Maximum exposure to credit risk |
Credit risk mitigation |
|
|
Collateral held as
security |
Other credit enhancement |
| € million |
|
Financial instruments provided
as collateral |
Mortgages |
Pledged securities |
Guarantees |
Credit derivatives |
| Financial assets at fair value through profit or loss
(excluding equity securities
and assets backing unit-linked contracts)
|
237,896 |
|
1,906 |
472 |
35 |
|
| Financial assets held for trading |
237,783 |
|
|
383 |
|
|
| Debt instruments that do not meet the conditions of the
"SPPI" test |
113 |
|
1,906 |
89 |
35 |
|
| Financial assets designated at fair value through profit
or loss |
|
|
|
|
|
|
| Hedging derivative Instruments |
965 |
|
|
506 |
|
|
| TOTAL |
238,861 |
|
1,906 |
978 |
35 |
|
► Financial assets
subject to impairment requirements
|
31.12.2019 |
|
Maximum exposure to credit risk |
Credit risk mitigation |
|
|
Collateral held as
security |
Other credit enhancement |
| € million |
|
Financial instruments provided
as collateral |
Mortgages |
Pledged securities |
Guarantees |
Credit derivatives |
| Financial assets at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
8,883 |
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Loans and receivables due from credit institutions |
|
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Loans and receivables due from customers |
|
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Debt securities |
8,883 |
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Financial assets at amortised cost |
197,423 |
|
38,238 |
3,714 |
34,871 |
288 |
| of which impaired assets at the reporting date |
1,735 |
|
|
30 |
244 |
|
| Loans and receivables due from credit institutions |
15,979 |
|
|
81 |
5,116 |
|
| of which impaired assets at the reporting date |
112 |
|
|
|
77 |
|
| Loans and receivables due from customers |
143,864 |
|
38,238 |
3,633 |
29,755 |
288 |
| of which impaired assets at the reporting date |
1,614 |
|
|
30 |
168 |
|
| Debt securities |
37,580 |
|
|
|
|
|
| of which impaired assets at the reporting date |
9 |
|
|
|
|
|
| Total |
206,306 |
|
38,238 |
3,714 |
34,871 |
288 |
| of which impaired assets at the reporting date |
1,735 |
|
|
30 |
244 |
|
|
31.12.2018 |
|
Maximum exposure to credit risk |
Credit risk mitigation |
|
|
Collateral held as
security |
Other credit enhancement |
| € million |
|
Financial instruments provided
as collateral |
Mortgages |
Pledged securities |
Guarantees |
Credit derivatives |
| Financial assets at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
9,700 |
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Loans and receivables due from credit institutions |
|
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Loans and receivables due from customers |
|
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Debt securities |
9,700 |
|
|
|
|
|
| of which impaired assets at the reporting date |
|
|
|
|
|
|
| Financial assets at amortised cost |
181,355 |
|
36,256 |
2,512 |
28,939 |
387 |
| of which impaired assets at the reporting date |
1,502 |
|
674 |
|
204 |
|
| Loans and receivables due from credit institutions |
19,156 |
|
|
137 |
3,473 |
|
| of which impaired assets at the reporting date |
20 |
|
|
|
47 |
|
| Loans and receivables due from customers |
134,302 |
|
36,256 |
2,375 |
25,466 |
387 |
| of which impaired assets at the reporting date |
1,469 |
|
674 |
|
157 |
|
| Debt securities |
27,897 |
|
|
|
|
|
| of which impaired assets at the reporting date |
12 |
|
|
|
|
|
| Total |
191,055 |
|
36,256 |
2,512 |
28,939 |
387 |
| of which impaired assets at the reporting date |
1,502 |
|
674 |
|
204 |
|
► Off-balance
sheet commitments subject to impairment requirements
|
31.12.2019 |
|
Maximum exposure to credit risk |
Credit risk mitigation |
|
|
Collateral held as
security |
Other credit enhancement |
| € million |
|
Financial instruments provided
as collateral |
Mortgages |
Pledged securities |
Guarantees |
Credit derivatives |
| Guarantee commitments (Except internal transactions to
the group Crédit Agricole) |
52,827 |
|
|
211 |
2,442 |
784 |
| of which provisioned commitments at the reporting date |
567 |
|
|
60 |
9 |
|
| Financing commitments (Except internal transactions to
the group Crédit Agricole) |
113,547 |
|
145 |
613 |
12,698 |
7,785 |
| of which provisioned commitments at the reporting date |
184 |
|
|
|
51 |
|
| Total |
166,374 |
|
145 |
824 |
15,140 |
8,569 |
| of which provisioned commitments at the reporting date |
751 |
|
|
60 |
61 |
|
|
31.12.2018 |
|
Maximum exposure to credit risk |
Credit risk mitigation |
|
|
Collateral held as
security |
Other credit enhancement |
| € million |
|
Financial instruments provided
as collateral |
Mortgages |
Pledged securities |
Guarantees |
Credit derivatives |
| Guarantee commitments (Except internal transactions to
the group Crédit Agricole) |
49,736 |
|
|
205 |
2,454 |
4 |
| of which provisioned commitments at the reporting date |
213 |
|
|
24 |
9 |
|
| Financing commitments (Except internal transactions to
the group Crédit Agricole) |
129,182 |
|
101 |
334 |
11,735 |
4,409 |
| of which provisioned commitments at the reporting date |
31 |
|
|
|
1 |
|
| Total |
178,918 |
|
101 |
539 |
14,189 |
4,413 |
| of which provisioned commitments at the reporting date |
244 |
|
|
24 |
10 |
|
A description of the assets held as collateral is presented in Note 9 "Financing
and
guarantee commitments and other guarantees".
3.1.2 CONCENTRATIONS
OF CREDIT RISK
The carrying amounts and commitments are presented net of impairment and provisions.
♦ Exposure to
credit risk by category of Credit risk
The categories of credit risk are presented by intervals of likelihood of default.
The correspondence between the internal ratings and the intervals of likelihood of
default is set out in the Chapter "Risk factors and pillar 3 - Credit risk management"
of the Crédit Agricole CIB Universal Registration Document.
► Financial assets
at amortised cost
|
31.12.2019 |
31.12.2018 |
|
Credit risk rating grades |
Carrying amount |
Carrying amount |
|
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
Performing assets |
| € million |
|
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
|
|
Assets subject to 12 month ECL
(Bucket 1) |
| Corporate customers 1 |
PD ≤ 0.6% |
156,271 |
3,492 |
|
159,763 |
120,857 |
|
0.6% < PD ≤ 12% |
17,196 |
4,439 |
|
21,635 |
35,536 |
|
12% < PD < 100% |
|
2,460 |
|
2,460 |
|
|
PD = 100% |
|
|
3,825 |
3,825 |
|
| Total corporate customers |
|
173,467 |
10,391 |
3,825 |
187,683 |
156,393 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
11,752 |
9 |
|
11,761 |
10,639 |
|
0.5% < PD ≤ 2% |
479 |
1 |
|
480 |
398 |
|
2% < PD ≤ 20% |
23 |
23 |
|
46 |
493 |
|
20% < PD < 100% |
|
9 |
|
9 |
366 |
|
PD = 100% |
|
|
107 |
107 |
|
| Total non-corporate customers |
|
12,254 |
42 |
107 |
12,403 |
11,896 |
| Impairment |
|
(170) |
(280) |
(2,196) |
(2,646) |
(151) |
| TOTAL |
|
185,551 |
10,153 |
1,736 |
197,440 |
168,138 |
|
31.12.2019 |
31.12.2018 |
|
Credit risk rating grades |
Carrying amount |
|
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
| € million |
|
Assets subject to lifetime ECL
(Bucket 2) |
|
|
| Corporate customers 1 |
PD ≤ 0.6% |
5,284 |
|
126,141 |
|
0.6% < PD ≤ 12% |
5,670 |
|
41,206 |
|
12% < PD < 100% |
1,135 |
|
1,135 |
|
PD = 100% |
|
3,563 |
3,563 |
| Total corporate customers |
|
12,089 |
3,563 |
172,045 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
40 |
|
10,679 |
|
0.5% < PD ≤ 2% |
3 |
|
401 |
|
2% < PD ≤ 20% |
32 |
|
525 |
|
20% < PD < 100% |
|
|
366 |
|
PD = 100% |
|
100 |
100 |
| Total non-corporate customers |
|
75 |
100 |
12,071 |
| Impairment |
|
(433) |
(2,161) |
(2,745) |
| TOTAL |
|
11,731 |
1,502 |
181,371 |
1
Corporate clients include general government, credit institutions, central banks,
financial firms and other non-financial businesses.
2
Non-corporate clients correspond to professional clients, small businesses and households
mainly related to the activity of the private bank.
► Financial assets
at fair value through recyclable equity
|
31.12.2019 31.12.2018 |
|
Credit risk rating grades |
Carrying amount |
Carrying amount |
|
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
Performing assets |
| € million |
|
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
|
|
Assets subject to 12 month ECL
(Bucket 1) |
| Corporate customers 1 |
PD ≤ 0.6% |
8,806 |
|
|
8,806 |
9,572 |
|
0.6% < PD ≤ 12% |
77 |
|
|
77 |
128 |
|
12% < PD < 100% |
|
|
|
|
|
|
PD = 100% |
|
|
|
|
|
| Total corporate customers |
|
8,883 |
|
|
8,883 |
9,700 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
|
|
|
|
|
|
0.5% < PD ≤ 2% |
|
|
|
|
|
|
2% < PD ≤ 20% |
|
|
|
|
|
|
20% < PD < 100% |
|
|
|
|
|
|
PD = 100% |
|
|
|
|
|
| Total non-corporate customers |
|
|
|
|
|
|
| TOTAL |
|
8,883 |
|
|
8,883 |
9,700 |
|
31.12.2019 31.12.2018 |
|
Credit risk rating grades |
Carrying amount |
|
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
| € million |
|
Assets subject to lifetime ECL
(Bucket 2) |
|
|
| Corporate customers 1 |
PD ≤ 0.6% |
|
|
9,572 |
|
0.6% < PD ≤ 12% |
|
|
128 |
|
12% < PD < 100% |
|
|
|
|
PD = 100% |
|
|
|
| Total corporate customers |
|
|
|
9,700 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
|
|
|
|
0.5% < PD ≤ 2% |
|
|
|
|
2% < PD ≤ 20% |
|
|
|
|
20% < PD < 100% |
|
|
|
|
PD = 100% |
|
|
|
| Total non-corporate customers |
|
|
|
|
| TOTAL |
|
|
|
9,700 |
1
Corporate clients include general government, credit institutions, central banks,
financial firms and other non-financial businesses.
2
Non-corporate clients correspond to professional clients, small businesses and households
mainly related to the activity of the private bank.
► Financing commitments
|
31.12.2019 |
31.12.2018 |
|
Credit risk rating grades |
Amount of commitment |
Amount of commitment |
|
|
Performing commitments |
Provisioned commitment (Bucket
3) |
Total |
Performing commitments |
| € million |
|
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
Commitments subject to 12 month
ECL (Bucket 1) |
| Corporate customers 1 |
PD ≤ 0.6% |
98,617 |
858 |
|
99,475 |
119,303 |
|
0.6% < PD ≤ 12% |
9,434 |
1,628 |
|
11,062 |
4,759 |
|
12% < PD < 100% |
|
560 |
|
560 |
|
|
PD = 100% |
|
|
209 |
209 |
|
| Total corporate customers |
|
108,051 |
3,046 |
209 |
111,306 |
124,062 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
2,292 |
1 |
|
2,293 |
1,809 |
|
0.5% < PD ≤ 2% |
165 |
|
|
165 |
|
|
2% < PD ≤ 20% |
1 |
|
|
1 |
|
|
20% < PD < 100% |
|
1 |
|
1 |
|
|
PD = 100% |
|
|
3 |
3 |
|
| Total non-corporate customers |
|
2,458 |
2 |
3 |
2,463 |
1,809 |
| Provisions 3 |
|
(85) |
(109) |
(28) |
(222) |
(76) |
| TOTAL |
|
110,424 |
2,939 |
184 |
113,547 |
125,795 |
|
31.12.2019 |
31.12.2018 |
|
Credit risk rating grades |
Amount of commitment |
|
|
Performing commitments |
Provisioned commitment (Bucket
3) |
Total |
| € million |
|
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
| Corporate customers 1 |
PD ≤ 0.6% |
2,951 |
|
122,254 |
|
0.6% < PD ≤ 12% |
535 |
|
5,294 |
|
12% < PD < 100% |
30 |
|
30 |
|
PD = 100% |
|
34 |
34 |
| Total corporate customers |
|
3,516 |
34 |
127,612 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
|
|
1,809 |
|
0.5% < PD ≤ 2% |
|
|
|
|
2% < PD ≤ 20% |
|
|
|
|
20% < PD < 100% |
|
|
|
|
PD = 100% |
|
|
|
| Total non-corporate customers |
|
|
|
1,809 |
| Provisions 3 |
|
(160) |
(3) |
(239) |
| TOTAL |
|
3,356 |
31 |
129,182 |
1
Corporate clients include general government, credit institutions, central banks,
financial firms and other non-financial businesses.
2
Non-corporate clients correspond to professional clients, small businesses and households
mainly related to the activity of the private bank.
3
Expected or recorded losses in respect of off-balance sheet commitments are covered
by provisions recognised as liabilities.
► Guarantee commitments
|
31.12.2019 |
31.12.2018 |
|
Credit risk rating grades |
Amount of commitment |
Amount of commitment |
|
|
Performing commitments |
Provisioned commitment (Bucket
3) |
Total |
Performing commitments |
| € million |
|
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
Commitments subject to 12 month
ECL (Bucket 1) |
| Corporate customers 1 |
PD ≤ 0.6% |
44,624 |
1,328 |
|
45,952 |
45,260 |
|
0.6% < PD ≤ 12% |
3,529 |
962 |
|
4,491 |
737 |
|
12% < PD < 100% |
|
1,109 |
|
1,109 |
|
|
PD = 100% |
|
|
755 |
755 |
|
| Total corporate customers |
|
48,153 |
3,399 |
755 |
52,307 |
45,997 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
699 |
|
|
699 |
713 |
|
0.5% < PD ≤ 2% |
38 |
|
|
38 |
|
|
2% < PD ≤ 20% |
3 |
|
|
3 |
|
|
20% < PD < 100% |
|
|
|
|
|
|
PD = 100% |
|
|
|
|
|
| Total non-corporate customers |
|
740 |
|
|
740 |
713 |
| Provisions 3 |
|
(16) |
(16) |
(188) |
(220) |
(14) |
| TOTAL |
|
48,877 |
3,383 |
567 |
52,827 |
46,696 |
|
31.12.2019 |
31.12.2018 |
|
Credit risk rating grades |
Amount of commitment |
|
|
Performing commitments |
Provisioned commitment (Bucket
3) |
Total |
| € million |
|
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
| Corporate customers 1 |
PD ≤ 0.6% |
2,138 |
|
47,398 |
|
0.6% < PD ≤ 12% |
712 |
|
1,449 |
|
12% < PD < 100% |
4 |
|
4 |
|
PD = 100% |
|
305 |
305 |
| Total corporate customers |
|
2,854 |
305 |
49,156 |
| Non-corporate customers 2 |
PD ≤ 0.5% |
|
|
713 |
|
0.5% < PD ≤ 2% |
|
|
|
|
2% < PD ≤ 20% |
|
|
|
|
20% < PD < 100% |
|
|
|
|
PD = 100% |
|
|
|
| Total non-corporate customers |
|
|
|
713 |
| Provisions 3 |
|
(27) |
(92) |
(133) |
| TOTAL |
|
2,827 |
213 |
49,736 |
1
Corporate clients include general government, credit institutions, central banks,
financial firms and other non-financial businesses.
2
Non-corporate clients correspond to professional clients, small businesses and households
mainly related to the activity of the private bank.
3
Expected or recorded losses in respect of off-balance sheet commitments are covered
by provisions recognised as liabilities.
► Financial assets
at amortised cost by customer type
|
31.12.2019 |
31.12.2018 |
|
Carrying amount |
Carrying amount |
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
Performing assets |
| € million |
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
|
|
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
| General administration |
19,532 |
127 |
105 |
19,764 |
15,027 |
87 |
| Central banks |
2,140 |
|
|
2,140 |
2,327 |
|
| Credit institutions |
20,918 |
11 |
501 |
21,430 |
22,152 |
54 |
| Large corporates |
130,877 |
10,253 |
3,219 |
144,349 |
116,889 |
11,947 |
| Retail customers |
12,254 |
42 |
107 |
12,403 |
11,896 |
75 |
| Impairment |
(170) |
(280) |
(2,196) |
(2,646) |
(151) |
(434) |
| TOTAL |
185,551 |
10,153 |
1,736 |
197,440 |
168,140 |
11,729 |
|
31.12.2018 |
|
Carrying amount |
|
Credit-impaired assets (Bucket
3) |
Total |
| € million |
|
|
| General administration |
83 |
15,197 |
| Central banks |
|
2,327 |
| Credit institutions |
411 |
22,617 |
| Large corporates |
3,069 |
131,905 |
| Retail customers |
100 |
12,071 |
| Impairment |
(2,161) |
(2,746) |
| TOTAL |
1,502 |
181,371 |
► Financial assets
at fair value through recyclable equity, by customer type
|
31.12.2019 |
31.12.2018 |
|
Carrying amount |
Carrying amount |
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
Performing assets |
| € million |
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
|
|
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
| General administration |
5,966 |
|
|
5,966 |
5,714 |
|
| Central banks |
87 |
|
|
87 |
|
|
| Credit institutions |
2,083 |
|
|
2,083 |
3,274 |
|
| Large corporates |
747 |
|
|
747 |
712 |
|
| Retail customers |
|
|
|
|
|
|
| TOTAL |
8,883 |
|
|
8,883 |
9,700 |
|
|
31.12.2018 |
|
Carrying amount |
|
Credit-impaired assets (Bucket
3) |
Total |
| € million |
|
|
| General administration |
|
5,714 |
| Central banks |
|
|
| Credit institutions |
|
3,274 |
| Large corporates |
|
712 |
| Retail customers |
|
|
| TOTAL |
|
9,700 |
► Due to customers
by customer type
| € million |
31.12.2019 |
31.12.2018 |
| General administration |
21,194 |
13,493 |
| Large corporates |
90,146 |
89,691 |
| Retail customers |
22,012 |
20,326 |
| TOTAL AMOUNT DUE TO CUSTOMERS |
133,352 |
123,510 |
► Financing commitments
by customer type
|
31.12.2019 |
31.12.2018 |
|
Amount of commitment |
Amount of commitment |
|
Performing commitments |
Provisioned commitments (Bucket
3) |
Total |
Performing commitments |
| € million |
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
| General administration |
2,581 |
214 |
17 |
2,812 |
3,943 |
1 |
| Central banks |
94 |
|
|
94 |
641 |
|
| Credit institutions |
8,426 |
|
|
8,426 |
20,382 |
|
| Large corporates |
97,529 |
2,832 |
192 |
100,553 |
99,096 |
3,515 |
| Retail customers |
1,878 |
3 |
3 |
1,884 |
1,809 |
|
| Provisions 1 |
(85) |
(109) |
(28) |
(222) |
(76) |
(160) |
| TOTAL |
110,423 |
2,940 |
184 |
113,547 |
125,795 |
3,356 |
|
31.12.2018 |
|
Amount of commitment |
|
Provisioned commitments (Bucket
3) |
Total |
| € million |
|
|
| General administration |
|
3,944 |
| Central banks |
|
641 |
| Credit institutions |
|
20,382 |
| Large corporates |
34 |
102,645 |
| Retail customers |
|
1,809 |
| Provisions 1 |
(3) |
(239) |
| TOTAL |
31 |
129,182 |
1
Expected or recorded losses in respect of off-balance sheet commitments are covered
by provisions recognised as liabilities.
► Guarantee commitments
by customer type
|
31.12.2019 |
31.12.2018 |
|
Amount of commitment |
Amount of commitment |
|
Performing commitments |
Provisioned commitments (Bucket
3) |
Total |
Performing commitments |
| € million |
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
| General administration |
40 |
6 |
|
46 |
46 |
6 |
| Central banks |
510 |
|
|
510 |
568 |
|
| Credit institutions |
6,023 |
24 |
20 |
6,067 |
6,353 |
25 |
| Large corporates |
41,580 |
3,369 |
735 |
45,684 |
39,030 |
2,823 |
| Retail customers |
740 |
|
|
740 |
713 |
|
| Provisions 1 |
(16) |
(16) |
(188) |
(220) |
(14) |
(27) |
| TOTAL |
48,877 |
3,383 |
567 |
52,827 |
46,696 |
2,827 |
|
31.12.2018 |
|
Amount of commitment |
|
Provisioned commitments (Bucket
3) |
Total |
| € million |
|
|
| General administration |
|
52 |
| Central banks |
|
568 |
| Credit institutions |
|
6,378 |
| Large corporates |
305 |
42,158 |
| Retail customers |
|
713 |
| Provisions 1 |
(92) |
(133) |
| TOTAL |
213 |
49,736 |
1
Expected or recorded losses in respect of off-balance sheet commitments are covered
by provisions recognised as liabilities.
3.1.4 CREDIT RISK
CONCENTRATIONS BY GEOGRAPHICAL AREA
► Financial assets
at amortised cost by geographical area
|
31.12.2019 |
31.12.2018 |
|
Carrying amount |
Carrying amount |
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
Performing assets |
| € million |
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
|
|
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
| France (including overseas departments and territories) |
36,844 |
1,461 |
662 |
38,967 |
38,544 |
1,466 |
| Other European Union countries |
44,757 |
2,239 |
917 |
47,913 |
39,688 |
2,775 |
| Other European countries |
14,422 |
595 |
186 |
15,203 |
12,572 |
922 |
| North America |
32,074 |
944 |
390 |
33,408 |
30,156 |
854 |
| Central and South America |
9,369 |
1,209 |
685 |
11,263 |
8,699 |
1,573 |
| Africa and Middle East |
11,348 |
1,810 |
836 |
13,994 |
8,590 |
1,570 |
| Asia-Pacific (ex. Japan) |
30,341 |
1,690 |
256 |
32,287 |
24,151 |
2,716 |
| Japan |
5,317 |
485 |
|
5,802 |
4,738 |
288 |
| Supranational organisations |
1,249 |
|
|
1,249 |
1,152 |
|
| Impairment |
(170) |
(280) |
(2,196) |
(2,646) |
(151) |
(434) |
| TOTAL |
185,551 |
10,153 |
1,736 |
197,440 |
168,139 |
11,730 |
|
31.12.2018 |
|
Carrying amount |
|
Credit-impaired assets (Bucket
3) |
Total |
| € million |
|
|
| France (including overseas departments and territories) |
537 |
40,547 |
| Other European Union countries |
886 |
43,349 |
| Other European countries |
203 |
13,697 |
| North America |
121 |
31,131 |
| Central and South America |
708 |
10,980 |
| Africa and Middle East |
895 |
11,055 |
| Asia-Pacific (ex. Japan) |
313 |
27,180 |
| Japan |
|
5,026 |
| Supranational organisations |
|
1,152 |
| Impairment |
(2,161) |
(2,746) |
| TOTAL |
1,502 |
181,371 |
► Financial assets
at fair value through recyclable equity, by geographic area
|
31.12.2019 |
31.12.2018 |
|
Carrying amount |
Carrying amount |
|
Performing assets |
Credit-impaired assets (Bucket
3) |
Total |
Performing assets |
| € million |
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
|
|
Assets subject to 12 month ECL
(Bucket 1) |
Assets subject to lifetime ECL
(Bucket 2) |
| France (including overseas departments and territories) |
1,708 |
|
|
1,708 |
2,833 |
|
| Other European Union countries |
3,334 |
|
|
3,334 |
3,100 |
|
| Other European countries |
561 |
|
|
561 |
459 |
|
| North America |
1,873 |
|
|
1,873 |
1,357 |
|
| Central and South America |
77 |
|
|
77 |
|
|
| Africa and Middle East |
66 |
|
|
66 |
28 |
|
| Asia-Pacific (ex. Japan) |
435 |
|
|
435 |
300 |
|
| Japan |
368 |
|
|
368 |
286 |
|
| Supranational organisations |
461 |
|
|
461 |
1,337 |
|
| TOTAL |
8,883 |
|
|
8,883 |
9,700 |
|
|
31.12.2018 |
|
Carrying amount |
|
Credit-impaired assets (Bucket
3) |
Total |
| € million |
|
|
| France (including overseas departments and territories) |
|
2,833 |
| Other European Union countries |
|
3,100 |
| Other European countries |
|
459 |
| North America |
|
1,357 |
| Central and South America |
|
|
| Africa and Middle East |
|
28 |
| Asia-Pacific (ex. Japan) |
|
300 |
| Japan |
|
286 |
| Supranational organisations |
|
1,337 |
| TOTAL |
|
9,700 |
3.1.5 DEBTS DUE
TO CUSTOMERS BY GEOGRAPHICAL AREA
| € million |
31.12.2019 |
31.12.2018 |
| France (including overseas departments and territories) |
29,395 |
22,697 |
| Other European Union countries |
38,549 |
38,377 |
| Other European countries |
10,786 |
12,708 |
| North America |
14,031 |
13,669 |
| Central and South America |
4,081 |
3,899 |
| Africa and Middle East |
10,632 |
5,824 |
| Asia-Pacific (ex. Japan) |
12,712 |
12,630 |
| Japan |
13,162 |
13,622 |
| Supranational organisations |
4 |
84 |
| TOTAL AMOUNT DUE TO CUSTOMERS |
133,352 |
123,510 |
► Financing commitments
by geographical area
|
31.12.2019 |
31.12.2018 |
|
Amount of commitment |
Amount of commitment |
|
Performing commitments |
Provisioned commitments (Bucket
3) |
Total |
Performing commitments |
| € million |
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
| France (including overseas departments and territories) |
33,316 |
376 |
9 |
33,701 |
39,697 |
435 |
| Other European Union countries |
31,064 |
1,016 |
37 |
32,117 |
35,327 |
1,216 |
| Other European countries |
5,926 |
169 |
69 |
6,164 |
5,175 |
224 |
| North America |
25,664 |
1,101 |
80 |
26,845 |
26,576 |
1,159 |
| Central and South America |
3,390 |
63 |
17 |
3,470 |
3,158 |
149 |
| Africa and Middle East |
3,652 |
211 |
|
3,863 |
4,955 |
131 |
| Asia-Pacific (ex. Japan) |
6,538 |
84 |
|
6,622 |
7,393 |
202 |
| Japan |
958 |
29 |
|
987 |
3,590 |
|
| Supranational organisations |
|
|
|
|
|
|
| Provisions 1 |
(85) |
(109) |
(28) |
(222) |
(76) |
(160) |
| TOTAL |
110,423 |
2,940 |
184 |
113,547 |
125,795 |
3,356 |
|
31.12.2018 |
|
Amount of commitment |
|
Provisioned commitments (Bucket
3) |
Total |
| € million |
|
|
| France (including overseas departments and territories) |
2 |
40,134 |
| Other European Union countries |
5 |
36,548 |
| Other European countries |
11 |
5,410 |
| North America |
13 |
27,748 |
| Central and South America |
|
3,307 |
| Africa and Middle East |
3 |
5,089 |
| Asia-Pacific (ex. Japan) |
|
7,595 |
| Japan |
|
3,590 |
| Supranational organisations |
|
|
| Provisions 1 |
(3) |
(239) |
| TOTAL |
31 |
129,182 |
1
Expected or recorded losses in respect of off-balance sheet commitments are covered
by provisions recognised as liabilities.
► Guarantee commitments
by geographical area
|
31.12.2019 |
31.12.2018 |
|
Amount of commitment |
Amount of commitment |
|
Performing commitments |
Provisioned commitments (Bucket
3) |
Total |
Performing commitments |
| € million |
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
|
|
Commitments subject to 12 month
ECL (Bucket 1) |
Commitments subject to lifetime
ECL (Bucket 2) |
| France (including overseas departments and territories) |
11,848 |
190 |
20 |
12,058 |
10,066 |
283 |
| Other European Union countries |
11,295 |
1,424 |
247 |
12,966 |
12,215 |
1,020 |
| Other European countries |
4,240 |
706 |
|
4,946 |
4,095 |
632 |
| North America |
10,242 |
635 |
397 |
11,274 |
9,821 |
312 |
| Central and South America |
1,057 |
1 |
29 |
1,087 |
1,344 |
18 |
| Africa and Middle East |
2,322 |
24 |
62 |
2,408 |
2,492 |
58 |
| Asia-Pacific (ex. Japan) |
6,414 |
234 |
|
6,648 |
5,122 |
298 |
| Japan |
1,475 |
185 |
|
1,660 |
1,555 |
233 |
| Supranational organisations |
|
|
|
|
|
|
| Provisions 1 |
(16) |
(16) |
(188) |
(220) |
(14) |
(27) |
| TOTAL |
48,877 |
3,383 |
567 |
52,827 |
46,696 |
2,827 |
|
31.12.2018 |
|
Amount of commitment |
|
Provisioned commitments (Bucket
3) |
Total |
| € million |
|
|
| France (including overseas departments and territories) |
36 |
10,385 |
| Other European Union countries |
172 |
13,407 |
| Other European countries |
|
4,727 |
| North America |
24 |
10,157 |
| Central and South America |
31 |
1,393 |
| Africa and Middle East |
42 |
2,592 |
| Asia-Pacific (ex. Japan) |
|
5,420 |
| Japan |
|
1,788 |
| Supranational organisations |
|
|
| Provisions 1 |
(92) |
(133) |
| TOTAL |
213 |
49,736 |
1
Expected or recorded losses in respect of off-balance sheet commitments are covered
by provisions recognised as liabilities.
3.2 Market risk
3.2.1 DERIVATIVE
INSTRUMENTS: ANALYSIS BY REMAINING MATURITY
The breakdown of market values of derivative instruments is shown by remaining
contractual
maturity.
► Hedging derivative
instruments - fair value of assets
|
31.12.2019 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
|
|
|
872 |
26 |
8 |
| Futures |
|
|
|
|
|
|
| FRAs |
|
|
|
|
|
|
| Interest rate swaps |
|
|
|
872 |
26 |
8 |
| Interest rate options |
|
|
|
|
|
|
| Caps - floors - collars |
|
|
|
|
|
|
| Other options |
|
|
|
|
|
|
| Currency |
|
|
|
111 |
2 |
|
| Currency futures |
|
|
|
111 |
2 |
|
| Currency options |
|
|
|
|
|
|
| Other instruments |
|
|
|
36 |
|
|
| Other |
|
|
|
36 |
|
|
| Subtotal |
|
|
|
1,019 |
28 |
8 |
| Forward currency transactions |
|
|
|
494 |
1 |
|
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - ASSETS |
|
|
|
1,513 |
29 |
8 |
|
31.12.2019 |
| € million |
Total market value |
| Interest rate instruments |
906 |
| Futures |
|
| FRAs |
|
| Interest rate swaps |
906 |
| Interest rate options |
|
| Caps - floors - collars |
|
| Other options |
|
| Currency |
113 |
| Currency futures |
113 |
| Currency options |
|
| Other instruments |
36 |
| Other |
36 |
| Subtotal |
1,055 |
| Forward currency transactions |
495 |
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - ASSETS |
1,550 |
|
31.12.2018 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
|
|
|
605 |
72 |
28 |
| Futures |
|
|
|
|
|
|
| FRAs |
|
|
|
|
|
|
| Interest rate swaps |
|
|
|
605 |
72 |
28 |
| Interest rate options |
|
|
|
|
|
|
| Caps - floors - collars |
|
|
|
|
|
|
| Other options |
|
|
|
|
|
|
| Currency |
|
|
|
45 |
1 |
|
| Currency futures |
|
|
|
45 |
1 |
|
| Currency options |
|
|
|
|
|
|
| Other instruments |
|
|
|
46 |
|
|
| Other |
|
|
|
46 |
|
|
| Subtotal |
|
|
|
696 |
73 |
28 |
| Forward currency transactions |
|
|
|
168 |
|
|
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - ASSETS |
|
|
|
864 |
73 |
28 |
|
31.12.2018 |
| € million |
Total market value |
| Interest rate instruments |
705 |
| Futures |
|
| FRAs |
|
| Interest rate swaps |
705 |
| Interest rate options |
|
| Caps - floors - collars |
|
| Other options |
|
| Currency |
46 |
| Currency futures |
46 |
| Currency options |
|
| Other instruments |
46 |
| Other |
46 |
| Subtotal |
797 |
| Forward currency transactions |
168 |
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - ASSETS |
965 |
► Hedging derivative
instruments - fair value of liabilities
|
31.12.2019 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
|
|
|
855 |
57 |
24 |
| Futures |
|
|
|
|
|
|
| FRAs |
|
|
|
|
|
|
| Interest rate swaps |
|
|
|
855 |
57 |
24 |
| Interest rate options |
|
|
|
|
|
|
| Caps - floors - collars |
|
|
|
|
|
|
| Other options |
|
|
|
|
|
|
| Currency |
|
|
|
125 |
1 |
|
| Currency futures |
|
|
|
125 |
1 |
|
| Currency options |
|
|
|
|
|
|
| Other instruments |
|
|
|
24 |
|
|
| Other |
|
|
|
24 |
|
|
| Subtotal |
|
|
|
1,004 |
58 |
24 |
| Forward currency transactions |
|
|
|
248 |
|
|
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - LIABILITIES |
|
|
|
1,252 |
58 |
24 |
|
31.12.2019 |
| € million |
Total market value |
| Interest rate instruments |
936 |
| Futures |
|
| FRAs |
|
| Interest rate swaps |
936 |
| Interest rate options |
|
| Caps - floors - collars |
|
| Other options |
|
| Currency |
126 |
| Currency futures |
126 |
| Currency options |
|
| Other instruments |
24 |
| Other |
24 |
| Subtotal |
1,086 |
| Forward currency transactions |
248 |
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - LIABILITIES |
1,334 |
|
31.12.2018 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
|
|
|
594 |
60 |
34 |
| Futures |
|
|
|
|
|
|
| FRAs |
|
|
|
|
|
|
| Interest rate swaps |
|
|
|
594 |
60 |
34 |
| Interest rate options |
|
|
|
|
|
|
| Caps - floors - collars |
|
|
|
|
|
|
| Other options |
|
|
|
|
|
|
| Currency |
|
|
|
85 |
|
|
| Currency futures |
|
|
|
85 |
|
|
| Currency options |
|
|
|
|
|
|
| Other instruments |
|
|
|
65 |
|
|
| Other |
|
|
|
65 |
|
|
| Subtotal |
|
|
|
744 |
60 |
34 |
| Forward currency transactions |
|
|
|
229 |
|
|
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - LIABILITIES |
|
|
|
973 |
60 |
34 |
|
31.12.2018 |
| € million |
Total market value |
| Interest rate instruments |
688 |
| Futures |
|
| FRAs |
|
| Interest rate swaps |
688 |
| Interest rate options |
|
| Caps - floors - collars |
|
| Other options |
|
| Currency |
85 |
| Currency futures |
85 |
| Currency options |
|
| Other instruments |
65 |
| Other |
65 |
| Subtotal |
838 |
| Forward currency transactions |
229 |
| TOTAL FAIR VALUE OF HEDGING DERIVATIVES - LIABILITIES |
1,067 |
► Derivative instruments
held for trading - fair value of assets
|
31.12.2019 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
9 |
2 |
|
3,138 |
23,163 |
64,786 |
| Futures 1 |
2 |
|
|
|
|
|
| FRAs 1 |
|
|
|
3 |
44 |
|
| Interest rate swaps |
|
|
|
2,634 |
19,352 |
51,639 |
| Interest rate options |
|
|
|
43 |
2,357 |
11,869 |
| Caps - floors - collars |
|
|
|
458 |
1,410 |
1,278 |
| Other options |
7 |
2 |
|
|
|
|
| Currency and gold |
|
|
|
4,212 |
3,072 |
2,959 |
| Currency futures |
|
|
|
3,366 |
2,069 |
2,409 |
| Currency options |
|
|
|
846 |
1,003 |
550 |
| Other instruments |
284 |
411 |
70 |
1,395 |
3,431 |
646 |
| Equity and index derivatives |
284 |
411 |
70 |
1,120 |
3,307 |
276 |
| Precious metal derivatives |
|
|
|
43 |
|
|
| Commodities derivatives |
|
|
|
|
|
|
| Credit derivatives |
|
|
|
36 |
99 |
54 |
| Other |
|
|
|
196 |
25 |
316 |
| Subtotal |
293 |
413 |
70 |
8,745 |
29,666 |
68,391 |
| Forward currency transactions |
|
|
|
8,591 |
1,108 |
52 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - ASSETS |
293 |
413 |
70 |
17,336 |
30,774 |
68,443 |
|
31.12.2019 |
| € million |
Total market value |
| Interest rate instruments |
91,098 |
| Futures 1 |
2 |
| FRAs 1 |
47 |
| Interest rate swaps |
73,625 |
| Interest rate options |
14,269 |
| Caps - floors - collars |
3,146 |
| Other options |
9 |
| Currency and gold |
10,243 |
| Currency futures |
7,844 |
| Currency options |
2,399 |
| Other instruments |
6,237 |
| Equity and index derivatives |
5,468 |
| Precious metal derivatives |
43 |
| Commodities derivatives |
|
| Credit derivatives |
189 |
| Other |
537 |
| Subtotal |
107,578 |
| Forward currency transactions |
9,751 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - ASSETS |
117,329 |
1
Reclassification from exchange-traded derivatives to OTC derivatives.
|
31.12.2018 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
687 |
1,460 |
2,207 |
3,070 |
22,673 |
51,374 |
| Futures |
674 |
1,458 |
2,207 |
|
|
|
| FRAs |
|
|
|
3 |
|
|
| Interest rate swaps |
|
|
|
2,451 |
18,934 |
39,316 |
| Interest rate options |
|
|
|
160 |
1,948 |
10,732 |
| Caps - floors - collars |
|
|
|
456 |
1,791 |
1,326 |
| Other options |
13 |
2 |
|
|
|
|
| Currency and gold |
29 |
|
|
3,997 |
2,483 |
2,703 |
| Currency futures |
29 |
|
|
2,935 |
1,610 |
2,230 |
| Currency options |
|
|
|
1,062 |
873 |
473 |
| Other instruments |
563 |
245 |
51 |
1,445 |
2,760 |
387 |
| Equity and index derivatives |
563 |
245 |
51 |
833 |
2,759 |
349 |
| Precious metal derivatives |
|
|
|
30 |
1 |
|
| Commodities derivatives |
|
|
|
|
|
|
| Credit derivatives |
|
|
|
528 |
|
35 |
| Other |
|
|
|
54 |
|
3 |
| Subtotal |
1,279 |
1,705 |
2,258 |
8,512 |
27,916 |
54,464 |
| Forward currency transactions |
|
|
|
10,813 |
1,156 |
49 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - ASSETS |
1,279 |
1,705 |
2,258 |
19,325 |
29,072 |
54,513 |
|
31.12.2018 |
| € million |
Total market value |
| Interest rate instruments |
81,471 |
| Futures |
4,339 |
| FRAs |
3 |
| Interest rate swaps |
60,701 |
| Interest rate options |
12,840 |
| Caps - floors - collars |
3,573 |
| Other options |
15 |
| Currency and gold |
9,212 |
| Currency futures |
6,804 |
| Currency options |
2,408 |
| Other instruments |
5,451 |
| Equity and index derivatives |
4,800 |
| Precious metal derivatives |
31 |
| Commodities derivatives |
|
| Credit derivatives |
563 |
| Other |
57 |
| Subtotal |
96,134 |
| Forward currency transactions |
12,018 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - ASSETS |
108,152 |
► Derivative financial
instruments held for trading - fair value of liabilities
|
31.12.2019 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
4 |
|
|
3,023 |
23,791 |
65,565 |
| Futures 1 |
1 |
|
|
|
|
|
| FRAs 1 |
|
|
|
23 |
|
|
| Interest rate swaps |
|
|
|
2,659 |
19,940 |
50,946 |
| Interest rate options |
|
|
|
231 |
2,358 |
12,697 |
| Caps - floors - collars |
|
|
|
110 |
1,493 |
1,922 |
| Other options |
3 |
|
|
|
|
|
| Currency and gold |
|
|
|
4,422 |
2,735 |
2,645 |
| Currency futures |
|
|
|
3,498 |
2,214 |
2,353 |
| Currency options |
|
|
|
924 |
521 |
292 |
| Other instruments |
160 |
382 |
102 |
641 |
2,012 |
272 |
| Equity and index derivatives |
160 |
382 |
102 |
190 |
1,561 |
159 |
| Precious metal derivatives |
|
|
|
30 |
1 |
|
| Commodities derivatives |
|
|
|
|
|
|
| Credit derivatives |
|
|
|
226 |
407 |
37 |
| Other |
|
|
|
195 |
43 |
76 |
| Subtotal |
164 |
382 |
102 |
8,086 |
28,538 |
68,482 |
| Forward currency transactions |
|
|
|
8,344 |
1,703 |
221 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - LIABILITIES |
164 |
382 |
102 |
16,430 |
30,241 |
68,703 |
|
31.12.2019 |
| € million |
Total market value |
| Interest rate instruments |
92,383 |
| Futures 1 |
1 |
| FRAs 1 |
23 |
| Interest rate swaps |
73,545 |
| Interest rate options |
15,286 |
| Caps - floors - collars |
3,525 |
| Other options |
3 |
| Currency and gold |
9,802 |
| Currency futures |
8,065 |
| Currency options |
1,737 |
| Other instruments |
3,569 |
| Equity and index derivatives |
2,554 |
| Precious metal derivatives |
31 |
| Commodities derivatives |
|
| Credit derivatives |
670 |
| Other |
314 |
| Subtotal |
105,754 |
| Forward currency transactions |
10,268 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - LIABILITIES |
116,022 |
1
Reclassification from exchange-traded derivatives to OTC derivatives.
|
31.12.2018 |
|
Exchange-traded transactions |
Over-the-counter
transactions |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
739 |
1,113 |
2,077 |
3,197 |
23,377 |
50,961 |
| Futures |
732 |
1,112 |
2,077 |
|
|
|
| FRAs |
|
|
|
|
|
|
| Interest rate swaps |
|
|
|
2,914 |
19,892 |
38,098 |
| Interest rate options |
|
|
|
132 |
1,608 |
10,795 |
| Caps - floors - collars |
|
|
|
150 |
1,877 |
2,068 |
| Other options |
7 |
1 |
|
1 |
|
|
| Currency and gold |
103 |
|
|
3,492 |
2,229 |
2,299 |
| Currency futures |
103 |
|
|
2,457 |
1,931 |
1,920 |
| Currency options |
|
|
|
1,035 |
298 |
379 |
| Other instruments |
251 |
518 |
190 |
1,382 |
1,256 |
219 |
| Equity and index derivatives |
251 |
518 |
190 |
502 |
1,174 |
178 |
| Precious metal derivatives |
|
|
|
40 |
|
|
| Commodities derivatives |
|
|
|
|
|
|
| Credit derivatives |
|
|
|
760 |
82 |
41 |
| Other |
|
|
|
80 |
|
|
| Subtotal |
1,093 |
1,631 |
2,267 |
8,071 |
26,862 |
53,479 |
| Forward currency transactions |
|
|
|
11,442 |
1,917 |
16 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - LIABILITIES |
1,093 |
1,631 |
2,267 |
19,513 |
28,779 |
53,495 |
|
31.12.2018 |
| € million |
Total market value |
| Interest rate instruments |
81,464 |
| Futures |
3,921 |
| FRAs |
|
| Interest rate swaps |
60,904 |
| Interest rate options |
12,535 |
| Caps - floors - collars |
4,095 |
| Other options |
9 |
| Currency and gold |
8,123 |
| Currency futures |
6,411 |
| Currency options |
1,712 |
| Other instruments |
3,816 |
| Equity and index derivatives |
2,813 |
| Precious metal derivatives |
40 |
| Commodities derivatives |
|
| Credit derivatives |
883 |
| Other |
80 |
| Subtotal |
93,403 |
| Forward currency transactions |
13,375 |
| TOTAL FAIR VALUE OF TRANSACTION DERIVATIVES - LIABILITIES |
106,778 |
3.2.2 DERIVATIVE
INSTRUMENTS: TOTAL COMMITMENTS
| € million |
31.12.2019 |
31.12.2018 |
| Interest rate instruments |
12,761,789 |
10,899,580 |
| Futures 1 |
155,872 |
2,630,775 |
| FRAs 1 |
2,671,812 |
2,180 |
| Interest rate swaps |
8,377,037 |
6,885,811 |
| Interest rate options |
838,319 |
719,241 |
| Caps - floors - collars |
509,221 |
464,620 |
| Other options |
209,528 |
196,953 |
| Currency and gold |
487,805 |
568,626 |
| Currency futures |
275,236 |
281,767 |
| Currency options |
212,569 |
286,859 |
| Other instruments |
108,420 |
82,446 |
| Equity and index derivatives |
52,555 |
45,574 |
| Precious metal derivatives |
3,848 |
4,433 |
| Commodities derivatives |
10 |
5 |
| Credit derivatives |
25,089 |
29,196 |
| Other |
26,918 |
3,238 |
| Subtotal |
13,358,014 |
11,550,652 |
| Forward currency transactions |
2,032,064 |
1,817,503 |
| TOTAL NOTIONAL AMOUNTS |
15,390,078 |
13,368,155 |
1
Reclassification from exchange-traded derivatives to OTC derivatives.
3.3 Liquidity
and financing risk
(see Chapter on "Risk Management - Balance sheet management")
3.3.1 LOANS AND
RECEIVABLES DUE FROM CREDIT INSTITUTIONS AND DUE FROM CUSTOMERS BY
RESIDUAL MATURITY
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months to ≤ 1 year |
>1 year to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Loans and receivables due from credit institutions (including
Crédit Agricole internal
transactions)
|
10,577 |
3,883 |
494 |
1,428 |
5 |
16,387 |
| Loans and receivables due from customers (of which finance
leases) |
54,982 |
19,256 |
53,572 |
18,277 |
|
146,087 |
| Total |
65,559 |
23,139 |
54,066 |
19,705 |
5 |
162,474 |
| Impairment |
|
|
|
|
|
(2,614) |
| TOTAL LOANS AND RECEIVABLES DUE FROM CREDIT INSTITUTIONS
AND FROM CUSTOMERS |
65,559 |
23,139 |
54,066 |
19,705 |
5 |
159,860 |
|
31.12.2018 |
| € million |
≤ 3 months |
>3 months to ≤ 1 year |
>1 year to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Loans and receivables due from credit institutions (including
Crédit Agricole internal
transactions)
|
9,701 |
3,281 |
2,544 |
4,042 |
|
19,568 |
| Loans and receivables due from customers (of which finance
leases) |
49,667 |
14,679 |
51,183 |
21,106 |
|
136,635 |
| Total |
59,368 |
17,960 |
53,727 |
25,148 |
|
156,203 |
| Impairment |
|
|
|
|
|
(2,729) |
| TOTAL LOANS AND RECEIVABLES DUE FROM CREDIT INSTITUTIONS
AND FROM CUSTOMERS |
59,368 |
17,960 |
53,727 |
25,148 |
|
153,474 |
► Due to credit
institutions and to customers by residual maturity
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months to ≤ 1 year |
>1 year to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Due to credit institutions (including Crédit Agricole
internal transactions) |
26,494 |
6,186 |
8,194 |
3,771 |
1 |
44,646 |
| Due to customers |
126,128 |
6,189 |
491 |
542 |
2 |
133,352 |
| TOTAL AMOUNT DUE TO CREDIT INSTITUTIONS AND TO CUSTOMERS |
152,622 |
12,375 |
8,685 |
4,313 |
3 |
177,998 |
|
31.12.2018 |
| € million |
≤ 3 months |
>3 months to ≤ 1 year |
>1 year to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Due to credit institutions (including Crédit Agricole
internal transactions) |
24,157 |
7,188 |
11,547 |
4,410 |
|
47,302 |
| Due to customers TOTAL AMOUNT DUE TO CREDIT INSTITUTIONS
AND TO CUSTOMERS |
101,109 |
12,195 |
9,588 |
618 |
|
123,510 170,812 |
|
125,266 |
19,383 |
21,135 |
5,028 |
|
|
► Debt securities
and subordinated debts
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months to ≤ 1 year |
>1 year to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Debt securities |
|
|
|
|
|
|
| Interest bearing notes |
|
|
|
|
|
|
| Money-market securities |
|
|
|
|
|
|
| Negotiable debt securities |
36,712 |
15,238 |
1,270 |
1 |
|
53,221 |
| Bonds |
3,723 |
|
2 |
345 |
|
4,070 |
| Other debt securities |
|
|
|
|
|
|
| TOTAL DEBT SECURITIES |
40,435 |
15,238 |
1,272 |
346 |
|
57,291 |
| Subordinated debt |
|
|
|
|
|
|
| Dated subordinated debt |
|
|
|
3,274 |
|
3,274 |
| Undated subordinated debt |
|
|
|
1,708 |
|
1,708 |
| Mutual security deposits |
|
|
|
|
|
|
| Participating securities and loans |
|
|
|
|
|
|
| TOTAL SUBORDINATED DEBT |
|
|
|
4,982 |
|
4,982 |
|
31.12.2018 |
| € million |
≤ 3 months |
>3 months to ≤ 1 year |
>1 year to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Debt securities |
|
|
|
|
|
|
| Interest bearing notes Money-market securities |
|
|
|
|
|
|
| Negotiable debt securities |
37,630 |
10,700 |
923 |
27 |
|
49,280 |
| Bonds |
|
|
1,662 |
599 |
|
2,261 |
| Other debt securities |
|
|
|
|
|
|
| TOTAL DEBT SECURITIES |
37,630 |
10,700 |
2,585 |
626 |
|
51,541 |
| Subordinated debt |
|
|
|
|
|
|
| Dated subordinated debt |
|
|
|
2,989 |
|
2,989 |
| Undated subordinated debt |
1
|
|
|
1,969 |
|
1,970 |
| Mutual security deposits |
|
|
|
|
|
|
| Participating securities and loans |
|
|
|
|
|
|
| TOTAL SUBORDINATED DEBT |
1
|
|
|
4,958 |
|
4,959 |
3.3.2 FINANCIAL
GUARANTEES AT RISK GIVEN BY EXPECTED MATURITY
The amounts presented correspond to the expected amount of the call of financial
guarantees
at risk, i.e. guarantees that have been impaired or are on a watch-list.
|
31.12.2019 |
| € million |
≤ 3 months |
3 months up to ≤ 1 year |
1 year up to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Financial guarantees given |
1 |
192 |
27 |
3 |
|
223 |
|
31.12.2018 |
| € million |
≤ 3 months |
3 months up to ≤ 1 year |
1 year up to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Financial guarantees given |
|
100 |
9 |
1 |
|
110 |
The remaining contractual maturities of derivative instruments are shown in Note
3.2
"Market risk".
3.4 Hedge accounting
(see Note 3.2 "Market risk" and Chapter "Risk factors - Balance sheet management"
from the Universal Registration Document of Crédit Agricole S.A.)
3.4.1 FAIR VALUE
HEDGE
A fair value hedge modifies the risk caused by changes in the fair value of a fixed-rate
financial instrument as a result of changes in interest rates. Fair value hedges transform
fixed-rate assets or liabilities into floating-rate assets or liabilities.
The fair value hedges concern principally fixed-rate loans, securities, deposits
and
subordinated debt.
3.4.2 CASH FLOW
HEDGES
A cash flow hedge modifies the risk related to variability in cash flows arising
from
floating-rate financial instruments.
Cash-flow items hedged are principally floating-rate loans and deposits.
3.4.3 HEDGE OF
A NET INVESTMENT IN FOREIGN CURRENCY
Les couvertures des investissements nets en devises modifient le risque inhérent
aux
fluctuations des taux de change liées aux participations dans les filiales en devise
étrangères.
► Hedging derivative
instruments
|
31.12.2019 |
31.12.2018 |
|
Market value |
Notional amount |
Market value |
Notional amount |
| € million |
Positive |
Negative |
|
Positive |
Negative |
|
| Fair value hedges |
698 |
1,112 |
102,761 |
498 |
809 |
71,040 |
| Interest rate |
348 |
910 |
70,948 |
360 |
603 |
47,283 |
| Foreign exchange |
350 |
202 |
31,813 |
138 |
206 |
23,757 |
| Other |
|
|
|
|
|
|
| Cash flow hedges |
842 |
198 |
48,011 |
459 |
210 |
41,426 |
| Interest rate |
558 |
25 |
17,775 |
345 |
84 |
18,597 |
| Foreign exchange |
248 |
149 |
30,112 |
68 |
61 |
22,689 |
| Other |
36 |
24 |
124 |
46 |
65 |
140 |
| Hedges of net investments in foreign operations |
10 |
24 |
2,183 |
8 |
48 |
2,163 |
| TOTAL HEDGING DERIVATIVE INSTRUMENTS |
1,550 |
1,334 |
152,955 |
965 |
1,067 |
114,629 |
3.4.4 DERIVATIVE
INSTRUMENTS: ANALYSIS BY RESIDUAL MATURITY (NOTIONALS)
The breakdown of notionals values of derivative instruments is shown by remaining
contractual maturity.
|
31.12.2019 |
|
Exchange-traded |
Over-the-counter |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
|
|
|
81,440 |
6,427 |
856 |
| Futures |
|
|
|
|
|
|
| FRAs |
|
|
|
|
|
|
| Interest rate swaps |
|
|
|
81,440 |
6,426 |
856 |
| Interest rate options |
|
|
|
|
|
|
| Caps - floors - collars |
|
|
|
|
1 |
|
| Other options |
|
|
|
|
|
|
| Currency instruments |
|
|
|
8,705 |
222 |
|
| Currency futures |
|
|
|
8,705 |
222 |
|
| Currency options |
|
|
|
|
|
|
| Other instruments |
|
|
|
124 |
|
|
| Other |
|
|
|
124 |
|
|
| Subtotal |
|
|
|
90,269 |
6,649 |
856 |
| Forward currency transactions |
|
|
|
55,160 |
21 |
|
| TOTAL NOTIONAL OF HEDGING DERIVATIVES |
|
|
|
145,429 |
6,670 |
856 |
|
31.12.2019 |
| € million |
Total notional |
| Interest rate instruments |
88,723 |
| Futures |
|
| FRAs |
|
| Interest rate swaps |
88,722 |
| Interest rate options |
|
| Caps - floors - collars |
1 |
| Other options |
|
| Currency instruments |
8,927 |
| Currency futures |
8,927 |
| Currency options |
|
| Other instruments |
124 |
| Other |
124 |
| Subtotal |
97,774 |
| Forward currency transactions |
55,181 |
| TOTAL NOTIONAL OF HEDGING DERIVATIVES |
152,955 |
|
31.12.2018 |
|
Exchange-traded |
Over-the-counter |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
| Interest rate instruments |
|
|
|
54,701 |
8,646 |
2,533 |
| Futures |
|
|
|
|
|
|
| FRAs |
|
|
|
|
|
|
| Interest rate swaps |
|
|
|
54,701 |
8,646 |
2,532 |
| Interest rate options |
|
|
|
|
|
|
| Caps - floors - collars |
|
|
|
|
|
1
|
| Other options |
|
|
|
|
|
|
| Currency instruments |
|
|
|
8,911 |
139 |
|
| Currency futures |
|
|
|
8,911 |
139 |
|
| Currency options |
|
|
|
|
|
|
| Other instruments |
|
|
|
140 |
|
|
| Other |
|
|
|
140 |
|
|
| Subtotal |
|
|
|
63,752 |
8,785 |
2,533 |
| Forward currency transactions |
|
|
|
39,445 |
114 |
|
| TOTAL NOTIONAL OF HEDGING DERIVATIVES |
|
|
|
103,197 |
8,899 |
2,533 |
|
31.12.2018 |
| € million |
Total notional |
| Interest rate instruments |
65,880 |
| Futures |
|
| FRAs |
|
| Interest rate swaps |
65,879 |
| Interest rate options |
|
| Caps - floors - collars |
1 |
| Other options |
|
| Currency instruments |
9,050 |
| Currency futures |
9,050 |
| Currency options |
|
| Other instruments |
140 |
| Other |
140 |
| Subtotal |
75,070 |
| Forward currency transactions |
39,559 |
| TOTAL NOTIONAL OF HEDGING DERIVATIVES |
114,629 |
Note "3.2 Market risk Derivative instruments: Analysis by remaining maturity" presents
the breakdown of market values of hedging derivatives by remaining contractual maturity.
3.4.5 FAIR VALUE
HEDGES
► Hedging derivative
instruments
|
31.12.2019 |
31.12.2018 |
|
Carrying amount |
Changes in fair value during the
period (of which end of hedges during the period) |
Notional Amount |
Carrying amount |
| € million |
Assets |
Liabilities |
|
|
Assets |
Liabilities |
| Fair value hedges |
|
|
|
|
|
|
| Regulated markets |
|
|
|
|
|
|
| Interest rate |
|
|
|
|
|
|
| Futures |
|
|
|
|
|
|
| Options |
|
|
|
|
|
|
| Foreign exchange |
|
|
|
|
|
|
| Futures |
|
|
|
|
|
|
| Options |
|
|
|
|
|
|
| Other |
|
|
|
|
|
|
| Over-the-counter markets |
612 |
1,104 |
(174) |
97,009 |
454 |
788 |
| Interest rate |
262 |
902 |
(329) |
65,197 |
316 |
582 |
| Futures |
262 |
902 |
(329) |
65,196 |
316 |
582 |
| Options |
|
|
|
1 |
|
|
| Foreign exchange |
350 |
202 |
155 |
31,812 |
138 |
206 |
| Futures |
350 |
202 |
155 |
31,812 |
138 |
206 |
| Options |
|
|
|
|
|
|
| Other |
|
|
|
|
|
|
| Total Fair value microhedging |
612 |
1,104 |
(174) |
97,009 |
454 |
788 |
| Fair value hedges of the interest rate exposure of a
portfolio of financial instruments |
86 |
8 |
33 |
5,752 |
44 |
21 |
| TOTAL FAIR VALUE HEDGES |
698 |
1,112 |
(141) |
102,761 |
498 |
809 |
|
31.12.2018 |
| € million |
Changes in fair value during the
period (of which end of hedges during the period) |
Notional Amount |
| Fair value hedges |
|
|
| Regulated markets |
(1) |
|
| Interest rate |
(1) |
|
| Futures |
(1) |
|
| Options |
|
|
| Foreign exchange |
|
|
| Futures |
|
|
| Options |
|
|
| Other |
|
|
| Over-the-counter markets |
103 |
65,980 |
| Interest rate |
63 |
42,223 |
| Futures |
63 |
42,222 |
| Options |
|
1 |
| Foreign exchange |
40 |
23,757 |
| Futures |
40 |
23,757 |
| Options |
|
|
| Other |
|
|
| Total Fair value microhedging |
102 |
65,980 |
| Fair value hedges of the interest rate exposure of a
portfolio of financial instruments |
(7) |
5,060 |
| TOTAL FAIR VALUE HEDGES |
95 |
71,040 |
Variations in the fair value of hedging derivatives are entered under "Net gains
(losses)
on financial instruments at fair value through profit or loss" on the income statement.
♦ Hedged items
► Micro-hedging
|
31.12.2019 |
31.12.2018 |
|
Present hedges |
Ended hedges |
Fair value hedge adjustments during
the period (including termination of hedges during
the period)
|
Present hedges |
| € million |
Carrying amount |
of which accumulated fair value
hedge adjustments |
Accumulated fair value hedge adjustments
to be adjusted for hedging remaining to be
amortised
|
|
Carrying amount |
of which accumulated fair value
hedge adjustments |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
7,525 |
(146) |
|
69 |
9,845 |
48 |
| Interest rate |
7,525 |
(146) |
|
71 |
9,795 |
48 |
| Foreign exchange |
|
|
|
(3) |
50 |
|
| Other |
|
|
|
|
|
|
| Debt instruments at amortised cost |
56,667 |
417 |
|
219 |
39,404 |
114 |
| Interest rate |
44,059 |
417 |
|
323 |
23,562 |
110 |
| Foreign exchange |
12,608 |
|
|
(104) |
15,843 |
4 |
| Other |
|
|
|
|
|
|
| Total fair value hedges on assets items |
64,192 |
270 |
|
288 |
49,249 |
162 |
| Debt instruments at amortised cost |
32,950 |
142 |
|
117 |
15,480 |
169 |
| Interest rate |
14,014 |
131 |
|
67 |
8,320 |
70 |
| Foreign exchange |
18,935 |
11 |
|
50 |
7,160 |
99 |
| Other |
|
|
|
|
|
|
| TOTAL FAIR VALUE HEDGES ON LIABILITIES ITEMS |
32,950 |
142 |
|
117 |
15,480 |
169 |
|
31.12.2018 |
|
Ended hedges |
Fair value hedge adjustments during
the period (including termination of hedges during
the period)
|
| € million |
Accumulated fair value hedge adjustments
to be adjusted for hedging remaining to be
amortised
|
|
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
|
(48) |
| Interest rate |
|
(48) |
| Foreign exchange |
|
|
| Other |
|
|
| Debt instruments at amortised cost |
|
68 |
| Interest rate |
|
(2) |
| Foreign exchange |
|
70 |
| Other |
|
|
| Total fair value hedges on assets items |
|
20 |
| Debt instruments at amortised cost |
|
122 |
| Interest rate |
|
(21) |
| Foreign exchange |
|
143 |
| Other |
|
|
| TOTAL FAIR VALUE HEDGES ON LIABILITIES ITEMS |
|
122 |
The fair value of hedged portions of financial instruments micro-hedged in fair
value
is recognised under the balance sheet item to which it belongs. The variations in
fair value of the hedged portions of the financial instruments micro-hedged by fair
value are recognised under "Net gains (losses) on financial instruments at fair value
through profit and loss" on the income statement.
► Macro-hedging
|
31.12.2019 |
31.12.2018 |
| € million |
Carrying amount |
Accumulated fair value hedge adjustments
to be adjusted for hedging remaining to be
adjusted, on ended hedges
|
Carrying amount |
Accumulated fair value hedge adjustments
to be adjusted for hedging remaining to be
adjusted, on ended hedges
|
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
|
|
|
|
| Debt instruments at amortised cost |
|
1 |
|
2 |
| Total - Assets |
|
1 |
|
2 |
| Debt instruments at amortised cost |
5,714 |
20 |
5,252 |
6 |
| Total - Liabilities |
5,714 |
20 |
5,252 |
6 |
The fair value hedged portions of financial instruments micro-hedged in fair value
is recognised under "Revaluation adjustment on interest rate hedged portfolios" on
the balance sheet. The changes in fair value of the hedged portions of the financial
instruments macro-hedged at fair value are recognised under "Net gains (losses) on
financial instruments at fair value through profit or loss" on the income statement.
► Gains (losses)
from hedge accounting
|
31.12.2019 |
31.12.2018 |
|
Net Income (Total
Gains (losses) from hedge accounting) |
Net Income (Total
Gains (losses) from hedge accounting) |
| € million |
Change in fair value of hedging
derivatives (including termination of hedges) |
Change in fair value of hedged
items (including termination of hedges) |
Hedge ineffectiveness portion |
Change in fair value of hedging
derivatives (including termination of hedges) |
Change in fair value of hedged
items (including termination of hedges) |
Hedge ineffectiveness portion |
| Interest rate |
(296) |
295 |
(1) |
55 |
(54) |
1 |
| Foreign exchange |
155 |
(157) |
(2) |
40 |
(40) |
|
| Other |
|
|
|
|
|
|
| TOTAL |
(141) |
138 |
(3) |
95 |
(94) |
1 |
3.4.6 CASH FLOW
HEDGES AND HEDGES OF NET INVESTMENTS IN FOREIGN OPERATION
► Hedging derivative
instruments
|
31.12.2019 |
31.12.2018 |
|
Carrying amount |
Changes in fair value during the
period (including termination of hedges during the
period)
|
Notional amount |
Carrying amount |
| € million |
Assets |
Liabilities |
|
|
Assets |
Liabilities |
| Exchange-traded |
|
|
|
|
|
|
| Interest rate |
|
|
|
|
|
|
| Futures |
|
|
|
|
|
|
| Options |
|
|
|
|
|
|
| Foreign Exchange |
|
|
|
|
|
|
| Futures |
|
|
|
|
|
|
| Options |
|
|
|
|
|
|
| Other |
|
|
|
|
|
|
| Over-the-counter markets |
298 |
140 |
235 |
27,509 |
90 |
70 |
| Interest rate |
23 |
|
234 |
3,430 |
1 |
|
| Futures |
23 |
|
234 |
3,430 |
1 |
|
| Options |
|
|
|
|
|
|
| Foreign exchange |
239 |
116 |
1 |
23,956 |
43 |
4 |
| Futures |
239 |
116 |
1 |
23,956 |
43 |
4 |
| Options |
|
|
|
|
|
|
| Other |
36 |
24 |
|
124 |
46 |
65 |
| Total Cash flow micro-hedging |
298 |
140 |
235 |
27,509 |
90 |
70 |
| Cash flow hedges of the interest rate exposure of a portfolio
of financial instruments |
536 |
25 |
(2) |
14,345 |
344 |
84 |
| Cash flow hedges of the foreign exchange exposure of
a portfolio of financial instruments |
9 |
33 |
|
6,157 |
25 |
56 |
| Total Cash flow macro-hedging |
544 |
58 |
(2) |
20,502 |
369 |
140 |
| Total Cash flow hedges |
842 |
198 |
233 |
48,011 |
459 |
210 |
| HEDGES OF NET INVESTMENTS IN FOREIGN OPERATIONS |
11 |
23 |
(2) |
2,183 |
8 |
48 |
|
31.12.2018 |
| € million |
Changes in fair value during the
period (including termination of hedges during the
period)
|
Notional amount |
| Exchange-traded |
|
|
| Interest rate |
|
|
| Futures |
|
|
| Options |
|
|
| Foreign Exchange |
|
|
| Futures |
|
|
| Options |
|
|
| Other |
|
|
| Over-the-counter markets |
(109) |
20,033 |
| Interest rate |
(109) |
3,535 |
| Futures |
(109) |
3,535 |
| Options |
|
|
| Foreign exchange |
|
16,358 |
| Futures |
|
16,358 |
| Options |
|
|
| Other |
|
140 |
| Total Cash flow micro-hedging |
(109) |
20,033 |
| Cash flow hedges of the interest rate exposure of a portfolio
of financial instruments |
(1) |
15,062 |
| Cash flow hedges of the foreign exchange exposure of
a portfolio of financial instruments |
|
6,332 |
| Total Cash flow macro-hedging |
(1) |
21,394 |
| Total Cash flow hedges |
(110) |
41,426 |
| HEDGES OF NET INVESTMENTS IN FOREIGN OPERATIONS |
(16) |
2,163 |
The variations in fair value of the hedging derivatives are entered under "Gains
or
losses recognised directly in equity" with the exception of the ineffective portion
of the hedge which is recognised under "Net gains or losses on financial instruments
at fair value through profit or loss" on the income statement.
► Gains (losses)
from hedge accounting
|
31.12.2019 |
31.12.2018 |
|
Other comprehensive
income on items that may be reclassified to profit and loss |
Net income (Hedge accounting income
or loss) |
Other comprehensive
income on items that may be reclassified to profit and loss |
Net income (Hedge accounting income
or loss) |
|
Effective portion of the hedge
recognised during the period |
Amount reclassified from other
comprehensive income into profit or loss during the
period
|
Hedge ineffectiveness portion |
Effective portion of the hedge
recognised during the period |
Amount reclassified from other
comprehensive income into profit or loss during the
period
|
Hedge ineffectiveness portion |
| Interest rate |
232 |
|
|
(110) |
|
|
| Foreign exchange |
1 |
|
|
|
|
|
| Commodities |
|
|
|
|
|
|
| Other |
|
|
|
|
|
|
| Total Cash flow hedges |
233 |
|
|
(110) |
|
|
| Hedges of net investments in foreign operations |
(2) |
|
|
(17) |
1 |
|
| TOTAL CASH FLOW HEDGES AND HEDGES OF NET INVESTMENTS
IN FOREIGN OPERATIONS |
231 |
|
|
(127) |
1 |
|
NOTE 4: NOTES
ON NET INCOME AND OTHER COMPREHENSIVE INCOME
4.1 Interest income
and expenses
| € million |
31.12.2019 |
31.12.2018 |
| On financial assets at amortised cost |
6,421 |
5,717 |
| Interbank transactions |
1,029 |
1,024 |
| Customer transactions |
4,842 |
4,368 |
| Debt securities |
550 |
325 |
| On financial assets recognised at fair value through
other comprehensive income |
172 |
202 |
| Interbank transactions |
|
|
| Customer transactions |
|
|
| Debt securities |
172 |
202 |
| Accrued interest receivable on hedging instruments |
382 |
294 |
| Other interest income |
9 |
2 |
| INTEREST AND SIMILAR INCOME |
6,984 |
6,215 |
| On financial liabilities at amortised cost |
(4,093) |
(3,514) |
| Interbank transactions |
(1,319) |
(1,277) |
| Customer transactions |
(1,547) |
(1,357) |
| Debt securities |
(1,035) |
(707) |
| Subordinated debt |
(192) |
(173) |
| Accrued interest receivable on hedging instruments |
(159) |
(228) |
| Other interest expenses |
(36) |
(16) |
| INTEREST AND SIMILAR EXPENSES |
(4,288) |
(3,758) |
4.2 Net fees and
commissions
|
31.12.2019 |
31.12.2018 |
| € million |
Gains |
Losses |
Net |
Gains |
Losses |
Net |
| Interbank transactions |
35 |
(24) |
11 |
38 |
(19) |
19 |
| Customer transactions |
567 |
(131) |
436 |
650 |
(141) |
509 |
| Securities transactions |
43 |
(98) |
(55) |
32 |
(76) |
(44) |
| Foreign exchange transactions |
10 |
(42) |
(32) |
7 |
(42) |
(35) |
| Derivative instruments and other off-balance sheet items |
259 |
(179) |
80 |
212 |
(136) |
76 |
| Total amount of actuarial gains or losses recognised
in other comprehensive income
that will not be reclassified to profit and loss at 31/12/N-1
|
346 |
(135) |
211 |
374 |
(106) |
268 |
| Mutual funds management, fiduciary and similar operations |
287 |
(99) |
188 |
268 |
(104) |
164 |
| TOTAL INCOME AND EXPENSES OF COMMISSIONS |
1,547 |
(708) |
839 |
1,581 |
(624) |
957 |
4.3 Net gains
(losses) on financial instruments at fair value through profit or loss
| € million |
31.12.2019 |
31.12.2018 |
| Dividends received |
359 |
313 |
| Unrealised or realised gains (losses) on assets/liabilities
held for trading |
2,756 |
166 |
| Unrealised or realised gains (losses) on equity instruments
at fair value through
profit or loss
|
23 |
66 |
| Unrealised or realised gains (losses) on debt instruments
that do not meet the conditions
of the "SPPI" test
|
(7) |
6 |
| Net gains (losses) on assets backing unit-linked contracts |
|
|
| Unrealised or realised gains (losses) on assets/liabilities
designated at fair value
through profit or loss 1 |
(1,651) |
(244) |
| Net gains (losses) on Foreign exchange transactions and
similar financial instruments
(excluding gains or losses on hedges of net investments in foreign operations)
|
355 |
1,466 |
| Gains (losses) from hedge accounting |
(3) |
1 |
| NET GAINS (LOSSES) ON FINANCIAL INSTRUMENTS AT FAIR VALUE
THROUGH PROFIT OR LOSS |
1,832 |
1,774 |
1
Excluding spread of issuer credit for liabilities recognised at fair value through
profit and loss on option concerned.
Analysis of net gains (losses) from hedge accounting:
|
31.12.2019 |
31.12.2018 |
| € million |
Gains |
Losses |
Net |
Gains |
Losses |
Net |
| Fair value hedges |
1,013 |
(1,015) |
(2) |
760 |
(759) |
1 |
| Changes in fair value of hedged items attributable to
hedged risks |
593 |
(422) |
171 |
329 |
(431) |
(102) |
| Changes in fair value of hedging derivatives (including
termination of hedges) |
420 |
(593) |
(173) |
431 |
(328) |
103 |
| Cash flow hedges |
|
|
|
|
|
|
| Changes in fair value of hedging derivatives - ineffective
portion |
|
|
|
|
|
|
| Hedges of net investments in foreign operations |
|
|
|
|
|
|
| Changes in fair value of hedging derivatives - ineffective
portion |
|
|
|
|
|
|
| Fair value hedges of the interest rate exposure of a
portfolio of financial instruments |
45 |
(45) |
|
18 |
(18) |
|
| Changes in fair value of hedged items |
6 |
(39) |
(33) |
12 |
(5) |
7 |
| Changes in fair value of hedging derivatives |
39 |
(6) |
33 |
6 |
(13) |
(7) |
| Cash flow hedges of the interest rate exposure of a portfolio
of financial instruments |
|
|
|
|
|
|
| Changes in fair value of hedging instrument - ineffective
portion |
|
|
|
|
|
|
| TOTAL GAINS (LOSSES) FROM HEDGE ACCOUNTING |
1,058 |
(1,060) |
(2) |
778 |
(777) |
1
|
The breakdown of gains (losses) from hedge accounting by type of relationship (fair
value hedges, cash flow hedges etc.) is presented in Note 3.4 "Hedge accounting".
4.4 Net gains
(losses) on financial instruments at fair value through equity
| € million |
31.12.2019 |
31.12.2018 |
| Net gains (losses) on debt instruments at fair value
through other comprehensive income
that may be reclassified subsequently to profit or loss 1 |
1 |
|
| Remuneration of equity instruments measured at fair value
through other comprehensive
income that will not be reclassified subsequently to profit or loss (dividends)
|
87 |
92 |
| NET GAINS (LOSSES) ON FINANCIAL INSTRUMENTS AT FAIR VALUE
THROUGH OT HER COMPREHENSIVE
INCOME
|
88 |
92 |
1
Excluding the gains or losses on the disposal on impaired debt instruments (Bucket
3) mentioned in note 4.9 « Cost of risk».
4.5 Net gains
(losses) arising from the derecognition of financial assets at amortised
cost
| € million |
31.12.2019 |
31.12.2018 |
| Debt securities |
|
3 |
| Loans and receivables due from credit institutions |
|
|
| Loans and receivables due from customers |
|
|
| Gains arising from the derecognition of financial assets
at amortised cost |
|
3 |
| Debt securities |
|
|
| Loans and receivables due from credit institutions |
|
|
| Loans and receivables due from customers |
(17) |
(4) |
| Losses arising from the derecognition of financial assets
at amortised cost |
(17) |
(4) |
| NET GAINS (LOSSES) ARISING FROM THE DERECOGNITION OF
FINANCIAL ASSETS AT AMORTISED
COST 1 |
(17) |
(1) |
1
Excluding gains or losses from the derecognition of impaired debt instruments (Bucket
3) mentioned in note 4.9 "Cost of risk".
4.6 Net income
(expenses) on other activities
| € million |
31.12.2019 |
31.12.2018 |
| Gains (losses) on fixed assets not used in operations |
|
|
| Other net income from insurance activities |
|
4 |
| Change in insurance technical reserves |
2 |
(4) |
| Other net income (expense) |
19 |
(3) |
| INCOME (EXPENSE) RELATED TO OTHER ACTIVITIES |
21 |
(3) |
4.7 Operating
expenses
| € million |
31.12.2019 |
31.12.2018 |
| Employee expenses |
(2,106) |
(2,069) |
| Taxes other than on income or payroll-related and regulatory
contributions 1 |
(232) |
(208) |
| External services and other operating expenses |
(888) |
(958) |
| OPERATING EXPENSES |
(3,226) |
(3,235) |
1
Of which €164 million entered under the Single Resolution Fund (SRF) at 31 December
2019 compared with €157 million at 31 December 2018.
HONORAIRES DEFEES
PAID TO STATUTORY AUDITORS
Operating expenses include the fees paid to Crédit Agricole CIB Statutory Auditors.
The breakdown of the fees recognised in 2019 by audit firm and by type of engagement
is provided below:
♦ College of statutory
auditors of credit agricole cib:
|
Ernst & Young |
Pricewaterhouse Coopers |
Total 2019 |
| € million |
2019 |
2018 |
2019 |
2018 |
|
| Independant audit, certification, review of parent company
and consolidated financial
statements
|
5.8 |
5.7 |
5.3 |
5.7 |
11.1 |
| Issuer |
3.4 |
3.4 |
2.6 |
2.8 |
6.0 |
| Fully consolidated subsidiaries |
2.4 |
2.2 |
2.7 |
3.0 |
5.1 |
| Non audit services |
0.8 |
0.9 |
2.1 |
1.8 |
2.8 |
| Issuer |
0.6 |
0.5 |
0.9 |
1.3 |
1.6 |
| Fully consolidated subsidiaries |
0.1 |
0.4 |
1.2 |
0.5 |
1.3 |
| TOTAL |
6.6 |
6.6 |
7.4 |
7.5 |
14.0 |
The total amount of fees of Ernst & Young, Statutory Auditor of Crédit Agricole
CIB,
on the consolidated income statement for the financial year is €2.2 million, including
€1.8 million for certifying the accounts of Crédit Agricole CIB and its subsidiaries,
and €0.4 million for non-audit services (comfort letters, findings after the agreed
procedures).
The total amount of fees of PricewaterhouseCoopers Audit, Statutory Auditor of
Crédit
Agricole CIB, on the consolidated income statement for the financial year is €2.2
million, including €1.9 million for certifying the accounts of Crédit Agricole CIB
and its subsidiaries, and €0.3 million for non-audit services (comfort letters, findings
after the agreed procedures).
♦ Other statutory auditors working for companies of the crédit agricole cib group,
fully consolidated
|
Mazars |
KPMG |
Deloitte |
| In thousands of euros excluding taxes |
2019 |
2018 |
2019 |
2018 |
2019 |
2018 |
| Independant audit, certification, review of parent company
and consolidated financial
statements
|
2 |
12 |
|
|
|
|
| Non audit services |
|
|
|
|
|
|
| TOTAL |
2 |
12 |
|
|
|
|
|
Autres |
Total 2019 |
| In thousands of euros excluding taxes |
20191 |
2018 |
|
| Independant audit, certification, review of parent company
and consolidated financial
statements
|
235 |
184 |
237 |
| Non audit services |
5 |
5 |
5 |
| TOTAL |
240 |
189 |
242 |
1
Of which €159 thousand assigned to the audit firm Auditeurs & Conseils Associés.
4.8 Depreciation,
amortisation and impairment of property, plant and equipment and
intangible assets
| € million |
31.12.2019 |
31.12.2018 |
| Depreciation and amortisation |
(196) |
(86) |
| Property, plant and equipment 1 |
(152) |
(45) |
| Intangible assets |
(44) |
(41) |
| Impairment losses (reversals) |
|
|
| Property, plant and equipment |
|
|
| Intangible assets |
|
|
| DEPRECIATION, AMORTISATION AND IMPAIRMENT OF PROPERTY,
PLANT & EQUIPMENT AND INTANGIBLE
ASSETS
|
(196) |
(86) |
1
Of which €110.7 million recognised for amortisation on the right-of-use at 31 December
2019.
4.9 Cost of risk
| € million |
31.12.2019 |
31.12.2018 |
| Charges net of reversals to impairments on performing
assets (Bucket 1 or Bucket 2) |
198 |
93 |
| Bucket 1 : Loss allowance measured at an amount equal
to 12 month expected credit
loss
|
(34) |
(56) |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
(1) |
2 |
| Debt instruments at amortised cost |
(24) |
(30) |
| Commitments by signature |
(9) |
(28) |
| Bucket 2 : Loss allowance measured at an amount equal
to lifetime expected credit
loss
|
232 |
149 |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
|
|
| Debt instruments at amortised cost |
166 |
84 |
| Commitments by signature |
66 |
65 |
| Charges net of reversals to impairments on credit-impaired
assets (Bucket 3) |
(343) |
(39) |
| Bucket 3 : Credit-impaired assets |
(343) |
(39) |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
|
|
| Debt instruments at amortised cost |
(223) |
(122) |
| Commitments by signature |
(120) |
83 |
| Other assets |
(1) |
(9) |
| Risks and expenses |
(13) |
5 |
| Charges net of reversals to impairment losses and provisions |
(159) |
50 |
| Realised gains (losses) on disposal of impaired debt
instruments at fair value through
other comprehensive income that may be reclassified to profit or loss
|
|
|
| Realised gains (losses) on impaired debt instruments
at amortised cost |
|
|
| Losses on non-impaired loans and bad debt |
(46) |
(52) |
| Recoveries on loans and receivables written off |
64 |
55 |
| recognised at amortised cost |
64 |
55 |
| recognised in other comprehensive income that may be
reclassified to profit or loss |
|
|
| Discounts on restructured loans |
|
|
| Losses on commitments by signature |
|
(4) |
| Other losses |
(38) |
(9) |
| Other gains |
14 |
15 |
| COST OF RISK |
(165) |
55 |
4.10 Net gains
(losses) on other assets
| € million |
31.12.2019 |
31.12.2018 |
| Property, plant & equipment and intangible assets
used in operations |
38 |
|
| Share of net income of equity-accounted entities |
41 |
|
| Changes due to transactions with shareholders |
(3) |
|
| Consolidated equity investments |
13 |
|
| Share of net income of equity-accounted entities |
16 |
|
| Changes due to transactions with shareholders |
(3) |
|
| Net income (expense) on combinations |
|
|
| NET GAINS (LOSSES) ON OTHER ASSETS |
51 |
|
4.11 Income tax
charge
INCOME TAX CHARGE
| € million |
31.12.2019 |
31.12.2018 |
| Current tax charge |
(299) |
(520) |
| Deferred tax charge |
(55) |
(5) |
| TOTAL TAX CHARGE |
(355) |
(525) |
RECONCILIATION
OF THEORETICAL TAX RATE AND EFFECTIVE TAX RATE
► AT 31 DECEMBER
2019
| € million |
Base |
Tax rate1 |
Tax |
| Pre-tax income, goodwill impairment, discontinued operations
and share of net income
of equity-accounted entities
|
1,923 |
34.43% |
(662) |
| Impact of permanent differences |
|
(5.63)% |
109 |
| Impact of different tax rates on foreign subsidiaries |
|
(5.15)% |
99 |
| Impact of losses for the year, utilisation of tax loss
carryforwards and temporary
differences
|
|
0.22% |
(4) |
| Rate change |
|
0.06% |
(1) |
| Impact of reduced tax rate |
|
1.73% |
(33) |
| Impact of other items |
|
(7.15)% |
137 |
| EFFECTIVE TAX RATE AND TAX CHARGE |
|
18.45% |
(355) |
1
The theoretical tax rate is the standard tax rate (including the additional social
contribution) on taxable profits in France at 31 December 2019.
► AT 31 DECEMBER
2018
| € million |
Base |
Tax rate1 |
Tax |
| Pre-tax income, goodwill impairment, discontinued operations
and share of net income
of equity-accounted entities
|
2,010 |
34.43% |
(692) |
| Impact of permanent differences |
|
(2.30)% |
46 |
| Impact of different tax rates on foreign subsidiaries |
|
(4.61)% |
93 |
| Impact of losses for the year, utilisation of tax loss
carryforwards and temporary
differences
|
|
1.20% |
(24) |
| Impact of reduced tax rate |
|
(0.79)% |
16 |
| Impact of other items |
|
(1.67)% |
36 |
| EFFECTIVE TAX RATE AND TAX CHARGE |
|
26.12% |
(525) |
1
The theoretical tax rate is the standard tax rate (including the additional social
contribution) on taxable profits in France at 31 December 2018.
4.12 Changes in
other comprehensive income
Detail of incomes and expenses recorded during the period is introduced below.
► Detail of other
comprehensive income
| € million |
31.12.2019 |
31.12.2018 |
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss net of income tax
|
|
|
| Gains and losses on translation adjustments |
129 |
148 |
| Revaluation adjustment of the period |
|
|
| Reclassified to profit or loss |
|
|
| Other changes |
129 |
148 |
| Other comprehensive income on debt instruments that may
be reclassified to profit
or loss
|
3 |
(41) |
| Revaluation adjustment of the period |
1 |
(36) |
| Reclassified to profit or loss |
(1) |
(1) |
| Other changes |
3 |
(4) |
| Gains and losses on hedging derivative instruments |
229 |
(109) |
| Revaluation adjustment of the period |
231 |
(111) |
| Reclassified to profit or loss |
|
|
| Other changes |
(2) |
2 |
| Pre-tax other comprehensive income on items that may
be reclassified to profit or
loss on equity-accounted entities
|
(3) |
1 |
| Income tax related to items that may be reclassified
to profit or loss excluding equity-accounted
entities
|
(80) |
47 |
| Income tax related to items that may be reclassified
to profit or loss on equity-accounted
entities
|
|
|
| Other comprehensive income on items that may be reclassified
to profit or loss on
entities from discontinued operations
|
|
|
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss net of income tax
|
278 |
46 |
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss net of income tax
|
|
|
| Actuarial gains and losses on post-employment benefits |
(90) |
51 |
| Other comprehensive income on financial liabilities attributable
to changes in own
credit risk
|
(67) |
368 |
| Revaluation adjustment of the period |
(76) |
350 |
| Reclassified to reserves |
9 |
18 |
| Other changes |
|
|
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss
|
36 |
264 |
| Revaluation adjustment of the period |
113 |
170 |
| Reclassified to reserves |
(42) |
71 |
| Other changes |
(35) |
23 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities
|
|
|
| Income tax related to items that will not be reclassified
excluding equity-accounted
entities
|
45 |
(262) |
| Income tax related to items that will not be reclassified
on equity-accounted entities |
|
|
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss net of income tax
|
(76) |
421 |
| OTHER COMPREHENSIVE INCOME NET OF INCOME TAX |
202 |
467 |
| Of which Group share |
204 |
472 |
| Of which non-controlling interests |
(2) |
(4) |
CHANGES IN OTHER
COMPREHENSIVE INCOME AND RELATED TAX IMPACTS
|
31.12.2018 |
Changes |
| € million |
Gross |
Income tax charges |
Net of income tax |
Net of income tax of which Group
Share |
Gross |
Income tax charges |
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
|
|
|
|
|
|
| Gains and losses on translation adjustments |
352 |
|
352 |
352 |
129 |
|
| Gains and losses on debt instruments at fair value through
other comprehensive income
that may be reclassified to profit or loss
|
30 |
(9) |
21 |
21 |
3 |
1 |
| Gains and losses on hedging derivative instruments |
249 |
(83) |
166 |
164 |
229 |
(81) |
| Other comprehensive income on items that may be reclassified
to profit or loss excluding
equity-accounted entities
|
631 |
(92) |
539 |
537 |
361 |
(80) |
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities
|
(1) |
|
(1) |
(1) |
(3) |
|
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
630 |
(92) |
538 |
536 |
358 |
(80) |
| Actuarial gains and losses on post-employment benefits |
(333) |
65 |
(268) |
(266) |
(90) |
7 |
| Other comprehensive income on financial liabilities attributable
to changes in own
credit risk
|
(137) |
41 |
(96) |
(96) |
(67) |
19 |
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss
|
57 |
(58) |
(1) |
|
36 |
19 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
excluding equity-accounted entities
|
(413) |
48 |
(365) |
(362) |
(121) |
45 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities
|
|
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
(413) |
48 |
(365) |
(362) |
(121) |
45 |
| OTHER COMPREHENSIVE INCOME |
217 |
(44) |
173 |
174 |
237 |
(35) |
|
Changes |
31.12.2019 |
| € million |
Net of income tax |
Net of income tax of which Group
Share |
Gross |
Income tax charges |
Net of income tax |
Net of income tax of which Group
Share |
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
|
|
|
|
|
|
| Gains and losses on translation adjustments |
129 |
129 |
481 |
|
481 |
481 |
| Gains and losses on debt instruments at fair value through
other comprehensive income
that may be reclassified to profit or loss
|
4 |
4 |
33 |
(8) |
25 |
25 |
| Gains and losses on hedging derivative instruments |
148 |
149 |
478 |
(164) |
314 |
313 |
| Other comprehensive income on items that may be reclassified
to profit or loss excluding
equity-accounted entities
|
281 |
282 |
992 |
(172) |
820 |
819 |
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities
|
(3) |
(3) |
(4) |
|
(4) |
(4) |
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
278 |
279 |
988 |
(172) |
816 |
815 |
| Actuarial gains and losses on post-employment benefits |
(83) |
(80) |
(423) |
72 |
(351) |
(346) |
| Other comprehensive income on financial liabilities attributable
to changes in own
credit risk
|
(48) |
(49) |
(204) |
60 |
(144) |
(145) |
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss
|
55 |
54 |
93 |
(39) |
54 |
54 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
excluding equity-accounted entities
|
(76) |
(75) |
(534) |
93 |
(441) |
(437) |
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities
|
|
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
(76) |
(75) |
(534) |
93 |
(441) |
(437) |
| OTHER COMPREHENSIVE INCOME |
202 |
204 |
454 |
(79) |
375 |
378 |
|
31.12.2017 |
01.01.2018 |
| € million |
Gross |
Income tax charges |
Net of income tax |
Net of income tax of which Group
Share |
Gross |
Income tax charges |
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
|
|
|
|
|
|
| Gains and losses on translation adjustments |
204 |
|
204 |
204 |
204 |
|
| Gains and losses on available for sale financial assets |
50 |
(35) |
15 |
15 |
|
|
| Gains and losses on debt instruments at fair value through
other comprehensive income
that may be reclassified to profit or loss
|
|
|
|
|
70 |
(19) |
| Gains and losses on hedging derivative instruments |
358 |
(120) |
238 |
235 |
358 |
(120) |
| Other comprehensive income on items that may be reclassified
to profit or loss excluding
equity-accounted entities
|
612 |
(155) |
457 |
454 |
632 |
(139) |
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities
|
|
|
|
|
|
|
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities on discontinued operations
|
|
|
|
|
|
|
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
612 |
(155) |
457 |
454 |
632 |
(139) |
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
|
|
|
|
|
|
| Actuarial gains and losses on post-employment benefits |
(385) |
81 |
(304) |
(305) |
(385) |
81 |
| Other comprehensive income on financial liabilities attributable
to changes in own
credit risk
|
|
|
|
|
(505) |
174 |
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss
|
|
|
|
|
(207) |
55 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
excluding equity-accounted entities
|
(385) |
81 |
(304) |
(305) |
(1,097) |
310 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities
|
|
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities on discontinued operations
|
|
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
(385) |
81 |
(304) |
(305) |
(1,097) |
310 |
| OTHER COMPREHENSIVE INCOME |
227 |
(74) |
153 |
149 |
(465) |
171 |
|
01.01.2018 |
Changes |
| € million |
Net of income tax |
Net of income tax of which Group
Share |
Gross |
Income tax charges |
Net of income tax |
Net of income tax of which Group
Share |
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
|
|
|
|
|
|
| Gains and losses on translation adjustments |
204 |
204 |
148 |
|
148 |
148 |
| Gains and losses on available for sale financial assets |
|
|
|
|
|
|
| Gains and losses on debt instruments at fair value through
other comprehensive income
that may be reclassified to profit or loss
|
51 |
51 |
(40) |
10 |
(30) |
(30) |
| Gains and losses on hedging derivative instruments |
238 |
235 |
(109) |
37 |
(72) |
(71) |
| Other comprehensive income on items that may be reclassified
to profit or loss excluding
equity-accounted entities
|
493 |
490 |
(1) |
47 |
46 |
47 |
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities
|
|
|
(1) |
|
(1) |
(1) |
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities on discontinued operations
|
|
|
|
|
|
|
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
493 |
490 |
(2) |
47 |
45 |
46 |
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
|
|
|
|
|
|
| Actuarial gains and losses on post-employment benefits |
(304) |
(305) |
52 |
(16) |
36 |
39 |
| Other comprehensive income on financial liabilities attributable
to changes in own
credit risk
|
(331) |
(331) |
368 |
(133) |
235 |
235 |
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss
|
(152) |
(152) |
264 |
(113) |
151 |
152 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
excluding equity-accounted entities
|
(787) |
(788) |
684 |
(262) |
422 |
426 |
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities
|
|
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities on discontinued operations
|
|
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
(787) |
(788) |
684 |
(262) |
422 |
426 |
| OTHER COMPREHENSIVE INCOME |
(294) |
(298) |
682 |
(215) |
467 |
472 |
|
31.12.2018 |
| € million |
Gross |
Income tax charges |
Net of income tax |
Net of incom tax of which Group
Share |
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
|
|
|
|
| Gains and losses on translation adjustments |
352 |
|
352 |
352 |
| Gains and losses on available for sale financial assets |
|
|
|
|
| Gains and losses on debt instruments at fair value through
other comprehensive income
that may be reclassified to profit or loss
|
30 |
(9) |
21 |
21 |
| Gains and losses on hedging derivative instruments |
249 |
(83) |
166 |
164 |
| Other comprehensive income on items that may be reclassified
to profit or loss excluding
equity-accounted entities
|
631 |
(92) |
539 |
537 |
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities
|
(1) |
|
(1) |
(1) |
| Other comprehensive income on items that may be reclassified
to profit or loss on
equity-accounted entities on discontinued operations
|
|
|
|
|
| Other comprehensive income on items that may be reclassified
subsequently to profit
or loss
|
630 |
(92) |
538 |
536 |
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
|
|
|
|
| Actuarial gains and losses on post-employment benefits |
(333) |
65 |
(268) |
(266) |
| Other comprehensive income on financial liabilities attributable
to changes in own
credit risk
|
(137) |
41 |
(96) |
(96) |
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss
|
57 |
(58) |
(1) |
|
| Other comprehensive income on items that will not be
reclassified to profit or loss
excluding equity-accounted entities
|
(413) |
48 |
(365) |
(362) |
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified to profit or loss
on equity-accounted entities on discontinued operations
|
|
|
|
|
| Other comprehensive income on items that will not be
reclassified subsequently to
profit or loss
|
(413) |
48 |
(365) |
(362) |
| OTHER COMPREHENSIVE INCOME |
217 |
(44) |
173 |
174 |
NOTE 5: SEGMENT
INFORMATION
Definition of
business
the naming of Crédit Agricole CIB's business lines corresponds to the Definitions
applied within the Crédit Agricole S.A. Group.
PRESENTATION OF
BUSINESS LINES
Operations are broken down into four business lines.
| ― |
The financing activities include the commercial banking business
lines in France and
abroad as well as the structured finance activities: project finance, aeronautics
financing, shipping financing, acquisitions finance, real estate finance;
|
| ― |
Capital markets and investment banking covers capital market
activities (treasury,
foreign exchange, interest-rate derivatives and debt markets) and investment banking
activities (mergers and acquisitions and primary equity advisory);
|
These two business lines make up nearly 100% of the Corporate and Investment banking
business line of Crédit Agricole S.A.
Note that the discontinued operations are now included in the Capital Markets and
Investment Banking and Financing Activities businesses, and that the SFS activity1
(Structured and Financial Solutions) has been transferred from Financing Activities
to Capital Markets and Investment banking.
| ― |
Crédit Agricole CIB is also active in wealth management through
its locations in France,
Belgium, Switzerland, Luxembourg, Monaco, Spain, Brazil and more recently in Asia
with the acquisition in 2017 of CIC wealth management activities in Singapore and
Hong Kong;
|
| ― |
The Corporate Centre business line includes the various impacts
not attributable to
the other divisions.
|
5.1 Operating
segment information
Transactions between operating segments are effected at arm's length.
Segment assets are determined based on balance sheet elements for each operating
segment.
|
31.12.2019 |
| € million |
Financing activities |
Captial markets and Investment
banking |
Total Corporate and Investment
Banking |
Wealth Management |
Corporate Center |
Crédit Agricole CIB |
| Revenues |
2,480 |
2,155 |
4,635 |
825 |
(1) |
5,459 |
| Operating expenses |
(1,040) |
(1,650) |
(2,690) |
(729) |
(3) |
(3,422) |
| Gross operating income |
1,440 |
505 |
1,945 |
96 |
(4) |
2,037 |
| Cost of risk |
(132) |
(24) |
(156) |
(9) |
|
(165) |
| Share of net income of equity-accounted entities |
4 |
|
4 |
|
|
4 |
| Net gains (losses) on other assets |
15 |
4 |
19 |
32 |
|
51 |
| Change in value of goodwill |
|
|
|
|
|
|
| Pre-tax income |
1,327 |
485 |
1,812 |
119 |
(4) |
1,927 |
| Income tax charge |
(247) |
(117) |
(364) |
(20) |
29 |
(355) |
| Net income from discontinued operations |
|
|
|
|
|
|
| Net income |
1,080 |
368 |
1,448 |
99 |
25 |
1,572 |
| Non-controlling interests |
(2) |
2 |
|
19 |
|
19 |
| NET INCOME GROUP SHARE |
1,082 |
366 |
1,448 |
80 |
25 |
1,553 |
|
31.12.2019 |
| € million |
Financing activities |
Captial markets and Investment
banking |
Total Corporate and Investment
Banking |
Wealth Management |
Corporate Center |
Crédit Agricole CIB |
| Segment assets |
|
|
|
|
|
|
| of which investments in equity-accounted entities |
|
|
|
|
|
|
| of which goodwill |
|
|
484 |
560 |
|
1,044 |
| TOTAL ASSETS |
|
|
530,257 |
22,486 |
|
552,743 |
(1)
Structured Financial Solutions: complex financing of operations for large corporates.
|
31.12.2018 |
| € million |
Financing activities |
Captial markets and Investment
banking |
Total Corporate and Investment
Banking |
Wealth Management |
Corporate Center1 |
Crédit Agricole CIB |
| Revenues |
2,510 |
1,944 |
4,454 |
822 |
|
5,276 |
| Operating expenses |
(994) |
(1,616) |
(2,610) |
(711) |
|
(3,321) |
| Gross operating income |
1,516 |
328 |
1,844 |
111 |
|
1,955 |
| Cost of risk |
82 |
(22) |
60 |
(5) |
|
55 |
| Share of net income of equity-accounted entities |
|
|
|
|
|
|
| Net gains (losses) on other assets |
|
|
|
|
|
|
| Change in value of goodwill |
|
|
|
|
|
|
| Pre-tax income |
1,598 |
306 |
1,904 |
106 |
|
2,010 |
| Income tax charge |
(421) |
(79) |
(500) |
(29) |
4 |
(525) |
| Net income from discontinued operations |
|
|
|
|
|
|
| Net income |
1,177 |
227 |
1,404 |
77 |
4 |
1,485 |
| Non-controlling interests |
(2) |
|
(2) |
8 |
|
6 |
| NET INCOME GROUP SHARE |
1,179 |
227 |
1,406 |
69 |
4 |
1,479 |
1
Under IFRS 9, the Crédit Agricole CIB issuer spread is classified with effect from
1 January 2018 as equity under "Other comprehensive income on items that will not
be reclassified to profit or loss".
|
31.12.2018 |
| € million |
Financing activities |
Captial markets and Investment
banking |
Total Corporate and Investment
Banking |
Wealth Management |
Corporate Center |
Crédit Agricole CIB |
| Segment assets |
|
|
|
|
|
|
| of which investments in equity-accounted entities |
|
|
|
|
|
|
| of which goodwill |
|
|
484 |
541 |
|
1,025 |
| TOTAL ASSETS |
|
|
493,734 |
17,968 |
|
511,702 |
5.2 Segment information:
geographical analysis
The geographical analysis of segment assets and results is based on the place where
operations are booked for accounting purposes.
|
31.12.2019 |
31.12.2018 |
| € million |
Net income Group Share |
Of which Revenues |
Segment assets |
Of which goodwill |
Net income Group Share |
Of which Revenues |
| France (including overseas departments and territories) |
597 |
2,105 |
362,067 |
474 |
485 |
2,126 |
| Other European Union countries |
361 |
1,127 |
30,471 |
142 |
176 |
1,046 |
| Others |
60 |
376 |
15,124 |
416 |
53 |
406 |
| North America |
164 |
862 |
61,445 |
|
447 |
806 |
| Central and South America |
16 |
50 |
836 |
1 |
20 |
47 |
| Africa and Middle East |
42 |
57 |
1,882 |
|
33 |
63 |
| Asia-Pacific (ex. Japan) |
222 |
665 |
30,049 |
11 |
164 |
566 |
| Japan |
91 |
217 |
50,869 |
|
101 |
216 |
| TOTAL |
1,553 |
5,459 |
552,743 |
1,044 |
1,479 |
5,276 |
|
31.12.2018 |
| € million |
Segment assets |
Of which goodwill |
| France (including overseas departments and territories) |
341,160 |
474 |
| Other European Union countries |
26,472 |
137 |
| Others |
14,675 |
402 |
| North America |
55,933 |
|
| Central and South America |
986 |
2 |
| Africa and Middle East |
2,801 |
|
| Asia-Pacific (ex. Japan) |
25,189 |
10 |
| Japan |
44,486 |
|
| TOTAL |
511,702 |
1,025 |
NOTE 6: NOTES
TO THE BALANCE SHEET
6.1 Cash due from
central banks
|
31.12.2019 |
31.12.2018 |
| € million |
Assets |
Liabilities |
Assets |
Liabilities |
| Cash |
8 |
|
11 |
|
| Central banks |
58,249 |
1,812 |
46,527 |
877 |
| CARRYING AMOUNT |
58,257 |
1,812 |
46,538 |
877 |
6.2 Financial
assets and liabilities at fair value through profit or loss
FINANCIAL ASSETS
AT FAIR VALUE THROUGH PROFIT OR LOSS
| € million |
31.12.2019 |
31.12.2018 |
| Financial assets held for trading |
249,068 |
240,560 |
| Other financial instruments at fair value through profit
or loss |
722 |
214 |
| Equity instruments |
359 |
100 |
| Debt instruments that do not meet the conditions of the
"SPPI" test |
363 |
114 |
| Assets backing unit-linked contracts |
|
|
| Financial assets designated at fair value through profit
or loss |
|
|
| CARRYING AMOUNT |
249,790 |
240,774 |
| Of which lent securities |
615 |
2,852 |
FINANCIAL ASSETS
HELD FOR TRADING
| € million |
31.12.2019 |
31.12.2018 |
| Equity instruments |
6,901 |
2,777 |
| Equities and other variable income securities |
6,901 |
2,777 |
| Debt securities |
18,398 |
19,447 |
| Treasury bills and similar securities |
13,601 |
14,116 |
| Bonds and other fixed income securities |
4,754 |
5,326 |
| Mutual funds |
43 |
5 |
| Loans and receivables |
106,440 |
110,184 |
| Loans and receivables due from credit institutions |
61 |
191 |
| Loans and receivables due from customers |
893 |
1,374 |
| Securities bought under repurchase agreements |
105,486 |
108,619 |
| Pledged securities |
|
|
| Derivative instruments |
117,329 |
108,152 |
| CARRYING AMOUNT |
249,068 |
240,560 |
Securities acquired under repurchase agreements include those that the entity is
authorised
to use as collateral.
EQUITY INSTRUMENTS
AT FAIR VALUE THROUGH PROFIT OR LOSS
| € million |
31.12.2019 |
31.12.2018 |
| Equities and other variable income securities |
213 |
31 |
| Non-consolidated equity investments |
146 |
69 |
| TOTAL EQUITY INSTRUMENTS AT FAIR VALUE THROUGH PROFIT
OR LOSS |
359 |
100 |
DEBT INSTRUMENTS
THAT DO NOT MEET THE CONDITIONS OF THE SPPI TEST
| € million |
31.12.2019 |
31.12.2018 |
| Debt securities |
38 |
38 |
| Treasury bills and similar securities |
2 |
|
| Bonds and other fixed income securities |
27 |
30 |
| Mutual funds |
9 |
8 |
| Loans and receivables |
325 |
76 |
| Loans and receivables due from credit institutions |
|
|
| Loans and receivables due from customers |
325 |
76 |
| Securities bought under repurchase agreements |
|
|
| Pledged securities |
|
|
| TOTAL DEBT INSTRUMENTS THAT DO NOT MEET THE CONDITIONS
OF THE "SPPI" TEST |
363 |
114 |
FINANCIAL LIABILITIES
AT FAIR VALUE THROUGH PROFIT OR LOSS
| € million |
31.12.2019 |
31.12.2018 |
| Held for trading financial liabilities |
224,789 |
208,156 |
| Financial liabilities designated at fair value through
profit or loss |
29,987 |
26,724 |
| CARRYING AMOUNT |
254,776 |
234,880 |
HELD-FOR-TRADING
FINANCIAL LIABILITIES
| € million |
31.12.2019 |
31.12.2018 |
| Securities sold short |
33,473 |
25,433 |
| Securities sold under repurchase agreements |
75,240 |
75,945 |
| Debt securities |
54 |
|
| Due to customers |
|
|
| Due to credit institutions |
|
|
| Derivative instruments |
116,022 |
106,778 |
| CARRYING AMOUNT |
224,789 |
208,156 |
Detailed information on derivative instruments held-for-trading can be found in
Note
3.2 on market risk, in particular on interest rates.
FINANCIAL LIABILITIES
DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS
♦ Financial liabilities
for which changes in Issuer spread are recognised in non-recyclable
equity
|
31.12.2019 |
| € million |
Carrying amount |
Difference between carrying amount
and amount contractually required to pay at maturity |
Accumulated amount of change in
fair value attributable to changes in own credit risk |
Amount of change in fair value
during the period attributable to changes in own credit
risk
|
Amount realised at derecognition1 |
| Deposits and subordinated liabilities |
3,993 |
|
|
|
|
| Debt securities |
25,089 |
207 |
204 |
76 |
(9) |
| Other financial liabilities |
|
|
|
|
|
| TOTAL |
29,082 |
207 |
204 |
76 |
(9) |
1
The amount realised upon derecognition is transferred to consolidated reserves.
|
31.12.2018 |
| € million |
Carrying amount |
Difference between carrying amount
and amount contractually required to pay at maturity |
Accumulated amount of change in
fair value attributable to changes in own credit risk |
Amount of change in fair value
during the period attributable to changes in own credit
risk
|
Amount realised at derecognition1 |
| Deposits and subordinated liabilities |
|
|
|
|
|
| Debt securities |
26,724 |
138 |
138 |
(350) |
(18) |
| Other financial liabilities |
|
|
|
|
|
| TOTAL |
26,724 |
138 |
138 |
(350) |
(18) |
1
The amount realised upon derecognition is transferred to consolidated reserves.
Pursuant to IFRS 9, Crédit Agricole CIB calculates changes in fair value attributable
to changes in own credit risk using a methodology that allows for these changes to
be separated from changes in value attributable to changes in market conditions.
BASIS FOR CALCULATING
OWN CREDIT RISK
The source taken into account for the calculation of own credit risk may vary from
one issuer to another. In Crédit Agricole CIB, it is the variation in its market refinancing
cost depending on the type of issue.
CALCULATION OF
UNREALISED GAINS/LOSSES ON OWN CREDIT ADJUSTMENT (RECOGNISED IN OTHER
COMPREHENSIVE INCOME)
Crédit Agricole CIB's preferred approach is based on the liquidity component of
issues.
All issues are replicated by a group of vanilla
loans/borrowings. Changes in fair value attributable to changes in own credit risk
of all issues therefore correspond to those of said loans. These are equal to the
changes in fair value of the loan book caused by changes in the cost of refinancing.
CALCULATION OF
REALISED GAINS/LOSSES ON OWN CREDIT RISK (RECOGNISED IN CONSOLIDATED
RESERVES)
Crédit Agricole CIB opts to transfer the change in fair value attributable to variations
in own credit risk to consolidated reserves. When there is a total or partial early
redemption, a calculation based on sensitivities is carried out. It consists of measuring
the variation in fair value attributable to variations in own credit risk of a given
issue as being the sum of the sensitivities to the credit spread multiplied by the
variation in this spread between the issue date and that of the redemption.
FINANCIAL LIABILITIES
FOR WHICH CHANGES ARE RECOGNISED THROUGH PROFIT OR LOSS
|
31.12.2019 |
| € million |
Carrying amount |
Difference between carrying amount
and due on maturity |
Accumulated amount of change in
fair value attributable to changes in own credit risk |
Amount of change in fair value
during the period attributable to changes in own credit
risk
|
| Deposits and subordinated liabilities |
905 |
|
|
|
| Debt securities |
|
|
|
|
| Other financial liabilities |
|
|
|
|
| TOTAL |
905 |
|
|
|
6.3 Hedging derivative
instruments
Detailed information is provided in Note 3.4 on "Hedging accounting".
6.4 Financial
assets at fair value through other comprehensive income
|
31.12.2019 |
31.12.2018 |
| € million |
Carrying amount |
Unrealised gains |
Unrealised losses |
Valeur au bilan |
Gains latents |
Pertes latentes |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit or loss
|
8,883 |
38 |
(5) |
9,700 |
52 |
(22) |
| Equity instruments at fair value through other comprehensive
income that will not
be reclassified to profit or loss
|
758 |
202 |
(109) |
1,662 |
160 |
(102) |
| TOTAL |
9,641 |
240 |
(114) |
11,362 |
212 |
(124) |
DEBT INSTRUMENTS
RECOGNISED AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME THAT
CAN BE RECLASSIFIED
|
31.12.2019 |
31.12.2018 |
| € million |
Carrying amount |
Unrealised gains |
Unrealised losses |
Valeur au bilan |
Gains latents |
Pertes latentes |
| Treasury bills and similar securities |
2,064 |
15 |
(1) |
1,576 |
11 |
|
| Bonds and other fixed income securities |
6,819 |
23 |
(4) |
8,124 |
41 |
(22) |
| Total Debt securities |
8,883 |
38 |
(5) |
9,700 |
52 |
(22) |
| Total Loans and receivables |
|
|
|
|
|
|
| Total Debt instruments at fair value through other comprehensive
income that may be
reclassified to profit or loss
|
8,883 |
38 |
(5) |
9,700 |
52 |
(22) |
| Income tax charge |
|
(9) |
|
|
(10) |
1 |
| OTHER COMPREHENSIVE INCOME ON EQUITY INSTRUMENTS THAT
WILL NOT BE RECLASSIFIED TO
PROFIT OR LOSS (NET OF INCOME TAX)
|
|
30 |
(5) |
|
42 |
(21) |
EQUITY INSTRUMENTS
RECOGNISED AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME THAT
CANNOT BE RECLASSIFIED
► Other comprehensive
income on equity instruments that cannot be reclassified
|
31.12.2019 |
31.12.2018 |
| € million |
Carrying amount |
Unrealised gains |
Unrealised losses |
Valeur au bilan |
Gains latents |
Pertes latentes |
| Equities and other variable income securities |
476 |
33 |
(12) |
38 |
31 |
(14) |
| Non-consolidated equity investments |
282 |
169 |
(97) |
1,624 |
129 |
(88) |
| Total Investments in equity instruments at fair value
through other comprehensive
income that will not be reclassified to profit or loss
|
758 |
202 |
(109) |
1,662 |
160 |
(102) |
| Income tax charge |
|
(47) |
8 |
|
(66) |
9 |
| OTHER COMPREHENSIVE INCOME ON EQUITY INSTRUMENTS THAT
WILL NOT BE RECLASSIFIED TO
PROFIT OR LOSS (NET OF INCOME TAX)
|
|
155 |
(101) |
|
94 |
(93) |
EQUITY INSTRUMENTS
DERECOGNISED DURING THE PERIOD
|
31.12.2019 |
31.12.2018 |
| € million |
Fair value at the date of derecognition |
Cumulative gains realised1 |
Cumulative losses realised1 |
Fair value at the date of derecognition |
Cumulative gains realised |
Cumulative losses realised |
| Equities and other variable income securities |
(1) |
|
(4) |
20 |
5 |
(5) |
| Non-consolidated equity investments |
997 |
45 |
(4) |
27 |
1 |
(73) |
| Total Investments in equity instruments |
996 |
45 |
(8) |
47 |
6 |
(78) |
| Income tax charge |
|
|
|
12 |
| Other comprehensive income on equity instruments that
will not be reclassified to
profit or loss (net of income tax)
|
|
45 |
(8) |
|
6 |
(66) |
1
Realised gains and losses are transferred to consolidated reserves at the moment
of the derecognition of the instrument concerned.
6.5 Financial
assets at amortised cost
| € million |
31.12.2019 |
31.12.2018 |
| Loans and receivables due from credit institutions |
15,996 |
19,172 |
| Loans and receivables due from customers |
143,864 |
134,302 |
| Debt securities |
37,580 |
27,897 |
| CARRYING AMOUNT |
197,440 |
181,371 |
LOANS AND RECEIVABLES
DUE FROM CREDIT INSTITUTIONS
| € million |
31.12.2019 |
31.12.2018 |
| Credit institutions |
|
|
| Loans and receivables |
15,729 |
18,583 |
| of which non doubtful current accounts in debit 1 |
2,702 |
3,077 |
| of which non doubtful overnight accounts and advances
1 |
245 |
426 |
| Pledged securities |
|
|
| Securities bought under repurchase agreements |
641 |
969 |
| Subordinated loans |
|
|
| Other loans and receivables |
17 |
16 |
| Gross amount |
16,387 |
19,568 |
| Impairment |
(391) |
(396) |
| Net value of loans and receivables due from credit institutions |
15,996 |
19,172 |
| Total Crédit Agricole internal transactions |
|
|
| CARRYING AMOUNT |
15,996 |
19,172 |
1
These transactions are partly comprised of the item "Net demand loans and deposits
with credit institutions" on the Cash Flow Statement.
LOANS AND RECEIVABLES
DUE FROM CUSTOMERS
| € million |
31.12.2019 |
31.12.2018 |
| Loans and receivables due from customers |
|
|
| Trade receivables |
17,889 |
21,761 |
| Other customer loans |
122,568 |
109,730 |
| Pledged securities |
|
|
| Securities bought under repurchase agreements |
474 |
336 |
| Subordinated loans |
41 |
100 |
| Insurance receivables |
|
|
| Reinsurance receivables |
|
|
| Advances in associates current accounts |
134 |
137 |
| Current accounts in debit |
4,981 |
4,571 |
| Gross amount |
146,087 |
136,635 |
| Impairment |
(2,223) |
(2,333) |
| Net value of loans and receivables due from customers |
143,864 |
134,302 |
| Finance leases |
|
|
| Property leasing |
|
|
| Equipment leases, operating leases and similar transactions |
|
|
| Gross amount |
|
|
| Impairment |
|
|
| Net value of lease financing operations |
|
|
| CARRYING AMOUNT |
143,864 |
134,302 |
DEBT SECURITIES
| € million |
31.12.2019 |
31.12.2018 |
| Treasury bills and similar securities |
7,900 |
7,285 |
| Bonds and other fixed income securities |
29,711 |
20,629 |
| Total |
37,611 |
27,914 |
| Impairment |
(31) |
(17) |
| CARRYING AMOUNT |
37,580 |
27,897 |
6.6 Transferred
assets not derecognised or derecognised with on-going involvement
TRANSFERRED ASSETS
NOT DERECOGNISED IN FULL AT 31 DECEMBER 2019
|
Transferred assets
but still fully recognised |
|
Transferred assets |
Associated liabilities |
| € million |
Carrying amount |
of which securitisation (non-deconsolidating) |
of which securities sold/bought
under repurchase agreements |
of which other |
Fair value |
Carrying amount |
| Financial assets held for trading |
14,139 |
|
14,139 |
|
14,139 |
13,331 |
| Equity instruments |
3,911 |
|
3,911 |
|
3,911 |
3,688 |
| Debt securities |
10,228 |
|
10,228 |
|
10,228 |
9,643 |
| Loans and receivables |
|
|
|
|
|
|
| Other financial instruments at fair value through profit
or loss |
|
|
|
|
|
|
| Equity instruments |
|
|
|
|
|
|
| Debt securities |
|
|
|
|
|
|
| Loans and receivables |
|
|
|
|
|
|
| Financial assets at fair value through other comprehensive
income |
799 |
|
799 |
|
799 |
755 |
| Equity instruments |
|
|
|
|
|
|
| Debt securities |
799 |
|
799 |
|
799 |
755 |
| Loans and receivables |
|
|
|
|
|
|
| Financial assets at amortised cost |
577 |
|
577 |
|
577 |
531 |
| Debt securities |
577 |
|
577 |
|
577 |
531 |
| Loans and receivables |
|
|
|
|
|
|
| Total of financial assets at fair value through other
comprehensive income |
15,515 |
|
15,515 |
|
15,515 |
14,617 |
| Finance leases |
|
|
|
|
|
|
| TOTAL TRANSFERRED ASSETS |
15,515 |
|
15,515 |
|
15,515 |
14,617 |
|
Transferred assets
but still fully recognised |
|
Associated liabilities |
Assets and associated liabilities |
| € million |
of which securitisation (non-deconsoli
dating) |
of which securities sold/bought
under repurchase agreements |
of which other |
Fair value1 |
Net fair value |
| Financial assets held for trading |
|
13,331 |
|
13,331 |
809 |
| Equity instruments |
|
3,688 |
|
3,688 |
224 |
| Debt securities |
|
9,643 |
|
9,643 |
585 |
| Loans and receivables |
|
|
|
|
|
| Other financial instruments at fair value through profit
or loss |
|
|
|
|
|
| Equity instruments |
|
|
|
|
|
| Debt securities |
|
|
|
|
|
| Loans and receivables |
|
|
|
|
|
| Financial assets at fair value through other comprehensive
income |
|
755 |
|
755 |
44 |
| Equity instruments |
|
|
|
|
|
| Debt securities |
|
755 |
|
755 |
44 |
| Loans and receivables |
|
|
|
|
|
| Financial assets at amortised cost |
|
531 |
|
531 |
45 |
| Debt securities |
|
531 |
|
531 |
45 |
| Loans and receivables |
|
|
|
|
|
| Total of financial assets at fair value through other
comprehensive income |
|
14,617 |
|
14,617 |
898 |
| Finance leases |
|
|
|
|
|
| TOTAL TRANSFERRED ASSETS |
|
14,617 |
|
14,617 |
898 |
1
In the event that the "guarantee of the other party to the agreement giving rise
to the associated liabilities is limited to the transferred assets" (IFRS 7.42D.(d)).
TRANSFERRED ASSETS
NOT DERECOGNISED IN FULL AT 31 DECEMBER 2018
|
Transferred assets
but still fully recognised |
|
Transferred assets |
Associated liabilities |
| € million |
Carrying amount |
of which securitisation (non-deconsolidating) |
of which securities sold/ bought
under repurchase agreements |
of which other |
Fair value |
Carrying amount |
| Financial assets held for trading |
10 488 |
|
10,488 |
|
10,488 |
10,137 |
| Equity instruments |
1,665 |
|
1,665 |
|
1,665 |
1,609 |
| Debt securities |
8,823 |
|
8,823 |
|
8,823 |
8,528 |
| Loans and receivables |
|
|
|
|
|
|
| Other financial instruments at fair value through profit
or loss |
|
|
|
|
|
|
| Equity instruments |
|
|
|
|
|
|
| Debt securities |
|
|
|
|
|
|
| Loans and receivables |
|
|
|
|
|
|
| Financial assets at fair value through other comprehensive
income |
1,350 |
|
1,350 |
|
1,350 |
1,279 |
| Equity instruments |
|
|
|
|
|
|
| Debt securities |
1,350 |
|
1,350 |
|
1,350 |
1,279 |
| Loans and receivables |
|
|
|
|
|
|
| Financial assets at amortised cost |
626 |
|
626 |
|
626 |
605 |
| Debt securities |
626 |
|
626 |
|
626 |
605 |
| Loans and receivables |
|
|
|
|
|
|
| Total of financial assets at fair value through other
comprehensive income |
12,464 |
|
12,464 |
|
12,464 |
12,021 |
| Finance leases |
|
|
|
|
|
|
| TOTAL TRANSFERRED ASSETS |
12,464 |
|
12,464 |
|
12,464 |
12,021 |
|
Transferred assets
but still fully recognised |
|
Associated liabilities |
Assets and associated liabilities |
| € million |
of which securitisation (non-deconsolidating) |
of which securities sold/ bought
under repurchase agreements |
of which other |
Fair value1 |
Net fair value |
| Financial assets held for trading |
|
10,137 |
|
10,137 |
350 |
| Equity instruments |
|
1,609 |
|
1,609 |
55 |
| Debt securities |
|
8,528 |
|
8,528 |
295 |
| Loans and receivables |
|
|
|
|
|
| Other financial instruments at fair value through profit
or loss |
|
|
|
|
|
| Equity instruments |
|
|
|
|
|
| Debt securities |
|
|
|
|
|
| Loans and receivables |
|
|
|
|
|
| Financial assets at fair value through other comprehensive
income |
|
1,279 |
|
1,279 |
71 |
| Equity instruments |
|
|
|
|
|
| Debt securities |
|
1,279 |
|
1,279 |
71 |
| Loans and receivables |
|
|
|
|
|
| Financial assets at amortised cost |
|
605 |
|
605 |
21 |
| Debt securities |
|
605 |
|
605 |
21 |
| Loans and receivables |
|
|
|
|
|
| Total of financial assets at fair value through other
comprehensive income |
|
12,021 |
|
12,021 |
442 |
| Finance leases |
|
|
|
|
|
| TOTAL TRANSFERRED ASSETS |
|
12,021 |
|
12,021 |
442 |
1
In the event that the "guarantee of the other party to the agreement giving rise
to the associated liabilities is limited to the transferred assets" (IFRS 7.42D.(d)).
6.7 Exposure to
sovereign risk
The scope of sovereign exposures recorded covers exposures to Governments, but
does
not include local authorities. Tax debt is excluded from these amounts.
Exposure to sovereign debt corresponds to an exposure net of impairment (carrying
amount) presented both gross and net of hedging. Crédit Agricole CIB's exposures to
the sovereign risk are as follows:
BANKING ACTIVITY
|
31.12.2019 |
|
Exposures Banking
activity net of impairment |
|
Other financial instruments
at fair value through profit or loss |
Financial assets at fair value
through other comprehensive income that may be reclassified
to profit or loss
|
Financial assets at amortised cost |
Total banking activity before hedging |
Hedging |
| € million |
Held-for-trading financial assets |
Other financial instruments at
fair value through profit or loss |
|
|
|
|
| Germany |
|
|
|
|
|
|
| Saudi Arabia |
|
|
|
899 |
899 |
|
| Argentina |
|
|
|
|
|
|
| Austria |
68 |
|
|
16 |
84 |
|
| Belgium |
|
|
73 |
234 |
307 |
(3) |
| Brazil |
57 |
|
77 |
191 |
325 |
|
| China |
12 |
|
36 |
|
48 |
|
| Egypt |
1 |
|
|
|
1 |
|
| Spain |
|
|
864 |
51 |
915 |
(1) |
| United States |
4,083 |
|
44 |
2,858 |
6,985 |
|
| Finland |
|
|
|
24 |
24 |
|
| France |
|
|
497 |
2,106 |
2,603 |
(25) |
| Greece |
|
|
|
|
|
|
| Hong Kong |
46 |
|
|
890 |
936 |
|
| Iran |
|
|
|
|
|
|
| Ireland |
1 |
|
|
|
1 |
|
| Italy |
|
6 |
|
1 |
7 |
|
| Japan |
|
|
|
889 |
889 |
|
| Latvia |
|
|
|
|
|
|
| Luxembourg |
31 |
|
|
|
31 |
|
| Morocco |
20 |
|
|
|
20 |
|
| Holland |
|
|
|
|
|
|
| Portugal |
|
|
|
|
|
|
| United Kingdom |
|
|
|
|
|
|
| Russia |
1 |
|
|
|
1 |
|
| Slovakia |
|
|
|
|
|
|
| Slovenia |
|
|
|
|
|
|
| Sweden |
|
|
|
54 |
54 |
|
| Syria |
|
|
|
|
|
|
| Ukraine |
|
|
|
54 |
54 |
|
| Venezuela |
|
|
|
43 |
43 |
|
| Yemen |
|
|
|
|
|
|
| Other sovereign countries |
962 |
|
328 |
3,808 |
5,098 |
(320) |
| TOTAL |
5,282 |
6 |
1,919 |
12,118 |
19,325 |
(349) |
|
31.12.2019 |
|
Exposures Banking activity net
of impairment |
| € million |
Total banking activity after hedging |
| Germany |
|
| Saudi Arabia |
899 |
| Argentina |
|
| Austria |
84 |
| Belgium |
304 |
| Brazil |
325 |
| China |
48 |
| Egypt |
1 |
| Spain |
914 |
| United States |
6,985 |
| Finland |
24 |
| France |
2,578 |
| Greece |
|
| Hong Kong |
936 |
| Iran |
|
| Ireland |
1 |
| Italy |
7 |
| Japan |
889 |
| Latvia |
|
| Luxembourg |
31 |
| Morocco |
20 |
| Holland |
|
| Portugal |
|
| United Kingdom |
|
| Russia |
1 |
| Slovakia |
|
| Slovenia |
|
| Sweden |
54 |
| Syria |
|
| Ukraine |
54 |
| Venezuela |
43 |
| Yemen |
|
| Other sovereign countries |
4,778 |
| TOTAL |
18,976 |
|
31.12.2018 |
|
Exposures Banking
activity net of impairment |
|
Other financial instruments
at fair value through profit or loss |
Financial assets at fair value
through other comprehensive income that may be reclassified
to profit or loss
|
Financial assets at amortised cost |
Total banking activity before hedging |
Hedging |
| € million |
Held-for-trading financial assets |
Other financial instruments at
fair value through profit or loss |
|
|
|
|
| Germany |
|
|
|
|
|
|
| Saudi Arabia |
8 |
|
|
880 |
888 |
|
| Austria |
|
|
|
15 |
15 |
|
| Belgium |
50 |
|
74 |
184 |
308 |
(2) |
| Brazil |
381 |
|
|
211 |
592 |
|
| China |
6 |
|
|
19 |
25 |
|
| Spain |
|
|
332 |
52 |
384 |
|
| United States |
1,577 |
|
|
1,610 |
3,187 |
|
| Finland |
|
|
|
|
|
|
| France |
|
|
899 |
1,860 |
2,759 |
(22) |
| Greece |
|
|
|
|
|
|
| Hong Kong |
71 |
|
|
978 |
1,049 |
|
| Ireland |
|
|
|
|
|
|
| Italy |
494 |
|
|
|
494 |
|
| Japan |
23 |
|
|
1,948 |
1,971 |
|
| Latvia |
|
|
|
|
|
|
| Luxembourg |
5 |
|
|
|
5 |
|
| Morocco |
18 |
|
|
|
18 |
|
| Holland |
|
|
|
|
|
|
| Portugal |
|
|
|
|
|
|
| United Kingdom |
|
|
|
|
|
|
| Russia |
1 |
|
6 |
|
7 |
|
| Slovakia |
8 |
|
9 |
|
17 |
|
| Slovenia |
|
|
|
|
|
|
| Sweden |
|
|
|
66 |
66 |
|
| Syria |
|
|
|
|
|
|
| Ukraine |
|
|
|
|
|
|
| Venezuela |
|
|
|
59 |
59 |
|
| Other sovereign countries |
|
|
|
|
|
|
| TOTAL |
2,642 |
|
1,320 |
7,882 |
11,844 |
(24) |
|
31.12.2018 |
|
Exposures Banking activity net
of impairment |
| € million |
Total banking activity after hedging |
| Germany |
|
| Saudi Arabia |
888 |
| Austria |
15 |
| Belgium |
306 |
| Brazil |
592 |
| China |
25 |
| Spain |
383 |
| United States |
3,187 |
| Finland |
|
| France |
2,737 |
| Greece |
|
| Hong Kong |
1,049 |
| Ireland |
|
| Italy |
494 |
| Japan |
1,971 |
| Latvia |
|
| Luxembourg |
5 |
| Morocco |
18 |
| Holland |
|
| Portugal |
|
| United Kingdom |
|
| Russia |
7 |
| Slovakia |
17 |
| Slovenia |
|
| Sweden |
66 |
| Syria |
|
| Ukraine |
|
| Venezuela |
59 |
| Other sovereign countries |
|
| TOTAL |
11,819 |
6.8 Financial
liabilities at amortised cost
| € million |
31.12.2019 |
31.12.2018 |
| Due to credit institutions |
44,646 |
47,302 |
| Due to customers |
133,352 |
123,510 |
| Debt securities |
57,291 |
51,541 |
| CARRYING AMOUNT |
235,289 |
222,353 |
DEBTS DUE TO CREDIT
INSTITUTIONS
| € million |
31.12.2019 |
31.12.2018 |
| Credit institutions |
|
|
| Accounts and borrowings |
43,006 |
45,525 |
| of which current accounts in credit 1 |
4,090 |
6,255 |
| of which overnight accounts and deposits 1 |
1,732 |
747 |
| Securities sold under repurchase agreements |
1,640 |
1,777 |
| CARRYING AMOUNT |
44,646 |
47,302 |
1
These transactions are partly comprised of the item "Net demand loans and deposits
with credit institutions" on the Cash Flow Statement.
DEBTS DUE TO CUSTOMERS
| € million |
31.12.2019 |
31.12.2018 |
| Current accounts in credit |
49,896 |
45,971 |
| Special savings accounts |
152 |
151 |
| Other amounts due to customers |
82,620 |
76,849 |
| Securities sold under repurchase agreements |
684 |
539 |
| Insurance liabilities |
|
|
| Reinsurance liabilities |
|
|
| Cash deposits received from cedants and retrocessionaires
against technical insurance |
|
|
| commitments |
|
|
| CARRYING AMOUNT |
133,352 |
123,510 |
DEBTS SECURITIES
| € million |
31.12.2019 |
31.12.2018 |
| Interest bearing notes |
|
|
| Money-market securities |
|
|
| Negotiable debt securities |
53,221 |
49,280 |
| Bonds |
4,070 |
2,261 |
| Other debt securities |
|
|
| CARRYING AMOUNT |
57,291 |
51,541 |
6.9 Information
on the offsetting of financial assets and financial liabilities
OFFSETTING - FINANCIAL
ASSETS
|
31.12.2019 |
|
Offsetting effects
on financial assets covered by master netting agreements and similar
agreements
|
|
Gross amounts of recognised financial
assets before offsetting |
Gross amounts of recognised financial
liabilities set off in the financial statements |
Net amounts of financial assets
presented in the financial statements |
Other amounts that
can be offset under given conditions |
Net amount after all offsetting
effects |
| € million |
|
|
|
Gross amounts of financial liabilities
covered by master netting agreements |
Amounts of other financial instruments
received as collateral, including security
deposits
|
|
| Derivatives |
119,217 |
|
119,217 |
111,747 |
7,284 |
185 |
| Reverse repurchase agreements |
169,501 |
62,900 |
106,601 |
9,791 |
96,665 |
144 |
| TOTAL FINANCIAL ASSETS SUBJECT TO OFFSETTING |
288,718 |
62,900 |
225,818 |
121,538 |
103,949 |
329 |
As at 31 December 2019, derivative instruments were not subject to accounting compensation
within the meaning of IAS 32R, but to daily settlement (application of the mechanism
known as "settlement to market").
|
31.12.2018 |
|
Offsetting effects
on financial assets covered by master netting agreements and similar
agreements
|
|
Gross amounts of recognised financial
assets before offsetting |
Gross amounts of recognised financial
liabilities set off in the financial statements |
Net amounts of financial assets
presented in the financial statements |
Other amounts that
can be offset under given conditions |
Net amount after all offsetting
effects |
| € million |
|
|
|
Gross amounts of financial liabilities
covered by master netting agreements |
Amounts of other financial instruments
received as collateral, including security
deposits
|
|
| Derivatives |
167,820 |
57,540 |
110,280 |
82,881 |
13,399 |
14,001 |
| Reverse repurchase agreements |
162,157 |
52,233 |
109,924 |
7,038 |
98,797 |
4,088 |
| TOTAL FINANCIAL ASSETS SUBJECT TO OFFSETTING |
329,977 |
109,773 |
220,204 |
89,919 |
112,196 |
18,089 |
OFFSETTING - FINANCIAL
LIABILITIES
|
31.12.2019 |
|
Offsetting effects
on financial assets covered by master netting agreements and similar
agreements
|
|
Gross amounts of recognised financial
assets before offsetting |
Gross amounts of recognised financial
liabilities set off in the financial statements |
Net amounts of financial assets
presented in the financial statements |
Other amounts that
can be offset under given conditions |
Net amount after all offsetting
effects |
| € million |
|
|
|
Gross amounts of financial liabilities
covered by master netting agreements |
Amounts of other financial instruments
received as collateral, including security
deposits
|
|
| Derivatives |
117,362 |
|
117,362 |
109,978 |
7,290 |
94 |
| Repurchase agreements |
140,480 |
62,900 |
77,580 |
9,791 |
64,341 |
3,448 |
| TOTAL FINANCIAL LIABILITIES SUBJECT TO OFFSETTING |
257,842 |
62,900 |
194,956 |
119,769 |
71,631 |
3,559 |
As at 31 December 2019, derivative instruments were not subject to accounting compensation
within the meaning of IAS 32R, but to daily settlement (application of the mechanism
known as "settlement to market").
|
31.12.2018 |
|
Offsetting effects
on financial assets covered by master netting agreements and similar
agreements
|
|
Gross amounts of recognised financial
assets before offsetting |
Gross amounts of recognised financial
liabilities set off in the financial statements |
Net amounts of financial assets
presented in the financial statements |
Other amounts that
can be offset under given conditions |
Net amount after all offsetting
effects |
| € million |
|
|
|
Gross amounts of financial liabilities
covered by master netting agreements |
Amounts of other financial instruments
received as collateral, including security
deposits
|
|
| Derivatives |
166,420 |
57,540 |
108,880 |
82,881 |
24,052 |
1,947 |
| Repurchase agreements |
130,506 |
52,233 |
78,273 |
7,038 |
66,398 |
4,836 |
| TOTAL FINANCIAL LIABILITIES SUBJECT TO OFFSETTING |
296,926 |
109,773 |
187,153 |
89,919 |
90,450 |
6,783 |
6.10 Current and
deferred tax assets and liabilities
| € million |
31.12.2019 |
31.12.2018 |
| Current tax |
528 |
546 |
| Deferred tax |
589 |
599 |
| TOTAL CURRENT AND DEFERRED TAX ASSETS |
1,117 |
1,145 |
| Current tax 1 |
891 |
461 |
| Deferred tax |
1,502 |
1,498 |
| TOTAL CURRENT AND DEFERRED TAX LIABILITIES |
2,392 |
1,959 |
1
The item Current Tax Liabilities includes the effects of the first application of
IFRIC 23: Uncertainty relating to tax treatment.
Crédit Agricole CIB took into account all of the information available at the time
of the closing, including recent positive developments and the residual risks in arbitration
proceedings abroad.
Net deferred tax assets and liabilities break down as follows:
|
31.12.2019 |
31.12.2018 |
| € million |
Deferred Tax Assets |
Deferred Tax Liabilities |
Deferred Tax Assets |
Deferred Tax Liabilities |
| Temporary timing differences - tax |
391 |
1,150 |
464 |
1,234 |
| Non-deductible accrued expenses |
156 |
|
145 |
|
| Non-deductible for liabilities and charges |
279 |
|
260 |
|
| Other temporary differences 1 |
(44) |
1,150 |
59 |
1,234 |
| Deferred tax on reserves for unrealised gains or losses |
118 |
198 |
94 |
138 |
| Financial assets at fair value through other comprehensive
income |
8 |
51 |
12 |
79 |
| Cash flow hedges |
7 |
176 |
1 |
83 |
| Gains and losses/Actuarial differences |
43 |
(29) |
40 |
(24) |
| Other comprehensive income attributable to changes in
own credit risk |
60 |
|
41 |
|
| Deferred tax on income and reserves |
80 |
154 |
40 |
126 |
| TOTAL DEFERRED TAX |
589 |
1,502 |
598 |
1,498 |
1
The portion of deferred tax related to tax loss carryforwards is €37 million for
2019, compared to €30 million for 2018.
The deferred tax is netted on the balance sheet by level of fiscal integration.
In order to determine the level of deferred tax asset to be recognised, Crédit
Agricole
CIB takes into account, for each entity or fiscal group concerned, the applicable
tax regime and the income projections made during budgeting.
TAX AUDITS
♦ Crédit Agricole
CIB Paris tax audit
After an audit of accounts covering years 2013, 2014 and 2015, adjustments were
carried
out on Crédit Agricole CIB as part of a proposed adjustment received at the end of
December 2018. Crédit Agricole CIB is challenging the proposed adjustments. A provision
has been recognised to cover the estimated risk.
♦ Crédit Agricole
CIB Milan and London tax audit regarding transfer pricing
Following tax audits, Crédit Agricole CIB Milan received proposals for adjustments
for financial years 2005 to 2014 from the Italian tax authorities in the area of transfer
prices. Crédit Agricole CIB challenged the proposed adjustments. At the same time,
the case has been referred to the competent French-Italian authorities for all years.
A provision has been recognised to cover the estimated risk.
♦ CLSA Liability
guarantee
In 2013 Crédit Agricole S.A. Group sold the CLSA entities to the Chinese group
CITICS.
Following tax adjustments made to some CLSA entities in India and the Philippines,
CITICS invoked the liability guarantee against Crédit Agricole S.A. Group. Reasoned
arguments have been submitted challenging the adjustments. A provision has been recognised
to cover the estimated risk.
6.11 Accruals,
deferred income and sundry assets and liabilities
ACCRUALS, DEFERRED
INCOME AND SUNDRY ASSETS
| € million |
31.12.2019 |
31.12.2018 |
| Other assets |
29,412 |
25,050 |
| Inventory accounts and miscellaneous |
152 |
98 |
| Sundry debtors |
27,872 |
23,604 |
| Settlements accounts |
1,388 |
1,348 |
| Other insurance assets |
|
|
| Reinsurer's share of technical reserves |
|
|
| Accruals and deferred income |
3,129 |
2,812 |
| Items in course of transmission |
2,171 |
1,856 |
| Adjustment and suspense accounts |
48 |
316 |
| Accrued income |
502 |
371 |
| Prepaid expenses |
102 |
120 |
| Other accruals prepayments and sundry assets |
306 |
149 |
| CARRYING AMOUNT |
32,541 |
27,862 |
ACCRUALS, DEFERRED
INCOME AND SUNDRY LIABILITIES
| € million |
31.12.2019 |
31.12.2018 |
| Other liabilities |
22,141 |
18,019 |
| Settlements accounts |
819 |
1,287 |
| Sundry creditors |
20,770 |
16,732 |
| Liabilities related to trading securities |
|
|
| Other insurance liabilities |
|
|
| Lease liabilities 1 |
552 |
|
| Other Commitments |
|
|
| Accruals and deferred income |
6,402 |
5,468 |
| Items in course of transmission |
2,901 |
2,185 |
| Adjustment and suspense accounts |
1,255 |
759 |
| Unearned income |
297 |
312 |
| Accrued expenses |
1,843 |
2,076 |
| Other accruals prepayments and sundry assets |
106 |
136 |
| Carrying amount |
28,543 |
23,487 |
1
Right of use impact recognised in First Time Application of the IFRS 16 (see Note
1.1 "Applicable standards and comparability").
6.12 Joint ventures
and associates
The market value shown in the table above is the quoted price of the shares on
the
market at 31 December 2019. This value may not be representative of the selling value
since the value in use of equityaccounted entities may be different from the equity
accounted value determined pursuant to IAS 28. Investments in equityaccounted entities
were subject to impairment tests using the same methodology as for goodwill, i.e.
by using expected future cash flow estimates of the companies in question and by using
the valuation parameters described in Note 6.14 "Goodwill".
FINANCIAL INFORMATION
OF JOINT VENTURES AND ASSOCIATES
At 31 December 2019,
| ― |
the equityaccounted value of joint ventures was nil as it was
fully impaired (same
situation at 31 December 2018),
|
| ― |
Crédit Agricole CIB holds interests in two joint ventures.
|
Significant associates and joint ventures are presented in the table of Note 6.12.1.
These are the main joint ventures and associates that make up the "equityaccounted
value in the balance sheet".
6.12.1 JOINT VENTURES
AND ASSOCIATES: INFORMATION
|
31.12.2019 |
| € million |
% of interest |
Equity-accounted value |
Share of market value |
Dividends paid to group's entities |
Share of net income |
Share of shareholders' equity1 |
| Joint ventures |
|
|
|
|
|
|
| UBAF |
47.01% |
|
|
1 |
4 |
155 |
| Elipso |
50.00% |
|
|
|
|
(53) |
| Net carrying amount of investments in equity-accounted
entities (Joint ventures) |
|
|
|
1 |
4 |
102 |
| Associates |
|
|
|
|
|
|
| Net carrying amount of investments in equity-accounted
entities (Associates) |
|
|
|
|
|
|
| NET CARRYING AMOUNT OF INVESTMENTS IN EQUITY-ACCOUNTED
ENTITIES |
|
|
|
1 |
4 |
102 |
|
31.12.2019 |
| € million |
Goodwill |
| Joint ventures |
|
| UBAF |
|
| Elipso |
|
| Net carrying amount of investments in equity-accounted
entities (Joint ventures) |
|
| Associates |
|
| Net carrying amount of investments in equity-accounted
entities (Associates) |
|
| NET CARRYING AMOUNT OF INVESTMENTS IN EQUITY-ACCOUNTED
ENTITIES |
|
1
Equity Group share in the financial statements of the joint venture or associate
when the joint venture or associate is a sub-group.
|
31.12.2018 |
| € million |
% of interest |
Equity-accounted value |
Share of market value |
Dividends paid to group's entities |
Share of net income |
Share of shareholders' equity1 |
| Joint ventures |
|
|
|
|
|
|
| UBAF |
47.01% |
|
|
|
|
154 |
| Elipso |
50.00% |
|
|
|
|
(49) |
| Net carrying amount of investments in equity-accounted
entities (Joint ventures) |
|
|
|
|
|
105 |
| Associates Net carrying amount of investments in equity-accounted
entities (Associates) |
|
|
|
|
|
|
| NET CARRYING AMOUNT OF INVESTMENTS IN EQUITY-ACCOUNTED
ENTITIES |
|
|
|
|
|
105 |
|
31.12.2018 |
| € million |
Goodwill |
| Joint ventures |
|
| UBAF |
|
| Elipso |
|
| Net carrying amount of investments in equity-accounted
entities (Joint ventures) |
|
| Associates Net carrying amount of investments in equity-accounted
entities (Associates) |
|
| NET CARRYING AMOUNT OF INVESTMENTS IN EQUITY-ACCOUNTED
ENTITIES |
|
1
Equity Group share in the financial statements of the joint venture or associate
when the joint venture or associate is a sub-group.
6.12.2 JOINT VENTURES
AND ASSOCIATES: DETAILED INFORMATION
The summary financial information of the joint ventures and significant associates
of Crédit Agricole CIB is presented below:
|
31.12.2019 |
| € million |
Revenues |
Net Income |
Total assets |
Total equity |
| Joint ventures |
|
|
|
|
| UBAF |
52 |
9 |
1,865 |
329 |
| Elipso |
(7) |
(8) |
44 |
(106) |
| TOTAL |
45 |
1 |
1 909 |
223 |
|
31.12.2018 |
| € million |
Revenues |
Net Income |
Total assets |
Total equity |
| Joint ventures |
|
|
|
|
| UBAF |
43 |
3 |
1,962 |
329 |
| Elipso |
|
(1) |
58 |
(99) |
| TOTAL |
43 |
2 |
2,020 |
230 |
SIGNIFICANT RESTRICTIONS
ON JOINT VENTURES AND ASSOCIATES
Crédit Agricole CIB is subject to the following restrictions:
♦ Regulatory constraints
The subsidiaries of Crédit Agricole CIB are subject to prudential regulation and
regulatory
capital requirements in their host countries. The minimum equity capital (solvency
ratio), leverage ratio and liquidity ratio requirements limit the capacity of these
entities to pay dividends or to transfer assets to Crédit Agricole CIB.
♦ Legal constraints
The subsidiaries of the Crédit Agricole CIB group are subject to legal provisions
concerning the distribution of capital and distributable earnings. These requirements
limit the ability of the subsidiaries to distribute dividends. In the majority of
cases, these are less restrictive than the regulatory limitations mentioned above.
6.13 Property,
plant & equipment and intangible assets (excluding goodwill)
Property, plant & equipment used in operations include the rights to use fixed
assets
taken on lease as lessee from 1 January 2019 (see Note 1.1 "Applicable standards and
comparability" - IFRS 16 Leases).
Depreciation and impairment of property, plant & equipment used in operations
are
presented including depreciation on fixed assets given as operating leases.
| € million |
31.12.2018 |
01.01.20191 |
Changes in scope |
Increases (acquisitions) |
Decreases (disposals and redemptions) |
Translation adjustments |
| Property, plant & equipment used in operations |
|
|
|
|
|
|
| Gross amount |
1,179 |
1,724 |
|
258 |
(275) |
28 |
| Depreciation and impairment |
(824) |
(827) |
|
(152) |
256 |
(13) |
| CARRYING AMOUNT |
356 |
897 |
|
106 |
(19) |
15 |
| Intangible assets |
|
|
|
|
|
|
| Gross amount |
885 |
882 |
|
115 |
(353) |
5 |
| Depreciation and impairment |
(584) |
(582) |
|
(44) |
341 |
(2) |
| CARRYING AMOUNT |
301 |
300 |
|
71 |
(12) |
3 |
| € million |
Other movements |
31.12.2019 |
| Property, plant & equipment used in operations |
|
|
| Gross amount |
|
1,735 |
| Depreciation and impairment |
|
(736) |
| CARRYING AMOUNT |
|
999 |
| Intangible assets |
|
|
| Gross amount |
|
649 |
| Depreciation and impairment |
|
(287) |
| CARRYING AMOUNT |
|
362 |
1
Right of use impact recognised in First Time Application of the IFRS 16 (see Note
1.1 "Applicable standards and comparability").
| € million |
31.12.2017 |
Changes in scope |
Increases (acquisitions) |
Decreases (disposals and redemptions) |
Translation adjustments |
Other movements |
| Property, plant & equipment used in operations |
|
|
|
|
|
|
| Gross amount |
1,130 |
5 |
53 |
(33) |
24 |
|
| Depreciation and impairment |
(791) |
(6) |
(45) |
33 |
(14) |
(1) |
| CARRYING AMOUNT |
339 |
|
8 |
|
11 |
(1) |
| Intangible assets |
|
|
|
|
|
|
| Gross amount |
775 |
|
105 |
(1) |
4 |
|
| Depreciation and impairment |
(542) |
|
(42) |
1 |
(1) |
|
| CARRYING AMOUNT |
233 |
|
64 |
|
3 |
|
| € million |
31.12.2018 |
| Property, plant & equipment used in operations |
|
| Gross amount |
1,179 |
| Depreciation and impairment |
(824) |
| CARRYING AMOUNT |
356 |
| Intangible assets |
|
| Gross amount |
885 |
| Depreciation and impairment |
(584) |
| CARRYING AMOUNT |
301 |
6.14 Goodwill
| € million |
31.12.2018 GROSS |
31.12.2018 NET |
Increases (acquisitions) |
Decreases (Divestments) |
Impairment losses during the period |
Translation adjustments |
| Corporate and Investment banking |
654 |
484 |
|
|
|
|
| Wealth Management |
541 |
541 |
|
|
|
14 |
| Other activities |
|
|
|
|
|
|
| TOTAL |
1,195 |
1,025 |
|
|
|
14
|
| € million |
Other movements |
31.12.2019 GROSS |
31.12.2019 NET |
| Corporate and Investment banking |
|
654 |
484 |
| Wealth Management |
5 |
560 |
560 |
| Other activities |
|
|
|
| TOTAL |
5 |
1,214 |
1,044 |
Impairment tests were carried out on the goodwill, based on an assessment of the
value
in use of the CGUs to which it is attached. The determination of value in use was
calculated by discounting the CGUs' estimated future cash flows calculated from the
medium-term plans developed for Group matnagement purposes.
The following assumptions were used:
| ― |
estimated future flows: data forecasts compiled from projected
three-year budgets
as part of the updating of the MediumTerm Plan.
|
The trade projections were developed from the scenario of September 2019, with
the
following assumptions:
| ― |
Euro zone: continued decline in growth, which is taking hold
under its potential (depressed/unstable
international environment justifying negative contribution from net exports and an
erosion of confidence and therefore of productive investment, particularly in Germany
and Italy; increase in precautionary savings). Weak growth, without inflation, accommodating
monetary policies and general weakness in bond yields, long-term rates, which are
sustainably settling in negative territory in Germany and France;
|
| ― |
USA: uncertainties, effects of the trade war and shrinking margins
are leading companies
to reduce their investment spending; marked slowdown in growth (technical recession
in 2020); accommodating Fed monetary policy to prevent the recession from worsening.
Moderate recovery from 2021;
|
| ― |
installation in an inflation-free soft global growth regime.
Increase/ extension of
tensions between China and the United States and tense geopolitical climate. More
accommodating monetary conditions than anticipated.
|
| ― |
Equity allocated: 9.76% of risk weighted assets for the 2 CGUs
(up 5 bp compared with
31 December 2018, due to the rise of contra-cyclical cushions applicable in certain
countries);
|
| ― |
perpetual growth rate: 2%. The perpetual growth rates at 31 December
2019 were identical
to those used at 31 December 2018 and reflect the growth forecasts of CA CIB for the
two CGUs;
|
| ― |
discount rate: between 8.30% and 9.20%. The setting of discount
rates at 31 December
2019 for all CGUs reflects the sustained fall in long-term interest rates observed
in Europe and particularly in France for several years now. Overall, the rates used
were down compared with the end of 2018, for the 2 CGUs (between -50 bp and -40 bp),
consistent with the rate assumptions used to create budgets and projections of entities.
|
The sensitivity tests on goodwill Group share have only shown an impairment requirement
on Corporate and Investment Banking CGU, or the Wealth Management CGU:
| ― |
a variation of +50 basis points in the rate of allocation of
own funds to the CGU
would not led to an impairment;
|
| ― |
a variation of +50 basis points of the discount rate would not
lead to an impairment;
|
| ― |
a variation of +100 basis points of the cost/income ratio during
the final year would
not lead to an impairment;
|
| ― |
a variation of +10 basis points of the cost of risk at year end
would not lead to
an impairment.
|
6.15 Provisions
| € million |
31.12.2018 |
01.01.2019 |
Changes in scope |
Depreciation charges |
Reversals, amounts used |
Reversals, amounts not used |
| Home purchase schemes risks |
|
|
|
|
|
|
| Execution risks of commitments by signature |
372 |
372 |
|
434 |
(1) |
(372) |
| Operational risks |
5 |
5 |
|
1 |
(5) |
|
| Employee retirement and similar benefits |
501 |
501 |
|
37 |
(30) |
(53) |
| Litigation 1 |
721 |
415 |
|
16 |
(10) |
|
| Equity investments |
|
|
|
|
|
|
| Restructuring |
1 |
1 |
|
3 |
|
(1) |
| Other risks |
79 |
79 |
|
7 |
(9) |
(3) |
| TOTAL |
1,679 |
1,373 |
|
498 |
(55) |
(429) |
| € million |
Translation adjustments |
Other movements |
31.12.2019 |
| Home purchase schemes risks |
|
|
|
| Execution risks of commitments by signature |
9 |
|
442 |
| Operational risks |
|
|
1 |
| Employee retirement and similar benefits |
6 |
56 |
517 |
| Litigation 1 |
|
(32) |
389 |
| Equity investments |
|
|
|
| Restructuring |
|
|
3 |
| Other risks |
|
(4) |
70 |
| TOTAL |
15 |
20 |
1,422 |
See Notes 7.4 "Post-employment benefits" and 7.5 "Other employee benefits".
1
Reclassification of provisions for fiscal risks relating to income taxes from "Provisions"
to "Current and deferred tax liabilities" at 1 January 2019 for €306 millions.
| € million |
31.12.2017 |
01.01.2018 |
Changes in scope |
Depreciation charges |
Reversals, amounts used |
Reversals, amounts not used |
| Home purchase schemes risks |
|
|
|
|
|
|
| Execution risks of commitments by signature |
221 |
527 |
|
464 |
(43) |
(583) |
| Operational risks |
1 |
1 |
|
4 |
|
|
| Employee retirement and similar benefits |
554 |
554 |
(1) |
35 |
(64) |
(6) |
| Litigation |
607 |
607 |
5 |
125 |
(39) |
(37) |
| Equity investments |
2 |
2 |
|
|
(1) |
|
| Restructuring |
1 |
1 |
|
|
|
|
| Other risks |
48 |
48 |
2 |
41 |
(5) |
(8) |
| TOTAL |
1,434 |
1,740 |
6 |
669 |
152 |
634 |
| € million |
Translation adjustments |
Other movements |
31.12.2018 |
| Home purchase schemes risks |
|
|
|
| Execution risks of commitments by signature |
7 |
|
372 |
| Operational risks |
|
|
5 |
| Employee retirement and similar benefits |
11 |
(28) |
501 |
| Litigation |
5 |
55 |
721 |
| Equity investments |
|
(1) |
|
| Restructuring |
|
|
1 |
| Other risks |
|
1 |
79 |
| TOTAL |
23 |
27 |
1,679 |
INQUIRIES AND
REQUESTS FOR INFORMATION FROM REGULATORS
The main files related to surveys and request Regulatory information are:
♦ Office of Foreign
Assets Control (OFAC)
In October 2015, Crédit Agricole S.A. and its subsidiary Crédit Agricole Corporate
and Investment Bank (Crédit Agricole CIB) reached agreements with the US and New York
authorities that had been conducting investigations regarding US dollar transactions
with countries subject to US economic sanctions. The events covered by this agreement
took place between 2003 and 2008. Crédit Agricole CIB and Crédit Agricole S.A., which
cooperated with the US and New York authorities in connection with their investigations,
have agreed to pay a total penalty amount of $787.3 million (i.e. €692.7 million).
The payment of this penalty has been allocated to the pre-existing reserve that had
already been taken and, therefore, has not affected the accounts for the second half
of 2015.
The agreements with the Board of Governors of the Federal Reserve System (Fed)
and
the New-York State Department of Financial Services (NYDFS) are with CASA and Crédit
Agricole CIB. The agreement with the Office of Foreign Assets Control (OFAC) of the
US Department of the Treasury is with Crédit Agricole CIB. Crédit Agricole CIB also
entered into separate deferred prosecution agreements (DPAs) with the United States
Attorney's Office for the District of Columbia (USAO) and the District Attorney of
the County of New York (DANY), the terms of which are three years. On October 19,
2018 the two deferred prosecution agreements with USAO and DANY ended at the end of
the three year period, Crédit Agricole CIB having complied with all its obligations
under the DPAs.
Crédit Agricole continues to strengthen its internal procedures and its compliance
programmes regarding laws on international sanctions and will continue to cooperate
fully with the US and New York authorities with its home regulators, the European
Central Bank and the French Regulatory and Resolution Supervisory Authority (ACPR),
and with the other regulators across its worldwide network.
Pursuant to the agreements with NYDFS and the US Federal Reserve, Crédit Agricole's
compliance programme is subject to regular reviews to evaluate its effectiveness,
including a review by an independent consultant appointed by NYDFS for a term of one
year and annual reviews by an independent consultant approved by the Federal Reserve.
♦ Euribor/Libor
and other indexes
Crédit Agricole S.A. and its subsidiary Crédit Agricole CIB, in their capacity
as
contributors to a number of interbank rates, have received requests for information
from a number of authorities as part of investigations into: (i) the calculation of
the Libor (London Interbank Offered Rates) in a number of currencies, the Euribor
(Euro Interbank Offered Rate) and certain other market indices; and (ii) transactions
connected with these rates and indices. These demands covered several periods from
2005 to 2012.
As part of its cooperation with the authorities, Crédit Agricole S.A. and its subsidiary
Crédit Agricole CIB carried out investigations in order to gather the information
requested by the various authorities and in particular the American authorities -
the DOJ (Department of Justice) and CFTC (Commodity Future Trading Commission) - with
which they are in discussions. It is currently not possible to know the outcome of
these discussions, nor the date when they will be concluded.
Furthermore, Crédit Agricole CIB is currently under investigation opened by the
Attorney
General of the State of Florida on both the Libor and the Euribor.
Following its investigation and an unsuccessful settlement procedure, on 21 May
2014,
the European Commission sent a statement of objection to Crédit Agricole S.A. and
to Crédit Agricole CIB pertaining to agreements or concerted practices for the purpose
and/or effect of preventing, restricting or distorting competition in derivatives
related to the Euribor.
In a decision dated 7 December 2016, the European Commission jointly fined Crédit
Agricole S.A. and Crédit Agricole CIB €114,654,000 for participating in a cartel in
euro interest rate derivatives. Crédit Agricole S.A. and Crédit Agricole CIB are challenging
this decision and have asked the European Court of Justice to overturn it.
Additionally, the Swiss competition authority, COMCO, is conducting an investigation
into the market for interest rate derivatives, including the Euribor, with regard
to Crédit Agricole S.A. and several Swiss and international banks. Moreover, in June
2016 the South Korean competition authority (KFTC) decided to close the investigation
launched in September 2015 into Crédit Agricole CIB and the Libor index on various
currencies, Euribor and Tibor indices. The investigation into certain foreign exchange
derivatives (ABS-NDF) has been closed by the KFTC according to a decision notified
to Crédit Agricole CIB on 20 December 2018. Concerning the two class actions in the
United States of America in which Crédit Agricole S.A. and Crédit Agricole CIB have
been named since 2012 and 2013 along with other financial institutions, both as defendants
in one ("Sullivan" for the Euribor) and only Crédit Agricole S.A. as defendant for
the other ("Lieberman" for Libor), the "Lieberman" class action is at the preliminary
stage that consists in the examination of its admissibility; proceedings are still
suspended before the US District Court of New York State. Concerning the"Sullivan"
class action, Crédit Agricole S.A. and Crédit Agricole CIB introduced a motion to
dismiss the applicants' claim. The US District Court of New York State upheld the
motion to dismiss regarding Crédit Agricole S.A. and Crédit Agricole CIB in first
instance. On 14 June 2019, the plaintiffs appealed this decision.
Since 1 July 2016, Crédit Agricole S.A. and Crédit Agricole CIB, together with
other
banks, are also party to a new class action suit in the United States ("Frontpoint")
relating to the SIBOR (Singapore Interbank Offered Rate) and SOR (Singapore Swap Offer
Rate) indices. After having granted a first motion to dismiss filed by Crédit Agricole
SA and Crédit Agricole CIB, the New York Federal District Court, ruling on a new request
by the plaintiffs, excluded Crédit Agricole SA from the Frontpoint case on the grounds
that it had not contributed to the relevant indexes. The Court considered, however,
taking into account recent developments in case law, that its jurisdiction could apply
to Crédit Agricole CIB, as well as to all the banks that are members of the SIBOR
index panel. The allegations contained in the complaint regarding the SIBOR/USD index
and the SOR index were also rejected by the court, therefore the index SIBOR/Singapore
dollar alone is still taken into account. On 26 December, the plaintiffs filed a new
complaint aimed at reintroducing into the scope of the Frontpoint case the alleged
manipulations of the SIBOR and SOR indexes that affected the transactions in US dollars.
Crédit Agricole CIB, alongside the other defendants, objected to this new complaint
at the hearing held on 2 May 2019 before the New York Federal District Court. On July
26, 2019, the Federal Court granted the defendants' motion to dismiss. The plaintiffs
filed a notice of appeal on August 26, 2019.
These class actions are civil actions in which the plaintiffs claim that they are
victims of the methods used to set the Euribor, Libor, SIBOR and SOR rates, and seek
repayment of the sums they allege were unlawfully received, as well as damages and
reimbursement of costs and fees paid.
♦ Banque Saudi
Fransi
Crédit Agricole Corporate Investment Bank (Crédit Agricole CIB) had received in
2018
a request for arbitration submitted by Banque Saudi Fransi (BSF) before the International
Chamber of Commerce (ICC). The dispute related to the performance of a technical services
agreement between BSF and Crédit Agricole CIB that is no longer in force. BSF had
quantified its claim at SAR 1,023,523,357, the equivalent of about € 242 million.
Crédit Agricole CIB and BSF have recently entered into an agreement effectively ending
the ICC arbitration proceedings. This agreement has no significant impact on Crédit
Agricole CIB's Financial Statements..
♦ Bonds SSA
Several regulators requested information to Crédit Agricole S.A. and to Crédit
Agricole
CIB for investigations relating to activities of different banks involved in the secondary
trading of Bonds SSA (Supranational, Sub-Sovereign and Agencies) denominated in American
dollars. Through the cooperation with these regulators, Crédit Agricole CIB proceeded
to internal inquiries to gather the required information available. On 20 December
2018, the European Commission issued a Statement of Objections to a number of banks
including Crédit Agricole S.A. and Crédit Agricole CIB within its inquiry on a possible
infringement of rules of European Competition law in the secondary trading of Bonds
SSA denominated in American dollars. Crédit Agricole S.A. and Crédit Agricole CIB
became aware of these objections and issued a response on 29 March 2019, followed
by an oral hearing on 10-11 July 2019.
Crédit Agricole CIB is included with other banks in a putative consolidated class
action before the United States District Court for the Southern District of New York.
That action was dismissed on 29 August 2018 on the basis that the plaintiffs failed
to allege an injury sufficient to give them standing. However the plaintiffs have
been given an opportunity to attempt to remedy that defect. The plaintiffs filed an
amended complaint on 7 November 2018. Crédit Agricole CIB as well as the other defendants
have filed motions to dismiss the amended complaint. A judgment issued on 30 September
2019 dismissed the class action for lack of jurisdiction of Southern District Court
of the New York.
On 7 February 2019, another class action was filed against CACIB and the other
defendants
named in the class action already pending before the United States District Court
for the Southern District of New York.
On 11 July 2018, Crédit Agricole S.A. and Crédit Agricole CIB were notified with
other
banks of a class action filed in Canada, before the Ontario Superior Court of Justice.
Another class action, not notified to date, would have been filed before the Federal
Court of Canada. It is not possible at this stage to predict the outcome of these
investigations, proceedings or class actions or the date on which they will end.
♦ O'Sullivan and
Tavera
On November 9, 2017, a group of individuals, (or their families or estates), who
claimed
to have been injured or killed in attacks in Iraq filed a complaint ("O'Sullivan I")
against several banks including Crédit Agricole S.A., and its subsidiary Crédit Agricole
Corporate Investment Bank (Crédit Agricole CIB), in US Federal District Court in New
York.
On December 29, 2018, the same group of individuals, together with 57 new plaintiffs,
filed a separate action ("O'Sullivan II") against the same defendants.
On December 21, 2018, a different group of individuals filed a complaint ("Tavera")
against the same defendants.
All three complaints allege that Crédit Agricole S.A., Crédit Agricole CIB, and
other
defendants conspired with Iran and its agents to violate US sanctions and engage in
transactions with Iranian entities in violation of the US Anti-Terrorism Act and the
Justice Against Sponsors of Terrorism Act. Specifically, the complaints allege that
Crédit Agricole S.A., Crédit Agricole CIB, and other defendants processed US dollar
transactions on behalf of Iran and Iranian entities in violation of sanctions administered
by the US Treasury Department's Office of Foreign Assets Control, which allegedly
enabled Iran to fund terrorist organizations that, as is alleged, attacked plaintiffs.
The plaintiffs are seeking an unspecified amount of compensatory damages.
On 2 March 2018, Crédit Agricole CIB and other defendants filed a motion to dismiss
the O' Sullivan I Complaint. On 28 March 2019, the Court granted defendants' motion
to dismiss. On 22 April 2019, the plaintiffs filed a motion to amend their complaint.
Defendants submitted an opposition to that motion on 20 May 2019 and plaintiffs filed
a reply on 10 June 2019.
♦ Intercontinental
Exchange, Inc. ("ICE")
On January 15, 2019 a class action ("Putnam Bank") was filed before a federal court
in New-York (US District Court Southern District of New-York) against the Intercontinental
Exchange, Inc. ("ICE") and a number of banks including Crédit Agricole S.A., Crédit
Agricole CIB and Crédit Agricole Securities-USA. This action has been filed by plaintiffs
who allege that they have invested in financial instruments indexed to the USD ICE
LIBOR. They accuse the banks of having collusively set the index USD ICE LIBOR at
artificially low levels since February 2014 and made thus illegal profits.
On January 31, 2019 a similar action ("Livonia") has been filed before the US District
Court Southern District of New-York, against a number of banks including Crédit Agricole
S.A., Crédit Agricole CIB and Crédit Agricole Securities-USA. On February 1, 2019,
these two class actions were consolidated for pre-trial purposes. On March 4, 2019,
a third class action ("Hawaï Sheet Metal Workers retirement funds") was filed against
the same banks in the same courtand consolidated with the two previous actions on
April 26, 2019.
On July 1st, 2019, the plaintiffs filed a "Consolidated Class Action Complaint".
On
August 30, 2019, the Defendants filed a motion to dismiss against this consolidated
complaint.
♦ Binding agreements
Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB) does not depend
on any industrial, commercial or financial patent, license or contract.
6.16 Subordinated
debts
| € million |
31.12.2019 |
31.12.2018 |
| Dated subordinated debt |
3,274 |
2,989 |
| Undated subordinated debt |
1,708 |
1,970 |
| CARRYING AMOUNT |
4,982 |
4,959 |
SUBORDINATED DEBT
ISSUES
The issue of subordinated debt plays a part in regulatory capital management while
contributing to refinancing all of Crédit Agricole CIB's operations.
The Capital Requirements Regulation and Directive (CRD 4/CRR) define the conditions
under which subordinated instruments qualify as regulatory capital and set out the
terms and conditions of progressive disqualification between 1 January 2014 (effective
date of CRD 4 and CRR) and 1 January 2022 of older instruments that do not meet these
requirements.
All subordinated debt issuance, whether new or old, is likely to be subject to
bail-in
in certain circumstances, particularly in the event of resolution of the issuing bank,
in accordance with the Order of 20 August 2015 containing various provisions adapting
French legislation to EU law on financial matters, transposing the EU Directive of
15 May 2014 establishing a framework for the recovery and resolution of credit institutions
and investment firms (the Recovery and Resolution Directive, or RRD).
6.17 Shareholder's
equity
OWNERSHIP STRUCTURE
AT 31 DECEMBER 2019
At 31 December 2019, ownership of the capital and voting rights was as follows:
| Crédit Agricole CIB's shareholders |
Number of shares at 31.12.2019 |
% of the share capital |
% of voting rights |
| Crédit Agricole S.A. |
283,037,792 |
97.33% |
97.33% |
| SACAM développement 1 |
6,485,666 |
2.33% |
2.33% |
| Delfinances 2 |
1,277,888 |
0.44% |
0.44% |
| TOTAL |
290,801,346 |
100% |
100% |
1
Owned by the Crédit Agricole Group.
2
Owned by the Crédit Agricole S.A. Group.
At 31 December 2019, Crédit Agricole CIB's share capital stood at €7,851,636 thousand
divided into 290,801,346 fully paid up ordinary shares each with a par value of €27.
EARNINGS PER SHARE
|
|
31.12.2019 |
31.12.2018 |
| Net income Group share during the period |
(€ million) |
1,553 |
1,479 |
| Net income attributable to undated deeply subordinated
securities |
(€ million) |
(257) |
(190) |
| Net income attributable to holders of ordinary shares |
(€ million) |
1,296 |
1,290 |
| Weighted average number of ordinary shares in circulation
during the period |
|
290,801,346 |
290,801,346 |
| Weighted average number of ordinary shares for calculation
of diluted earnings per
share
|
|
290,801,346 |
290,801,346 |
| BASIC EARNINGS PER SHARE |
(in euros) |
4.46 |
4.44 |
| Basic earnings per share from ongoing activities |
(in euros) |
4.46 |
4.44 |
| Basic earnings per share from discontinued operations |
(in euros) |
|
|
| DILUTED EARNINGS PER SHARE (IN EUROS) |
(in euros) |
4.46 |
4.44 |
| Diluted earnings per share from ongoing activities |
(in euros) |
4.46 |
4.44 |
| Diluted earnings per share from discontinued operations |
(in euros) |
|
|
Diluted earnings per share from discontinued operations Net income attributable
to
subordinated and deeply subordinated securities corresponds to the issuance costs
and interest accrued on subordinated and deeply subordinated Additional Tier 1 bond
issues. The amount is -€257 million for the 2019 financial year.
DIVIDENDS
The dividend distribution policy, defined by the Board of Directors, is based on
an
analysis which takes account in particular of historical dividends, the financial
position, and the results of the company.
The Board of Directors may propose in General Shareholder Meetings that part of
distributable
earnings be retained or appropriated to one or more reserve accounts. These reserves
may receive any appropriations decided by the General Meeting, on the proposal of
the Board of Directors, in particular with a view to the amortisation or reduction
of the capital through the reimbursement or purchase of shares.
The balance of distributable earnings is attributed to shareholders in proportion
to their shareholding in the Company as a dividend distribution.
In addition, the General Shareholder Meeting may decide to distribute sums deducted
from distributable reserves.
However, excluding the case of a capital reduction, no distribution may be made
to
shareholders when shareholders' equity is, or would become following the distribution,
less than the amount of the share capital increased by reserves prohibited from distribution
by applicable laws.
The conditions for dividend payment approved by the General Shareholder Meeting
are
set by the latter or failing that, by the Board of Directors, and the payment must
occur within the time period prescribed by the laws and regulations in force.
The General Shareholder Meeting called to approve the accounts for the year may
grant
to each shareholder, for all or part of the dividend being distributed, or for the
interim dividends, a choice between payment of the final or interim dividends in cash
or in shares.
| Dividend paid in respect of year |
Net amount in € million |
Number of share receiving
dividend |
Dividend per share |
|
|
Advance: |
268,687,973 |
Advance: |
1 2.93
|
| 2015 |
899 |
Remaining balance: |
271,374,853 |
Remaining balance: |
1 0.41
|
|
|
|
|
Total: |
1 3.34
|
|
|
Advance: |
290,801,346 |
Advance: |
1 2.55
|
| 2016 |
983 |
Remaining balance: |
290,801,346 |
Remaining balance: |
1 0.83
|
|
|
|
|
Total: |
1 3.38
|
| 2017 |
1,236 |
|
290,801,346 |
|
1 4.25
|
| 2018 |
489 |
|
290,801,346 |
|
1 1.68
|
| 2019 |
512 |
|
290,801,346 |
|
1 1.76
|
1
Dividend eligible for the discount defined in Article 158-3-2 of the French General
Tax Code for individual shareholders domiciled in France.
For the 2019 financial year, the Board of Directors proposed to submit for approval
to the General Meeting of Shareholders the distribution of €511,810,368.96.
APPROPRIATION
OF NET INCOME AND DETERMINATION OF THE 2019 DIVIDEND
The proposed appropriation of net income is set out in the draft resolutions to
be
presented by the Board of Directors at Crédit Agricole CIB's General Meeting on 4
May 2020. The breakdown of appropriation is described below. The net income for the
financial year ended 31 December 2019 amounts to €1,329,009,706.78. The Board of Directors
proposes that the General Meeting of Shareholders agree:
► Proposal for
appropriation of net income (in euros)
| Amount of net income at 31.12.2019 |
1,329,009,706.78 |
| Appropriation of the net income at 31.12.2019 |
|
| to the legal reserve for (the legal reserve is thus 10%
of the share capital) |
|
| to a special reserve (Art 238 bis AB paragraph 5 of the
French general tax code) for |
77,988 |
| Balance of net income at 31.12.2019 after appropriation
to special reserve |
1,328,931,718.78 |
| Amount of retained earnings at 31.12.2019 |
3,213,450,673.65 |
| Amount of distributable earnings |
4,542,382,392.43 |
| Distribution of the dividend deducted from balance of
net income at 31/12/2019 after
appropriation to special reserve
|
511,810,368.96 |
| Appropriation to retained earnings of the balance of
net income after distribution
of the dividend for
|
817,121,349.82 |
UNDATED SUBORDINATED
AND DEEPLY SUBORDINATED DEBT
The main issues of undated deeply subordinated debt classified in equity are:
|
|
|
|
|
31.12.2019 |
| Issue date |
Currency |
Amount in currency at 31 December
2018 In millions of units
|
Partial repurchases and redemptions In
millions of units
|
Amount in currency at 31 December
2019 In millions of units
|
Amount in euros at inception rate
In millions of euros
|
Interests paid Group share In
millions of euros
|
| 16/11/2015 |
EUR |
1,800 |
|
1,800 |
1,800 |
(116) |
| 09/06/2016 |
USD |
720 |
|
720 |
643 |
(61) |
| 25/06/2018 |
EUR |
500 |
|
500 |
500 |
(23) |
| 19/09/2018 |
EUR |
500 |
|
500 |
500 |
(25) |
| 26/02/2019 |
USD |
|
|
470 |
420 |
(25) |
| 18/06/2019 |
EUR |
|
|
300 |
300 |
(7) |
| TOTAL |
|
|
|
|
4,163 |
(257) |
|
|
31.12.2019 |
| Issue date |
Currency |
Issuance costs net of taxes In
millions of euros
|
Shareholders' equity Group share
In millions of euros
|
| 16/11/2015 |
EUR |
|
|
| 09/06/2016 |
USD |
|
|
| 25/06/2018 |
EUR |
|
|
| 19/09/2018 |
EUR |
|
|
| 26/02/2019 |
USD |
|
|
| 18/06/2019 |
EUR |
|
|
| TOTAL |
|
|
|
The changes related to undated subordinated and deeply subordinated financial instruments
impacting equity Group share are:
| € million |
31.12.2019 |
31.12.2018 |
| Undated deeply subordinated notes |
|
|
| Interest paid accounted as reserves |
(257) |
(190) |
| Income tax savings related to interest paid to security
holders recognised in net
income
|
88 |
65 |
6.18 Non-controlling
interests
Non-controlling interests held by Crédit Agricole CIB are insignificant, except
the
stakes of CFM and CA Indosuez Wealth Italy S.P.A..
6.19 Breakdown
of financial assets and financial liabilities by contractual maturity
The breakdown of balance sheet financial assets and liabilities is made according
to contractual maturity date.
The maturities of derivative instruments held for trading and for hedging correspond
to their date of contractual maturity.
Equities and other variable-income securities are by nature without maturity; they
are classified as "Indefinite".
The revaluation adjustments on interest rate-hedged portfolios are considered to
have
an indefinite maturity, given the absence of defined maturity.
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months up to ≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Cash, central banks |
58,257 |
|
|
|
|
58,257 |
| Financial assets at fair value through profit or loss |
95,562 |
25,648 |
42,511 |
78,799 |
7,270 |
249,790 |
| Hedging derivative Instruments |
1,424 |
89 |
29 |
8 |
|
1,550 |
| Financial assets at fair value through other comprehensive
income |
1,271 |
1,860 |
4,643 |
1,110 |
757 |
9,641 |
| Financial assets at amortised cost |
74,173 |
35,966 |
64,773 |
22,522 |
5 |
197,439 |
| Revaluation adjustment on interest rate hedged portfolios |
1 |
|
|
|
|
1 |
| TOTAL FINANCIAL ASSETS BY MATURITY |
230,688 |
63,563 |
111,956 |
102,439 |
8,032 |
516,678 |
| Central banks |
1,812 |
|
|
|
|
1,812 |
| Financial liabilities at fair value through profit or
loss |
90,679 |
13,565 |
49,001 |
101,522 |
8 |
254,775 |
| Hedging derivative Instruments |
1,167 |
85 |
58 |
23 |
|
1,334 |
| Financial liabilities at amortised cost |
193,057 |
27,613 |
9,957 |
4,661 |
2 |
235,290 |
| Subordinated debt |
|
|
|
4,982 |
|
4,982 |
| Revaluation adjustment on interest rate hedged portfolios |
37 |
|
|
|
|
37 |
| TOTAL FINANCIAL LIABILITIES BY MATURITY |
286,752 |
41,263 |
59,016 |
111,188 |
10 |
498,230 |
|
31.12.2018 |
| € million |
≤ 3 months |
>3 months up to ≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
Indefinite |
Total |
| Cash, central banks |
46,538 |
|
|
|
|
46,538 |
| Financial assets at fair value through profit or loss |
104,616 |
28,257 |
39,831 |
65,103 |
2,967 |
240,774 |
| Hedging derivative Instruments |
836 |
28 |
73 |
28 |
|
965 |
| Financial assets at fair value through other comprehensive
income |
2,126 |
2,235 |
4,272 |
1,067 |
1,662 |
11,362 |
| Financial assets at amortised cost |
69,049 |
26,765 |
58,204 |
27,099 |
253 |
181,371 |
| Revaluation adjustment on interest rate hedged portfolios |
2 |
|
|
|
|
2 |
| TOTAL FINANCIAL ASSETS BY MATURITY |
223,167 |
57,285 |
102,380 |
93,297 |
4,882 |
481,012 |
| Central banks |
877 |
|
|
|
|
877 |
| Financial liabilities at fair value through profit or
loss |
93,717 |
14,269 |
49,679 |
77,218 |
(4) |
234,880 |
| Hedging derivative Instruments |
927 |
46 |
61 |
34 |
|
1,067 |
| Financial liabilities at amortised cost |
162,900 |
30,083 |
23,720 |
5,656 |
(6) |
222,353 |
| Subordinated debt |
1 |
|
|
4,888 |
70 |
4,959 |
| Revaluation adjustment on interest rate hedged portfolios |
5 |
|
|
|
|
5 |
| TOTAL FINANCIAL LIABILITIES BY MATURITY |
258,427 |
44,398 |
73,460 |
87,796 |
60 |
464,141 |
NOTE 7: EMPLOYEE
BENEFITS AND OTHER COMPENSATION
7.1 Analysis of
employee expenses
| € million |
31.12.2019 |
31.12.2018 |
| Salaries 1 |
(1,579) |
(1,550) |
| Contributions to defined-contribution plans |
(82) |
(74) |
| Contributions to defined-benefit plans |
(23) |
(29) |
| Other social security expenses |
(339) |
(335) |
| Profit-sharing and incentive plans |
(35) |
(32) |
| Payroll-related tax |
(48) |
(49) |
| TOTAL EMPLOYEE EXPENSES |
(2,106) |
(2,069) |
1
Including expenses relating to stock option plans for €51 million at 31 December
2019 compared to €58 million at 31 December 2018.
7.2 Average headcount
| Average number of employees |
31.12.2019 |
31.12.2018 |
| France |
4,885 |
4,903 |
| International |
6,586 |
6,448 |
| TOTAL |
11,471 |
11,351 |
7.3 Post-employment
benefits, defined contribution plans
There are various mandatory pension plans to which employers contribute. The funds
are managed by independent organisations and the contributing companies have no legal
or implied obligation to pay additional contributions if the funds do not have sufficient
assets to provide all the benefits corresponding to the services rendered by staff
during the current and previous years. As a consequence, Crédit Agricole CIB has no
liability in this respect other than the contributions to be paid.
Within Crédit Agricole CIB, there are several compulsory defined-contribution plans,
the main ones being Agirc/Arrco, which are French supplementary retirement plans,
notably supplemented by an "Article 83" type plan.
7.4 Post-employment
benefits, defined-benefit plans
CHANGE IN ACTUARIAL
LIABILITY
|
31.12.2019 |
31.12.2018 |
| € million |
Eurozone |
Outside Eurozone |
All Zones |
All Zones |
| Actuarial liability at 31.12.2018 |
257 |
1,460 |
1,717 |
1,725 |
| Translation adjustments |
|
64 |
64 |
28 |
| Cost of service rended during the period |
10 |
32 |
42 |
43 |
| Financial cost |
3 |
28 |
31 |
28 |
| Employee contributions |
|
16 |
16 |
16 |
| Benefit plan changes, withdrawals and settlement |
(54) |
2 |
(52) |
3 |
| Changes in scope |
(2) |
|
(2) |
7 |
| Benefits paid (mandatory) |
(11) |
(66) |
(77) |
(71) |
| Tax, administratives costs and bonuses |
|
|
|
|
| Actuarial (gains)/losses arising from changes in demographic
assumptions 1 |
(3) |
(27) |
(30) |
(5) |
| Actuarial (gains)/losses arising from changes in financial
assumptions 1 |
20 |
181 |
201 |
(57) |
| ACTUARIAL LIABILITY AT 31.12.2019 |
220 |
1,690 |
1,910 |
1,717 |
1
Of which actuarial gains/losses related to experience adjustment.
BREAKDOWN OF NET
CHARGE RECOGNISED IN THE INCOME STATEMENT
|
31.12.2019 |
31.12.2018 |
| € million |
Eurozone |
Outside Eurozone |
All Zones |
All Zones |
| Service cost |
(44) |
35 |
(9) |
46 |
| Income/expenses on net interests |
3 |
1 |
4 |
6 |
| IMPACT IN PROFIT AND LOSS AT 31.12.2019 |
(41) |
36 |
(5) |
52 |
BREAKDOWN OF NET
GAINS AND LOSSES RECOGNISED DIRECTLY IN EQUITY (NON-RECYCLABLE)
|
31.12.2019 |
31.12.2018 |
| € million |
Eurozone |
Outside Eurozone |
All Zones |
All Zones |
| Revaluation from net liabilities (from net assets) |
|
|
|
|
| Total amount of actuarial gains or losses recognised
in OCI that will not be reclassified
to profit and loss at 31.12.2018
|
112 |
255 |
367 |
417 |
| Translation adjustments |
|
11 |
11 |
7 |
| Actuarial (gains)/losses on assets |
|
(91) |
(91) |
6 |
| Actuarial (gains)/losses arising from changes in demographic
assumptions 1 |
(3) |
(27) |
(30) |
(6) |
| Actuarial (gains)/losses arising from changes in financial
assumptions 1 |
20 |
181 |
201 |
(57) |
| Adjustment of assets restriction's impact |
|
|
|
|
| IMPACT IN OCI AT 31.12.2019 |
17 |
74 |
91 |
(50) |
1
Of which actuarial gains/losses related to experience adjustment.
CHANGE IN FAIR
VALUE OF ASSETS
|
31.12.2019 |
31.12.2018 |
| € million |
Eurozone |
Outside Eurozone |
All Zones |
All Zones |
| Fair value of assets at 31.12.2018 |
15 |
1,295 |
1,310 |
1,262 |
| Translation adjustments |
|
58 |
58 |
20 |
| Interests on asset (income) |
|
27 |
27 |
22 |
| Actuarial gains/(losses) |
|
91 |
91 |
(5) |
| Employer contributions |
3 |
30 |
33 |
57 |
| Employee contributions |
|
16 |
16 |
16 |
| Benefit plan changes, withdrawals and settlement |
|
|
|
|
| Changes in scope |
|
|
|
|
| Tax, administratives costs and bonuses |
|
|
|
|
| Benefits paid out under the benefit plan |
(3) |
(65) |
(67) |
(62) |
| FAIR VALUE OF ASSETS AT 31.12.2019 |
15 |
1,452 |
1,468 |
1,310 |
NET POSITION
|
31.12.2019 |
31.12.2018 |
| € million |
Eurozone |
Outside Eurozone |
All Zones |
All Zones |
| Closing actuarial liability |
220 |
1,690 |
1,910 |
1,717 |
| Impact of asset restriction |
|
|
|
|
| Fair value of assets at end of period |
(15) |
(1,452) |
(1,467) |
(1,312) |
| NET POSITION OF ASSETS/(LIABILITIES) AT END OF PERIOD |
205 |
238 |
443 |
405 |
DEFINED-BENEFIT
PLANS: MAIN ACTUARIAL ASSUMPTIONS
|
31.12.2019 |
31.12.2018 |
| In percent |
Eurozone |
Outside Eurozone |
All Zones |
All Zones |
| Discount rate 1 |
0.98% |
1.17% |
1.43% |
1.90% |
| Actual return on plan assets and on reimbursement rights |
1.55% |
8.93% |
2.28% |
1.35% |
| Expected salary increase rates 2 |
0.63% |
1.79% |
2.85% |
2.11% |
| Rate of change in medical costs |
na |
na |
4.60% |
na |
1
The discount rates are determined depending on the average period of the commitment,
meaning the arithmetic average of the periods calculated between the date of valuation
and the date of payment weighted by staff turnover assumptions. The underlying item
is the discount rate by reference to the iBoxx index.
2
Depending on the populations concerned (managers or non-managers).
INFORMATION OF
PLAN ASSETS: ALLOCATION OF ASSETS (1)
|
Eurozone |
Outside Eurozone |
| € million |
% |
Amount |
Of which listed |
% |
Amount |
Of which listed |
| Equities |
3.03% |
465 |
465 |
24.15% |
350,705 |
350,705 |
| Bonds |
32.19% |
4,937 |
4,937 |
50.86% |
738,748 |
738,748 |
| Property/Real estate |
2.24% |
344 |
|
11.55% |
167,733 |
|
| Other assets |
62.54% |
9,592 |
|
13.44% |
195,243 |
|
|
All Zones |
| € million |
% |
Amount |
Of which listed |
| Equities |
23.93% |
351,170 |
351,170 |
| Bonds |
50.67% |
743,685 |
743,685 |
| Property/Real estate |
11.45% |
168,077 |
|
| Other assets |
13.96% |
204,835 |
|
1
Of which fair value of reimbursement rights.
Crédit Agricole CIB's policy on covering employee benefit obligations reflects
local
rules on funding post-employment benefits in countries with minimum funding requirements.
Overall, Crédit Agricole CIB covered 76.83% of its employee benefit obligations
at
31 December 2019.
At 31 December 2019, the sensitivity analysis showed that:
| ― |
a 50-basis point increase in discount rates would reduce the
commitment by -7.16%;
|
| ― |
a 50-basis point decrease in discount rates would increase the
commitment by 8.08%.
|
7.5 Other employee
benefits
Crédit Agricole CIB pays long service awards.
7.6 Share-based
payments
STOCK OPTION PLAN
No new plans were implemented in 2019.
EMPLOYEE BONUS
SHARE PLAN
No new plans were implemented in 2019.
CAPITAL INCREASE
RESERVED FOR EMPLOYEES AND PENSIONERS OF THE CRÉDIT AGRICOLE GROUP
In 2019, Crédit Agricole S.A. offered employees and Group retirees the possibility
of subscribing to a new capital increase reserved for them. This transaction was launched
in 10 coutnries where Crédit Agricole CIB locates.
DEFERRED VARIABLE
COMPENSATION PAID IN SHARES OR IN CASH INDEXED TO THE SHARE PRICE
he deferred variable compensation plans implemented by the Crédit Agricole CIB
Group
in respect of 2019 are settled in cash indexed to the Crédit Agricole S.A. share price.
This deferred variable compensation is subject to continued employment and performance
conditions. It is broken down into thirds which are payable in March 2021, March 2022
and March 2023.
The expense related to these plans is recognised in compensation expenses. It is
spread
on a straight-line basis over the vesting period to reflect continued employment,
and a liability is recorded in employee expenses, the amount of which is subject to
periodical revaluation through profit or loss until the settlement date, depending
on the evolution of the Crédit Agricole S.A. share price and the vesting conditions
(presence and performance conditions).
7.7 Executive
compensation
Top Executives of Crédit Agricole CIB include all members of the Executive Committee
and members of the Board of Directors of Crédit Agricole CIB.
The composition of the Executive Committee is detailed in the Corporate Governance
chapter of this document.
The compensation paid and benefits granted to the members of the Executive Committee
in 2019 were as follows:
| ― |
short-term benefits: €7.1 million for fixed and variable compensation
(of which €0.97
million paid in share-indexed instruments), including social security expenses and
benefits in kind;
|
| ― |
post-employment benefits at 31 December 2019: €9.5 million for
end-of-career benefit
commitments and the supplementary pension scheme put in place for the Group's Senior
Executive Officers;
|
| ― |
other long-term benefits: the amount granted for long-term service
awards was not
material;
|
| ― |
employment contract termination benefits: a benefit is paid for
an amount of €0.2
million ;
|
| ― |
other share-based payment: not applicable.
|
Total Directors' fees paid to members of Crédit Agricole CIB's Board of Directors
in 2019 in consideration for serving as Directors of Crédit Agricole CIB amounted
to €0.40 million (net amount).
(1)
Of which fair value of reimbursement rights.
NOTE 8: LEASES
8.1 Leases in
which the Group is lessee
The item "Property, plant & equipment used in operations" in the balance sheet
is
made up of owned assets and leased assets, which do not meet the definition of investment
property.
| € million |
31.12.2019 |
| Owned property, plant & equipment |
477 |
| Right-of-use on lease contracts |
522 |
| Total Property, plant & equipment used in operations |
999 |
Crédit Agricole CIB is also a lessee in the 1 to 3 year lease of computer equipment
(photocopiers, computers, etc.). These are low value and/or short-term leases. Crédit
Agricole CIB has chosen to apply the exemptions stipulated by IFRS 16 and to not recognise
the right-to-use and lease liabilities on these leases in the balance sheet.
CHANGE IN ASSETS
IN RESPECT OF THE RIGHT-TO-USE
Crédit Agricole CIB is lessee of several assets, including offices and computer
equipment.
Information relating to leases in which Crédit Agricole CIB is a lessee are given
below:
| € million |
01.01.2019 |
Changes in scope |
Increases (acquisitions) |
Decreases (disposals) |
Translation adjustments |
Other movements |
| Property/Real estate |
|
|
|
|
|
|
| Gross amount |
531 |
|
80 |
(4) |
6 |
|
| Depreciation and impairment |
(2) |
|
(105) |
2 |
|
|
| Total Property/Real estate |
529 |
|
(25) |
(2) |
6 |
|
| Equipment |
|
|
|
|
|
|
| Gross amount |
13 |
|
7 |
(1) |
|
|
| Depreciation and impairment |
|
|
(6) |
|
|
|
| Total Equipment |
13 |
|
1 |
|
|
|
| Total Right-of-use |
542 |
|
(24) |
(2) |
6 |
|
| € million |
31.12.2019 |
| Property/Real estate |
|
| Gross amount |
613 |
| Depreciation and impairment |
(105) |
| Total Property/Real estate |
508 |
| Equipment |
|
| Gross amount |
19 |
| Depreciation and impairment |
(5) |
| Total Equipment |
14 |
| Total Right-of-use |
522 |
SCHEDULE OF LEASE
LIABILITIES
|
31.12.2019 |
| € million |
≤ 1 year |
>1 year up to ≤ 5 years |
>5 years |
Total Lease liabilities |
| Lease liabilities |
112 |
339 |
102 |
553 |
DETAILS OF LEASE
INCOME AND EXPENSE
| € million |
31.12.2019 |
| Interest expense on lease liabilities |
(9) |
| Total Interest and similar expenses (Revenues) |
(9) |
| Expense relating to short-term leases |
(8) |
| Expense relating to leases of low-value assets |
(3) |
| Expense relating to variable lease payments not included
in the measurement of lease
liabilities
|
|
| Income from subleasing right-of-use assets |
|
| Gains or losses arising from leaseback transactions |
|
| Gains or losses arising from lease modifications |
|
| Total Operating expenses |
(11) |
| Depreciation for right-of-use |
(111) |
| Total Depreciation and amortisation of property, plant
& equipment |
(111) |
| Total Expense and income on lease contracts |
(131) |
AMOUNTS OF CASH
FLOWS FOR THE PERIOD
| € million |
31.12.2019 |
| Total Cash outflow for leases |
(118) |
8.2. Leases in
which the Group is lessor
Crédit Agricole CIB offers its customers leasing activities in the form of leases,
leases with purchase option, financial leasing, or long-term leases. Leases are classified
as finance leases when the terms of the lease essentially transfer almost all of the
inherent risks and benefits of the property to the lessee.
Other leases are classified as operating leases.
LEASE INCOME
| € million |
31.12.2019 |
| Finance leases |
|
| Selling profit or loss |
|
| Finance income on the net investment in the lease |
|
| Income relating to variable lease payments |
|
| Operating leases |
10 |
| Lease income |
10 |
NOTE 9: FINANCING
AND GUARANTEE COMMITMENTS AND OTHER GUARANTEES
Financing and guarantee commitments and other guarantees include discontinued operations.
COMMITMENTS GIVEN
AND RECEIVED
| € million |
31.12.2019 |
31.12.2018 |
| Commitments given |
171,862 |
186,638 |
| Financing commitments |
113,769 |
129,421 |
| Commitments given to credit institutions |
8,520 |
21,024 |
| Commitments given to customers |
105,249 |
108,397 |
| Confirmed credit lines |
95,584 |
92,653 |
| Documentary credits |
3,717 |
4,655 |
| Other confirmed credit lines |
91,867 |
87,998 |
| Other commitments given to customers |
9,665 |
15,744 |
| Guarantee commitments |
53,328 |
50,172 |
| Credit institutions |
6,857 |
7,248 |
| Confirmed documentary credit lines |
3,053 |
3,946 |
| Other |
3,804 |
3,302 |
| Customers |
46,471 |
42,924 |
| Property guarantees |
2,151 |
1,950 |
| Other customer guarantees |
44,320 |
40,974 |
| Securities commitments |
4,765 |
7,045 |
| Securities to be delivered |
4,765 |
7,045 |
| Commitments received |
175,790 |
172,776 |
| Financing commitments |
4,087 |
17,054 |
| Commitments received from credit institutions |
3,771 |
11,304 |
| Commitments received from customers |
316 |
5,750 |
| Guarantee commitments |
167,147 |
145,351 |
| Commitments received from credit institutions |
6,976 |
5,962 |
| Commitments received from customers |
160,171 |
139,389 |
| Guarantees received from government bodies or similar
institutions |
25,313 |
24,366 |
| Other guarantees received |
134,858 |
115,023 |
| Securities commitments |
4,556 |
10,371 |
| Securities to be received |
4,556 |
10,371 |
FINANCIAL INSTRUMENTS
GIVEN AND RECEIVED AS COLLATERAL
| € million |
31.12.2019 |
31.12.2018 |
| Carrying amount of financial assets provided as collateral
(including transferred
assets)
|
|
|
| Securities and receivables provided as collateral for
the refinancing structures (Banque
de France, CRH, etc.)
|
45,934 |
38,021 |
| Securities lent |
615 |
2,852 |
| Security deposits on market transactions |
23,372 |
17,536 |
| Other security deposits |
|
|
| Securities sold under repurchase agreements |
77,580 |
78,273 |
| TOTAL CARRYING AMOUNT OF FINANCIAL ASSETS PROVIDED AS
COLLATERAL |
147,501 |
136,682 |
| Carrying amount of financial assets received in garantee |
|
|
| Other security deposits |
|
|
| Fair value of instruments received as reusable and reused
collateral |
|
|
| Securities borrowed |
4 |
3 |
| Secutities bought under repurchase agreements |
121,730 |
109,920 |
| Securities sold short |
33,468 |
29,368 |
| TOTAL FAIR VALUE OF INSTRUMENTS RECEIVED AS REUSABLE
AND REUSED COLLATERAL |
155,203 |
139,291 |
RECEIVABLES PLEDGED
AS COLLATERAL
In 2019, Crédit Agricole CIB deposited €693 million of receivables to Banque de
France
for refinancing compared to €2,566 million in 2018.
At 31 December 2019, Crédit Agricole CIB used no refinancing lines from the Banque
de France.
GUARANTEES HELD
The majority of guarantees and enhancements held consists of mortgage lines, collateral
or guarantees received, regardless of the quality of the assets guaranteed.
The guarantees held by Crédit Agricole CIB Group which it is allowed to sell or
to
use as collateral, amounted to €155 billion at 31 December 2019 compared to €139 billion
at 31 December 2018. They are mainly related to repurchase agreements.
Crédit Agricole CIB policy is to sell seized collateral as soon as possible. Crédit
Agricole CIB had no such assets either at 31 December 2019, nor at 31 December 2018.
NOTE 10: RECLASSIFICATION
OF FINANCIAL INSTRUMENTS
Principles applied
by Crédit Agricole CIB
Reclassifications are performed only under exceptional circumstances and following
a decision by the Executive Management of Crédit Agricole CIB as a result of internal
or external changes: significant changes in the entity's activity.
Reclassification
performed by Crédit Agricole CIB
In 2019, Crédit Agricole CIB did not carry out any reclassification pursuant to
paragraph
4.4.1 of IFRS 9.
NOTE 11: FAIR
VALUE OF FINANCIAL INSTRUMENTS
Fair value is the price that would be received at the sale of an asset or paid
to
transfer a liability in an arm's length transaction between market participants at
the valuation date.
Fair value is defined on the basis of an exit price.
The fair values shown below are estimates made on the reporting date using observable
market data wherever possible. These are subject to change in subsequent periods due
to developments in market conditions or other factors.
The calculations represent best estimates. They are based on a number of assumptions.
It is assumed that market participants act in their best economic interest.
To the extent that these models contain uncertainties, the fair values shown may
not
be achieved upon actual sale or immediate settlement of the financial instruments
concerned.
The fair value hierarchy of financial assets and liabilities is broken down according
to the general observability criteria of the valuation inputs, pursuant to the principles
defined under IFRS 13.
Level 1 applies to the fair value of financial assets and liabilities quoted in
active
markets.
Level 2 applies to the fair value of financial assets and liabilities with observable
inputs. This includes, in particular, market data relating to interest rate risk or
credit risk when the latter can be revalued based on Credit Default Swap (CDS) prices.
Repurchase agreements with underlying's quoted in an active market are also included
in Level 2 of the hierarchy, as are financial assets with a demand component for which
fair value is measured at unadjusted amortised cost.
Level 3 indicates the fair value of financial assets and liabilities with unobservable
inputs or for which some data can be revalued using internal models based on historical
data. This includes, in particular, market data relating to credit risk or early redemption
risk. Parameters for which no market information is available, or for which the available
market information is considered insufficient, are regarded as unobservable. This
qualification may call upon expert opinion. The information examined may include transactions
actually concluded, firm or indicative quotations and information resulting from market
consensus.
In some cases, market values are close to carrying amounts. This applies primarily
to:
| ― |
assets or liabilities at variable rates for which interest rate
changes do not have
a significant influence on the fair value, since the rates on these instruments frequently
adjust themselves to the market rates;
|
| ― |
short-term assets or liabilities where the redemption value is
considered to be close
to the market value;
|
| ― |
instruments executed on a regulated market for which the prices
are set by the public
authorities;
|
| ― |
demand assets or liabilities.
|
11.1 Fair value
of financial assets and liabilities recognised at amortised cost
Amounts presented below include accruals and prepayments and are net of impairment.
FINANCIAL ASSETS
RECOGNISED AT COST AND MEASURED AT FAIR VALUE ON THE BALANCE SHEET
| € million |
Value at 31.12.2019 |
Estimated fair value at 31.12.2019 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Financial assets not measured at fair value on balance
sheet |
|
|
|
|
|
| Loans and receivables |
159,860 |
160,576 |
|
20,825 |
139,751 |
| Loans and receivables due from credit institutions |
15,996 |
16,019 |
|
15,622 |
397 |
| Current accounts and overnight loans |
2,946 |
2,948 |
|
2,932 |
16 |
| Accounts and long-term loans |
12,395 |
12,409 |
|
12,028 |
381 |
| Pledged securities |
|
|
|
|
|
| Securities bought under repurchase agreements |
641 |
647 |
|
647 |
|
| Subordinated loans |
|
|
|
|
|
| Other loans and receivables |
14 |
15 |
|
15 |
|
| Loans and receivables due from customers |
143,864 |
144,557 |
|
5,203 |
139,354 |
| Trade receivables |
17,853 |
17,904 |
|
|
17,904 |
| Other customer loans |
120,457 |
121,093 |
|
|
121,093 |
| Pledged securities |
|
|
|
|
|
| Securities bought under repurchase agreements |
474 |
475 |
|
475 |
|
| Subordinated loans |
40 |
40 |
|
|
40 |
| Advances in associates' current accounts |
134 |
134 |
|
|
134 |
| Current accounts in debit |
4,906 |
4,911 |
|
4,728 |
183 |
| Debt securities |
37,580 |
37,680 |
18,198 |
1,665 |
17,817 |
| Treasury bills and similar securities |
7,898 |
7,939 |
7,939 |
|
|
| Bonds and other fixed income securities |
29,682 |
29,741 |
10,259 |
1,665 |
17,817 |
| TOTAL FINANCIAL ASSETS OF WHICH FAIR VALUE IS DISCLOSED |
197,440 |
198,256 |
18,198 |
22,490 |
157,568 |
| € million |
Value at 31.12.2018 |
Estimated fair value at 31.12.2018 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Financial assets not measured at fair value on balance
sheet |
|
|
|
|
|
| Loans and receivables |
153,475 |
153,746 |
|
23,560 |
130,186 |
| Loans and receivables due from credit institutions |
19,172 |
19,162 |
|
18,854 |
308 |
| Current accounts and overnight loans |
3,503 |
3,503 |
|
3,503 |
|
| Accounts and long-term loans |
14,688 |
14,677 |
|
14,369 |
308 |
| Pledged securities |
|
|
|
|
|
| Securities bought under repurchase agreements |
969 |
971 |
|
971 |
|
| Subordinated loans |
|
|
|
|
|
| Other loans and receivables |
12 |
11 |
|
11 |
|
| Loans and receivables due from customers |
134,303 |
134,584 |
|
4,706 |
129,878 |
| Trade receivables |
21,717 |
21,735 |
|
|
21,735 |
| Other customer loans |
107,538 |
107,795 |
|
|
107,795 |
| Pledged securities |
|
|
|
|
|
| Securities bought under repurchase agreements |
336 |
336 |
|
336 |
|
| Subordinated loans |
99 |
99 |
|
|
99 |
| Advances in associates' current accounts |
137 |
137 |
|
|
137 |
| Current accounts in debit |
4,476 |
4,482 |
|
4,370 |
112 |
| Debt securities |
27,897 |
27,970 |
15,339 |
8,154 |
4,477 |
| Treasury bills and similar securities |
7,284 |
7,320 |
7,270 |
|
50 |
| Bonds and other fixed income securities |
20,613 |
20,650 |
8,069 |
8,154 |
4,427 |
| TOTAL FINANCIAL ASSETS OF WHICH FAIR VALUE IS DISCLOSED |
181,372 |
181,716 |
15,339 |
31,714 |
134,663 |
FINANCIAL LIABILITIES
RECOGNISED AT AMORTISED COST AND MEASURED AT FAIR VALUE ON THE
BALANCE SHEET
| € million |
Value at 31.12.2019 |
Estimated fair value at 31.12.2019 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Financial liabilities not measured at fair value on balance
sheet |
|
|
|
|
|
| Due to credit institutions |
44,646 |
44,646 |
|
44,614 |
32 |
| Current accounts and overnight loans |
5,822 |
5,822 |
|
5,822 |
|
| Accounts and term deposits |
37,184 |
37,184 |
|
37,152 |
32 |
| Pledged securities |
|
|
|
|
|
| Securities sold under repurchase agreements |
1,640 |
1,640 |
|
1,640 |
|
| Due to customers |
133,352 |
133,352 |
|
133,199 |
153 |
| Current accounts in credit |
49,896 |
49,896 |
|
49,896 |
|
| Special savings accounts |
152 |
152 |
|
|
152 |
| Other amounts due to customers |
82,620 |
82,620 |
|
82,619 |
1 |
| Securities sold under repurchase agreements |
684 |
684 |
|
684 |
|
| Debt securities |
57,291 |
57,305 |
|
57,305 |
|
| Subordinated debt |
4,982 |
4,982 |
|
4,982 |
|
| TOTAL FINANCIAL LIABILITIES OF WHICH FAIR VALUE IS DISCLOSED |
240,271 |
240,285 |
|
240,100 |
185 |
| € million |
Value at 31.12.2018 |
Estimated fair value at 31.12.2018 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Financial liabilities not measured at fair value on balance
sheet |
|
|
|
|
|
| Due to credit institutions |
47,302 |
47,302 |
|
47,302 |
|
| Current accounts and overnight loans |
7,003 |
7,003 |
|
7,003 |
|
| Accounts and term deposits |
38,522 |
38,522 |
|
38,522 |
|
| Pledged securities |
|
|
|
|
|
| Securities sold under repurchase agreements |
1,777 |
1,777 |
|
1,777 |
|
| Due to customers |
123,510 |
123,510 |
|
123,357 |
153 |
| Current accounts in credit |
45,971 |
45,971 |
|
45,971 |
|
| Special savings accounts |
151 |
151 |
|
|
151 |
| Other amounts due to customers |
76,849 |
76,849 |
|
76,847 |
2 |
| Securities sold under repurchase agreements |
539 |
539 |
|
539 |
|
| Debt securities |
51,541 |
51,548 |
|
51,548 |
|
| Subordinated debt |
4,959 |
4,959 |
|
4,959 |
|
| TOTAL FINANCIAL LIABILITIES OF WHICH FAIR VALUE IS DISCLOSED |
227,312 |
227,319 |
|
227,166 |
153 |
11.2 Information
about financial instruments measured at fair value
Financial instruments are valued by management information systems and checked
by
a team that reports to the Risk Management Department and is independent from the
market operators.
Valuations are based on the use of:
| ― |
prices or inputs obtained from independent sources and/or validated
by the Market
Risk Department using a series of available sources such as pricing service vendors,
market consensus data and brokers;
|
| ― |
models validated by the Market Risks Department's quantitative
teams.
|
The valuation produced for each instrument is a mid-market valuation, which does
not
take into account the direction of the trade, the bank's aggregate exposure, market
liquidity or counterparty quality. Adjustments are then made to the market valuations
to incorporate those factors, as well as the potential uncertainties inherent in the
models or inputs used.
Valuations are based on the use of:
Mark-to-market adjustments: these adjustments correct any potential variance between
the midmarket valuations of an instrument obtained using internal valuation models
and the associated inputs and the valuation obtained from external sources or market
consensus data. These adjustments can be positive or negative; Bid/ask reserves: these
adjustments include the bid/ask spread for a given instrument in order to reflect
the price at which the position could be reversed. These adjustments are always negative;
Uncertainty reserves representing a risk premium as considered by any market participant.
These adjustments are always negative:
| ― |
reserves for parameters uncertainty incorporate any uncertainty
that may exist in
terms of on one or several parameters used;
|
| ― |
reserves for model uncertainty incorporate any uncertainty that
may exist because
of the choice of model used.
|
Furthermore, and in accordance with IFRS 13 "Measurement of the fair value", Crédit
Agricole CIB (CACIB) includes, in the calculation of the fair value of its OTC derivatives,
various adjustments relating:
| ― |
to default or credit quality risk (Credit Valuation Adjustment/
Debit Valuation Adjustment);
|
| ― |
to the future financing costs and gains (Funding Valuation Adjustment);
|
| ― |
to the liquidity risk associated with the collateral (Liquidity
Valuation Adjustment).
|
CVA ADJUSTMENT
The Credit Valuation Adjustment (CVA) is a mark-to-market adjustment that aims
to
price into the value of the OTC derivatives the market value of the default risk (risk
that amounts due to us are not repaid in the event of default or deterioration in
creditworthiness) of our counterparties. This adjustment is calculated per counterparty
based on the positive future exposure profiles of the trading portfolio (taking into
account any netting or collateral agreements, where such exist) weighted by the probabilities
of default and losses incurred in the event of default.
The methodology used maximises the use of market data/price (the probability of
default
is in priority, directly deduced from listed CDS when they exist, listed CDS proxies,
if any, or other credit instruments when they are judged sufficiently liquid). This
adjustment is always negative and reduces the fair value of the OTC derivative assets
held in the portfolio.
DVA ADJUSTMENT
The Debit Valuation Adjustment (DVA) is a mark-to-market adjustment that aims to
price
into the value of fully collateralised OTC derivatives the market value of the own
default risk (potential losses to which CACIB may expose its counterparties in the
event of default or a deterioration in its creditworthiness). This adjustment is calculated
by type of collateral contract on the basis of future negative exposure profiles of
the trading portfolio weighted by probabilities of default (of Crédit Agricole S.A.)
and the losses incurred in the event of default.
The methodology used maximises the use of market data/price (use of the Crédit
Agricole
S.A. CDS to determine probabilities of default). This adjustment is always positive
and reduces the fair value of the OTC derivative liabilities held in the portfolio.
FVA ADJUSTMENT
The Funding Valuation Adjustment (FVA) is a mark-to-market adjustment that aims
to
price into the fair value of non-collateralised, or imperfectly collateralised OTC
derivatives the additional future funding costs and benefits based on Asset &
Liabilities
Management (ALM) costs. This adjustment is calculated by counterparty on the basis
of future exposure profiles of the trading portfolio (taking account of the netting
agreements and any collateral agreements) weighted by ALM funding spreads.
In the area of "cleared" derivatives, an FVA adjustment called IMVA (Initial Margin
Value Adjustment) is calculated in order to take account of the costs and benefits
of future funding of initial margins to be posted with the main clearing houses on
derivatives until the maturity of the portfolio.
LVA ADJUSTMENT
The LVA (Liquidity Valuation Adjustment) is the positive or negative adjustment
of
valuation aimed at materialising both the absence of potential collateral payment
for counterparties (Credit Support Annex), as well as the remuneration non-standard
CSA.
The LVA thus materialises the gain or loss resulting from the costs additional
liquidity.
It is calculated on the scope of derivatives OTC with CSA.
BREAKDOWN OF FINANCIAL
INSTRUMENTS AT FAIR VALUE THROUGH VALUATION MODEL
Amounts presented below include accruals and prepayments and are net of impairment.
The observed transfers from Level 3 to Level 2 are the result of a review of observability
mapping on derivatives (assets/liabilities) and liabilities at fair value on option.
The impact was -€0.3 billion on the asset side and -€1.8 billion on the liability
side.
The remainder of the transfers to assets and liabilities to and from Level 3 are
a
better identification of the fair value level of operations presented at 31/12/2018
of the following instruments on the balance sheet: securities bought under repurchase
agreements, over-the-counter derivatives, treasury bills and issues at fair value
on option. This amount equalled +€0.1 billion on the asset side and -€2.1 billion
on the liability side.
► Financial assets
measured at fair value
| € million |
31.12.2019 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Financial assets held for trading |
249,068 |
23,558 |
219,745 |
5,765 |
| Loans and receivables due from credit institutions |
61 |
|
61 |
|
| Loans and receivables due from customers |
893 |
|
|
893 |
| Securities bought under repurchase agreements |
105,486 |
|
103,287 |
2,199 |
| Pledged securities |
|
|
|
|
| Held for trading securities |
25,299 |
22,782 |
1,757 |
760 |
| Treasury bills and similar securities |
13,601 |
12,478 |
1,122 |
1 |
| Bonds and other fixed income securities |
4,754 |
3,956 |
633 |
165 |
| Mutual funds |
43 |
43 |
|
|
| Equities and other variable income securities |
6,901 |
6,305 |
2 |
594 |
| Derivative instruments |
117,329 |
776 |
114,640 |
1,913 |
| Other financial instruments at fair value through profit
or loss |
722 |
203 |
18 |
501 |
| Equity instruments at fair value through profit or loss |
359 |
180 |
13 |
166 |
| Equities and other variable income securities |
213 |
180 |
13 |
20 |
| Non-consolidated equity investments |
146 |
|
|
146 |
| Debt instruments that do not meet the conditions of the
"SPPI" test |
363 |
23 |
5 |
335 |
| Loans and receivables due from credit institutions |
|
|
|
|
| Loans and receivables due from customers |
325 |
|
|
325 |
| Debt securities |
38 |
23 |
5 |
10 |
| Treasury bills and similar securities |
2 |
|
|
2 |
| Bonds and other fixed income securities |
27 |
19 |
|
8 |
| Mutual funds |
9 |
4 |
5 |
|
| Financial assets designated at fair value through profit
or loss |
|
|
|
|
| Loans and receivables due from credit institutions |
|
|
|
|
| Loans and receivables due from customers |
|
|
|
|
| Debt securities |
|
|
|
|
| Treasury bills and similar securities |
|
|
|
|
| Bonds and other fixed income securities |
|
|
|
|
| Financial assets at fair value through other comprehensive
income |
9,641 |
9,304 |
110 |
227 |
| Equity instruments at fair value through other comprehensive
income that will not
be reclassified to profit or loss
|
758 |
551 |
|
207 |
| Equities and other variable income securities |
476 |
441 |
|
35 |
| Non-consolidated equity investments |
282 |
110 |
|
172 |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit and loss
|
8,883 |
8,753 |
110 |
20 |
| Loans and receivables due from credit institutions |
|
|
|
|
| Loans and receivables due from customers |
|
|
|
|
| Debt securities |
8,884 |
8,754 |
110 |
20 |
| Treasury bills and similar securities |
2,065 |
2,065 |
|
|
| Bonds and other fixed income securities |
6,819 |
6,689 |
110 |
20 |
| Hedging derivative Instruments |
1,550 |
|
1,550 |
|
| TOTAL FINANCIAL ASSETS MEASURED AT FAIR VALUE |
260,981 |
33,065 |
221,423 |
6,493 |
| Transfers from Level 1: Quoted prices in active markets
for identical instruments |
4,474 |
|
4,368 |
106 |
| Transfers from Level 2: Valuation based on observable
data |
1,819 |
112 |
|
1,707 |
| Transfers from Level 3: Valuation based on unobservable
data |
1,894 |
72 |
1,822 |
|
| TOTAL TRANSFERS TO EACH LEVEL |
8,187 |
184 |
6,190 |
1,813 |
Level 1 to Level 2 transfers mainly involve the reclassification from exchange-traded
derivatives to OTC derivatives.
Level 1 to Level 3 transfers involve bonds and other fixed-income securities.
Level 2 to Level 1 transfers mainly involve treasury bills and bonds and other
fixed-income
securities.
Level 2 to Level 3 transfers mainly involve securities bought under repurchases
agreements
from credit institutions and interest rate swaps.
Level 3 to Level 1 transfers mainly involve treasury bills.
Level 3 to Level 2 transfers mainly involve client securities bought under repurchase
agreements and exchange-traded derivatives, of which -€0.3 billion relating to the
review of observability mapping on derivatives.
| € million |
31.12.2018 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Financial assets held for trading |
240,560 |
24,825 |
211,402 |
4,333 |
| Loans and receivables due from credit institutions |
191 |
|
191 |
|
| Loans and receivables due from customers |
1,374 |
|
|
1,374 |
| Securities bought under repurchase agreements |
108,619 |
|
107,652 |
967 |
| Pledged securities |
|
|
|
|
| Held for trading securities |
22,224 |
19,583 |
2,149 |
492 |
| Treasury bills and similar securities |
14,116 |
12,127 |
1,544 |
445 |
| Bonds and other fixed income securities |
5,326 |
4,682 |
597 |
47 |
| Mutual funds |
5 |
|
5 |
|
| Equities and other variable income securities |
2,777 |
2,774 |
3 |
|
| Derivative instruments |
108,152 |
5,242 |
101,410 |
1,500 |
| Other financial instruments at fair value through profit
or loss |
214 |
27 |
16 |
171 |
| Equity instruments at fair value through profit or loss |
100 |
2 |
13 |
85 |
| Equities and other variable income securities |
31 |
2 |
13 |
16 |
| Non-consolidated equity investments |
69 |
|
|
69 |
| Debt instruments that do not meet the conditions of the
"SPPI" test |
114 |
25 |
3 |
86 |
| Loans and receivables due from credit institutions |
|
|
|
|
| Loans and receivables due from customers |
76 |
|
|
76 |
| Debt securities |
38 |
25 |
3 |
10 |
| Treasury bills and similar securities |
|
|
|
|
| Bonds and other fixed income securities |
30 |
20 |
|
10 |
| Mutual funds |
8 |
5 |
3 |
|
| Financial assets designated at fair value through profit
or loss |
|
|
|
|
| Loans and receivables due from credit institutions |
|
|
|
|
| Loans and receivables due from customers |
|
|
|
|
| Debt securities |
|
|
|
|
| Treasury bills and similar securities |
|
|
|
|
| Bonds and other fixed income securities |
|
|
|
|
| Financial assets at fair value through other comprehensive
income |
11,362 |
10,859 |
175 |
328 |
| Equity instruments at fair value through other comprehensive
income that will not
be reclassified to profit or loss
|
1,662 |
1,406 |
|
256 |
| Equities and other variable income securities |
38 |
4 |
|
34 |
| Non-consolidated equity investments |
1,624 |
1,402 |
|
222 |
| Debt instruments at fair value through other comprehensive
income that may be reclassified
to profit and loss
|
9,700 |
9,453 |
175 |
72 |
| Loans and receivables due from credit institutions |
|
|
|
|
| Loans and receivables due from customers |
|
|
|
|
| Debt securities |
9,700 |
9,453 |
175 |
72 |
| Treasury bills and similar securities |
1,576 |
1,504 |
|
72 |
| Bonds and other fixed income securities |
8,124 |
7,949 |
175 |
|
| Hedging derivative Instruments |
965 |
|
965 |
|
| TOTAL FINANCIAL ASSETS MEASURED AT FAIR VALUE |
253,101 |
35,711 |
212,558 |
4 832 |
| Transfers from Level 1: Quoted prices in active markets
for identical instruments |
75 |
|
|
75 |
| Transfers from Level 2: Valuation based on observable
data |
455 |
(6) |
|
461 |
| Transfers from Level 3: Valuation based on unobservable
data |
116 |
8 |
108 |
|
| TOTAL TRANSFERS TO EACH LEVEL |
646 |
2 |
108 |
536 |
Transfers to assets to and from Level 3 are a better identification of the fair
value
level of operations presented at 31/12/2018 of the following instruments on the balance
sheet: securities bought under repurchase agreements, over-the-counter derivatives
and treasury bills. This amount equalled +€0.1 billion.
► Financial liabilities
measured at fair value
| € million |
31.12.2019 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Held for trading financial liabilities |
224,788 |
33,908 |
189,233 |
1,648 |
| Securities sold short |
33,472 |
33,259 |
213 |
1 |
| Securities sold under repurchase agreements |
75,240 |
|
74,320 |
920 |
| Debt securities |
54 |
|
54 |
|
| Due to credit institutions |
|
|
|
|
| Due to customers |
|
|
|
|
| Derivative instruments |
116,022 |
649 |
114,646 |
727 |
| Financial liabilities designated at fair value through
profit or loss |
29,987 |
|
22,471 |
7,515 |
| Hedging derivative Instruments |
1,334 |
|
1,334 |
|
| TOTAL FINANCIAL LIABILITIES MEASURED AT FAIR VALUE |
256,109 |
33,908 |
213,038 |
9,163 |
| Transfers from Level 1: Quoted prices in active markets
for identical instruments |
4,024 |
|
4,024 |
|
| Transfers from Level 2: Valuation based on observable
data |
639 |
34 |
|
605 |
| Transfers from Level 3: Valuation based on unobservable
data |
4,917 |
241 |
4,676 |
|
| TOTAL TRANSFERS TO EACH LEVEL |
9,580 |
275 |
8,700 |
605 |
Level 1 to Level 2 transfers mainly involve the reclassification from exchange-traded
derivatives to OTC derivatives.
Level 2 to Level 1 transferts involve short sales.
Level 2 to Level 3 transfers mainly involve securities sold under repurchase agreements
to credit institutions.
Level 3 to Level 1 transfers mainly involve treasury bills sold short.
Level 3 to Level 2 transfers mainly involve client securities sold under repurchase
agreements, negotiable debt securities recognised at fair value through profit or
loss option and trading derivatives. Review of observability mapping on derivatives
and liabilities at fair value per option amount to -€2.1 billion.
| € million |
31.12.2018 |
Quoted prices in active markets
for identical instruments: Level 1 |
Valuation based on observable data:
Level 2 |
Valuation based on unobservable
data: Level 3 |
| Held for trading financial liabilities |
208,156 |
29,802 |
173,984 |
4,370 |
| Securities sold short |
25,433 |
24,811 |
403 |
219 |
| Securities sold under repurchase agreements |
75,945 |
|
73,621 |
2,324 |
| Debt securities |
|
|
|
|
| Due to credit institutions |
|
|
|
|
| Due to customers |
|
|
|
|
| Derivative instruments |
106,778 |
4,991 |
99,960 |
1,827 |
| Financial liabilities designated at fair value through
profit or loss |
26,724 |
|
18,309 |
8,415 |
| Hedging derivative Instruments |
1,067 |
|
1,067 |
|
| TOTAL FINANCIAL LIABILITIES MEASURED AT FAIR VALUE |
235,947 |
29,802 |
193,360 |
12,785 |
| Transfers from Level 1: Quoted prices in active markets
for identical instruments |
|
|
|
|
| Transfers from Level 2: Valuation based on observable
data |
811 |
|
|
811 |
| Transfers from Level 3: Valuation based on unobservable
data |
395 |
10 |
385 |
|
| TOTAL TRANSFERS TO EACH LEVEL |
1,206 |
10 |
385 |
811 |
Transfers to liabilities to and from Level 3 are a better identification of the
fair
value level of operations presented at 31/12/2018 of the following instruments on
the balance sheet: over-the-counter derivatives and issues at fair value per option.
This amount is equal to -€2.1 billion.
Financial instruments
classified in Level 1
Level 1 comprises all derivatives quoted in an active market (options, futures,
etc.),
regardless of their underlying (interest rate, exchange rate, precious metals, key
stock indices), as well as equities and bonds quoted in an active market.
A market is regarded as being active if quoted prices are readily and regularly
available
from an exchange, broker, dealer, pricing service or regulatory agency, and those
prices represent actual and regularly occurring market transactions on an arm's length
basis. Corporate and government bonds and agencies that are valued on the basis of
prices obtained from independent sources considered as executable and updated regularly
are classified in Level 1. This covers the bulk of the sovereign, agency and corporate
bonds held. Issuers whose bonds are not quoted are classified in Level 3.
Financial instruments
classified in Level 2
Main financial instruments classified in Level 2 are:
| ― |
Liabilities recognised at fair value
Liabilities designated at fair value through profit or losses
are classified in Level
2 when their embedded derivative is considered to be classified in Level 2;
|
| ― |
Over-the-counter derivatives
The main OTC derivatives classified in Level 2 are those valued
using inputs considered
to be observable and where the valuation technique does not generate any significant
exposure to a model risk.
|
Thus, Level 2 therefore mainly comprises:
| ― |
linear derivative products such as interest rate swaps, currency
swaps and forward
FX. They are valued using simple models widely used in the market, based on either
directly observable parameters (foreign exchange rates, interest rates) or inputs
that can be derived from market prices of observable products (foreign exchange swaps);
|
| ― |
non-linear vanilla instruments such as caps, floors, swaptions,
currency options,
equity options and credit default swaps, including digital options. They are valued
using simple models widely used in the market, based either on directly observable
inputs (foreign exchange rates, interest rates, share prices) or inputs that can be
derived from observable market prices (volatilities);
|
| ― |
some structured products have quoted market prices on a continuous
basis and are valued
in a model subject to market consensus;
|
| ― |
securities listed on a market deemed inactive and for which independent
valuation
data are available.
|
Financial instruments
classified in Level 3
Financial instruments classified in Level 3 are those which do not meet the conditions
for classification in Level 1 or 2. They are therefore mainly financial instruments
with a high model risk whose valuation requires substantial use of unobservable parameters.
All or part of the initial margin on all new transactions classified in Level 3 is
reserved at the date of initial recognition. It is reintegrated in the profit or loss
account either spread over the period during which the inputs are considered to be
unobservable or in full on the date when the inputs become observable or if the transaction
is terminated.
Thus, Level 3 therefore mainly comprises:
| ― |
Securities.
Level 3 securities mainly include:
| ― |
unlisted shares or bonds for which no independent valuation is
available;
|
| ― |
ABSs and CLOs for which there are indicative independent quotes
but these are not
necessarily executable;
|
| ― |
ABSs, CLOs and super senior and mezzanine CDO tranches where
it cannot be demonstrated
that the market is active.
|
|
| ― |
Liabilities recognised at fair value
Liabilities designated at fair value through profit or loss are
classified in Level
3 when their embedded derivative is considered to be classified in Level 3.
|
| ― |
Over-the-counter derivatives
|
Unobservable income groups complex financial instruments significantly exposed
to
the model risk or involving parameters considered to be unobservable.
All of these principles are mapped for observability in the three levels indicating
the level chosen for each product, currency and maturity.
Level 3 mainly comprises:
| ― |
interest rate exposures or very long-dated currency swaps or
swaps on emerging currencies;
|
| ― |
equity exposures, mainly through products traded on shallow option
markets or indexed
to volatility or equity/equity correlations and long-dated forward or futures contracts;
|
| ― |
exposures to non-linear (interest rate or forex) instruments
with a long maturity
on key currencies/indices;
|
| ― |
non-linear exposures to emerging market currencies;
|
| ― |
complex derivatives.
|
The main exposures involved are:
| ― |
"path dependant" structured rate products, i.e. that their future
flows depend on
past trajectories followed by rate swaps. These products need the implementation of
complex evaluation models;
|
| ― |
securitisation swaps generating an exposure to the prepayment
rate. The prepayment
rate is determined on the basis of historical data on similar portfolios. The assumptions
and inputs used are checked regularly on the basis of actual prepayments;
|
| ― |
hybrid products: the flows of these products depend on the joint
behaviour of two
different types of underlying assets, namely rates, indices, exchange rates, credit
spreads;
|
| ― |
CDOs based on corporate credit baskets. These are now insignificant;
|
| ― |
certain complex derivative products on shares.
|
NET CHANGES IN
FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ACCORDING TO LEVEL 3
► Financial assets
measured at fair value according to Level 3
|
Total |
Financial assets
held for trading |
|
|
Loans and receivables due from
customers |
Securities bought under repurchase
agreements |
Held-for-trading
securities |
| € million |
|
|
|
Treasury bills and similar securities |
Bonds and other fixed income securities |
Equities and other variable income
securities |
| Opening balance (01.01.2019) |
4,831 |
1,374 |
967 |
445 |
48 |
|
| Gains or losses during the period 1 |
(267) |
15 |
(4) |
|
(5) |
|
| Recognised in profit or loss |
(299) |
|
(2) |
|
(5) |
|
| Recognised in other comprehensive income |
32 |
15 |
(2) |
|
|
|
| Purchases |
3,439 |
820 |
1,265 |
|
19 |
594 |
| Sales |
(1,147) |
(1,114) |
|
1 |
|
|
| Issues |
|
|
|
|
|
|
| Settlements |
(303) |
(202) |
|
|
(1) |
|
| Reclassifications |
70 |
|
|
|
|
|
| Changes associated with scope during the period |
(49) |
|
|
|
|
|
| Transfers 2 |
(81) |
|
(29) |
(445) |
104 |
|
| Transfers to Level 3 |
1,813 |
|
937 |
|
104 |
|
| Transfers from Level 3 |
(1,894) |
|
(966) |
(445) |
|
|
| CLOSING BALANCE (31.12.2019) |
6,493 |
893 |
2,199 |
1 |
165 |
594 |
|
Financial assets held for trading |
Derivative instruments |
Other financial instruments
at fair value through profit or loss |
|
Held-for-trading securities |
|
Equity instruments
at fair value through profit or loss |
Debt instruments
that do not meet the conditions of the «SPPI» test |
|
|
|
Equity and other variable income
securities |
Non-consolidated equity investments |
Loans and receivables due from
customers |
Debt securities |
| € million |
Held-for-trading securities |
|
|
|
|
Treasury bills and similar securities |
| Opening balance (01.01.2019) |
493 |
1,499 |
17 |
69 |
74 |
|
| Gains or losses during the period 1 |
(5) |
(305) |
(1) |
13 |
(16) |
4 |
| Recognised in profit or loss |
(5) |
(305) |
(2) |
13 |
(23) |
4 |
| Recognised in other comprehensive income |
|
|
1 |
|
7 |
|
| Purchases |
613 |
444 |
5 |
|
289 |
|
| Sales |
1 |
|
(1) |
|
(24) |
|
| Issues |
|
|
|
|
|
|
| Settlements |
(1) |
(86) |
|
|
|
|
| Reclassifications |
|
|
|
|
18 |
2 |
| Changes associated with scope during the period |
|
|
|
64 |
(16) |
(4) |
| Transfers 2 |
(341) |
361 |
|
|
|
|
| Transfers to Level 3 |
104 |
772 |
|
|
|
|
| Transfers from Level 3 |
(445) |
(411) |
|
|
|
|
| CLOSING BALANCE (31.12.2019) |
760 |
1,913 |
20 |
146 |
325 |
2 |
|
Other financial instruments
at fair value through profit or loss |
Financial assets
at fair value through other comprehensive income |
|
Debt instruments
that do not meet the conditions of the «SPPI» test |
Equity instruments
at fair value through other comprehensive income that will not
be reclassified to profit and loss
|
Financial assets
designated at fair value through profit or loss |
|
Debt securities |
|
Debt securities |
| € million |
Bonds and other fixed income securities |
Debt securities |
Equities and other variable income
securities |
Non-consolidated equity investments |
Treasury bills and similar securities |
Bonds and other fixed income securities |
| Opening balance (01.01.2019) |
10 |
10 |
34 |
222 |
72 |
|
| Gains or losses during the period 1 |
1 |
5 |
1 |
10 |
|
20 |
| Recognised in profit or loss |
1 |
5 |
|
|
|
20 |
| Recognised in other comprehensive income |
|
|
1 |
10 |
|
|
| Purchases |
|
|
|
3 |
|
|
| Sales |
(3) |
(3) |
|
(6) |
|
|
| Issues |
|
|
|
|
|
|
| Settlements |
|
|
|
(14) |
|
|
| Reclassifications |
|
2 |
|
50 |
|
|
| Changes associated with scope during the period |
|
(4) |
|
(93) |
|
|
| Transfers 2 |
|
|
|
|
(72) |
|
| Transfers to Level 3 |
|
|
|
|
|
|
| Transfers from Level 3 |
|
|
|
|
(72) |
|
| CLOSING BALANCE (31.12.2019) |
8 |
10 |
35 |
172 |
|
20 |
|
Financial assets at fair value
through other comprehensive income |
|
Financial assets designated at
fair value through profit or loss |
|
Debt securities |
| € million |
Debt securities |
| Opening balance (01.01.2019) |
72 |
| Gains or losses during the period 1 |
20 |
| Recognised in profit or loss |
20 |
| Recognised in other comprehensive income |
|
| Purchases |
|
| Sales |
|
| Issues |
|
| Settlements |
|
| Reclassifications |
|
| Changes associated with scope during the period |
|
| Transfers 2 |
(72) |
| Transfers to Level 3 |
|
| Transfers from Level 3 |
(72) |
| CLOSING BALANCE (31.12.2019) |
20 |
1
This balance includes the gains and losses of the period made on assets reported
on the balance sheet at the reporting date, for the foiiowing amounts:
| Gains/ losses for the period from level 3 assets held
at the end of the period |
(293) |
| Recognised in profit or loss |
(304) |
| Recognised in other comprehensive income |
11 |
2
The observed transfers from Level 3 to Level 2 on the asset side are the result,
in the amount of -€0.3 billion, of a review of observability mapping on derivatives.
Transfers to assets to and from Level 3 are a better identification of the fair
value
level of operations presented at 31/12/2018 of the following instruments on the balance
sheet: securities bought under repurchase agreements, over-the-counter derivatives
and treasury bills. This amount is equal to +€0.1 billion.
► Financial liabilities
measured at fair value according to Level 3
| € million |
Total |
Financial liabilities
held for trading |
|
|
Securities sold short |
Securities sold under repurchase
agreements |
Debt securities |
Due to credit institutions |
Due to customers |
| Opening balance (01.01.2019) |
12,786 |
220 |
2,324 |
|
|
|
| Gains or losses during the period 1 |
(540) |
(1) |
|
|
|
|
| Recognised in profit or loss |
(540) |
(1) |
|
|
|
|
| Recognised in other comprehensive income |
|
|
|
|
|
|
| Purchases |
586 |
23 |
488 |
|
|
|
| Sales |
|
|
|
|
|
|
| Issues |
3,446 |
|
|
|
|
|
| Settlements |
(2,789) |
|
|
|
|
|
| Reclassifications |
|
|
|
|
|
|
| Changes associated with scope during the period |
(14) |
|
|
|
|
|
| Transfers 2 |
(4,312) |
(241) |
(1,892) |
|
|
|
| Transfers to Level 3 |
605 |
|
432 |
|
|
|
| Transfers from Level 3 |
(4,917) |
(241) |
(2,324) |
|
|
|
| CLOSING BALANCE (31.12.2019) |
9,163 |
1 |
920 |
|
|
|
| € million |
Financial liabilities held for
trading |
Financial liabilities designated
at fair value through profit or loss |
Hedging derivative instruments |
|
Derivative Instruments |
|
|
| Opening balance (01.01.2019) |
1,827 |
8,415 |
|
| Gains or losses during the period 1 |
(311) |
(228) |
|
| Recognised in profit or loss |
(311) |
(228) |
|
| Recognised in other comprehensive income |
|
|
|
| Purchases |
74 |
1 |
|
| Sales |
|
|
|
| Issues |
|
3,446 |
|
| Settlements |
(71) |
(2,718) |
|
| Reclassifications |
|
|
|
| Changes associated with scope during the period |
|
(14) |
|
| Transfers 2 |
(792) |
(1,387) |
|
| Transfers to Level 3 |
71 |
102 |
|
| Transfers from Level 3 |
(863) |
(1,489) |
|
| CLOSING BALANCE (31.12.2019) |
727 |
7,515 |
|
1
This balance includes the gains and losses of the period made on liabilities reported
on the balance sheet at the closing date, for the following amounts:
| Gains/ losses for the period from level 3 assets held
at the end of the period |
(540) |
| Recognised in profit or loss |
(540) |
| Recognised in other comprehensive income |
|
2
The transfers observed from Level 3 to Level 2 on the liabilities side are the result,
for -€1.8 billion, of a review of observability mapping on derivatives and liabilities
at fair value per option.
Transfers to liabilities to and from Level 3 are a better identification of the fair
value level of operations presented at 31/12/2018 of the following instruments on
the balance sheet: over-the-counter derivatives and issues at fair value per option.
This amount is equal to -€2.1 billion.
11.3 Estimated
impact of inclusion of the margin at inception
| € million |
31.12.2019 |
31.12.2018 |
| Deferred margin at 1st January |
61 |
67 |
| Margin generated by new transactions during the period |
36 |
26 |
| Recognised in net income during the period |
|
|
| Amortisation and cancelled / reimbursed / matured transactions |
(24) |
(32) |
| Effects of inputs or products reclassified as observable
during the period |
(7) |
|
| DEFERRED MARGIN AT THE END OF THE PERIOD |
66 |
61 |
The margin on the 1st day on market transactions coming under Level 3 of fair value
is reserved for on the balance sheet and recognised in profit or loss over time or
when the non-observable parameters become observable.
NOTE 12: IMPACT
OF ACCOUNTING CHANGES AND OTHER EVENTS
► Balance sheet-Assets
Impacts of IFRS
16 at 1 January 2019
| € million |
01.01.2019 Restated |
Impact IFRS 16 |
01.01.2019 Stated |
| Cash, central banks |
46,538 |
|
46,538 |
| Financial assets at fair value through profit or loss |
240,774 |
|
240,774 |
| Financial assets held for trading |
240,560 |
|
240,560 |
| Other financial instruments at fair value through profit
or loss |
214 |
|
214 |
| Hedging derivative Instruments |
965 |
|
965 |
| Financial assets at fair value through other comprehensive
income |
11,362 |
|
11,362 |
| Interests on reimbursement rights (income) |
9,700 |
|
9,700 |
| Equity instruments at fair value through other comprehensive
income that will not
be reclassified to profit or loss
|
1,662 |
|
1,662 |
| Financial assets at amortised costs |
181,371 |
|
181,371 |
| Loans and receivables due from credit institutions |
19,172 |
|
19,172 |
| Loans and receivables due from customers |
134,302 |
|
134,302 |
| Debt securities |
27,897 |
|
27,897 |
| Revaluation adjustment on interest rate hedged portfolios |
2 |
|
2 |
| Current and deferred tax assets |
1,265 |
120 |
1,145 |
| Accruals, prepayments and sundry assets |
27,862 |
|
27,862 |
| Investment property |
1 |
|
1 |
| Property, plant and equipment |
903 |
547 |
356 |
| Intangible assets |
300 |
(1) |
301 |
| Goodwill |
1,025 |
|
1,025 |
| TOTAL ASSETS |
512,368 |
666 |
511,702 |
► Balance sheet-Liabilities
Impacts of IFRS
16 at 1 January 2019
| € million |
01.01.2019 Restated |
Impact IFRS 16 |
01.01.2019 Stated |
| Central banks |
877 |
|
877 |
| Financial liabilities at fair value through profit or
loss |
234,880 |
|
234,880 |
| Held for trading financial liabilities |
208,156 |
|
208,156 |
| Financial liabilities designated at fair value through
profit or loss |
26,724 |
|
26,724 |
| Hedging derivative Instruments |
1,067 |
|
1,067 |
| Financial liabilities at amortised cost |
222,353 |
|
222,353 |
| Due to credit institutions |
47,302 |
|
47,302 |
| Due to customers |
123,510 |
|
123,510 |
| Debt securities |
51,541 |
|
51,541 |
| Revaluation adjustment on interest rate hedged portfolios |
5 |
|
5 |
| Current and deferred tax liabilities |
2,079 |
120 |
1,959 |
| Accruals, prepayments and sundry liabilities |
24,037 |
550 |
23,487 |
| Insurance compagny technical reserves |
10 |
|
10 |
| Provisions |
1,675 |
(4) |
1,679 |
| Subordinated debt |
4,959 |
|
4,959 |
| Total Liabilities |
491,942 |
666 |
491,276 |
| Equity |
20,426 |
|
20,426 |
| Equity - Group share |
20,308 |
|
20,308 |
| Share capital and reserves |
12,860 |
|
12,860 |
| Consolidated reserves |
5,795 |
|
5,795 |
| Other comprehensive income |
174 |
|
174 |
| Other comprehensive income on discontinued operations |
|
|
|
| Net income (loss) for the year |
1,479 |
|
1,479 |
| Non-controlling interests |
118 |
|
118 |
| TOTAL LIABILITIES AND EQUITY |
512,368 |
666 |
511,702 |
NOTE 13: SCOPE
OF CONSOLIDATION AT 31 DECEMBER 2019
13.1 Information
on the subsidiaries
13.1.1 RESTRICTIONS
ON CONTROLLED ENTITIES
Crédit Agricole CIB is subject to the following restrictions:
♦ Regulatory constraints
The subsidiaries of Crédit Agricole CIB are subject to prudential regulation and
regulatory
capital requirements in their host countries. The minimum equity capital (solvency
ratio), leverage ratio and liquidity ratio requirements limit the capacity of these
entities to pay dividends or to transfer assets to Crédit Agricole CIB.
♦ Legal constraints
The subsidiaries of Crédit Agricole CIB are subject to legal provisions concerning
the distribution of capital and distributable earnings. These requirements limit the
ability of the subsidiaries to distribute dividends. In the majority of cases, these
are less restrictive than the regulatory limitations mentioned above.
♦ Other constraints
Certain subsidiaries of Crédit Agricole CIB must submit the preliminary agreement
of their regulatory authorities for the payment of dividends.
13.1.2 SUPPORT
FOR STRUCTURED ENTITIES UNDER GROUP CONTROL
Crédit Agricole CIB has contractual arrangements with some consolidated structured
entities under Group control that equate to commitments to provide financial support.
To meet its funding needs Crédit Agricole CIB uses structured debt issuance vehicles
to raise cash on financial markets. The securities issued by these entities are fully
underwritten by Crédit Agricole CIB. At 31 December 2019, the outstanding volume of
these issues was €25 billion.
As part of its third-party securitisation business, Crédit Agricole CIB provides
liquidity
lines to its ABCP conduits. At 31 December 2019, these liquidity lines totalled €37
billion.
13.2 Composition
of the consolidation group
| Crédit Agricole CIB Group Scope of
consolidation |
(a) |
Location |
Country of incorporation if different
from location |
Nature of entity and control (b) |
Consolidation method 31.12.2019 |
% of control |
|
|
|
|
|
|
31.12.19 |
| Parent company and its branches |
|
|
|
|
|
|
| Crédit Agricole CIB S.A. |
|
France |
|
Parent company |
Parent |
100.00 |
| Crédit Agricole CIB (Dubai) |
|
United Arab Emirates |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Dubai DIFC) |
|
United Arab Emirates |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Abu Dhabi) |
|
United Arab Emirates |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (South Korea) |
|
South Korea |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Spain) |
|
Spain |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (India) |
|
India |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Japan) |
|
Japan |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Singapore) |
|
Singapore |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (United Kingdom) |
|
United Kingdom |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Hong-Kong) |
|
Hong-Kong |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (United States) |
|
United States |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Taipei) |
|
Taiwan |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Luxembourg) |
S1 |
Luxembourg |
France |
Branch |
Full |
|
| Crédit Agricole CIB (Finland) |
|
Finland |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Germany) |
|
Germany |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Sweden) |
|
Sweden |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Italy) |
|
Italy |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Belgium) |
|
Belgium |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Miami) |
|
United States |
France |
Branch |
Full |
100.00 |
| Crédit Agricole CIB (Canada) |
|
Canada |
France |
Branch |
Full |
100.00 |
| Banking and financial institutions |
|
|
|
|
|
|
| Banco Crédit Agricole Brazil S.A. |
|
Brazil |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB Algeria Bank Spa |
|
Algeria |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB Australia Ltd. |
|
Australia |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB China Ltd. |
|
China |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB China Ltd. Chinese Branch |
|
China |
|
Branch |
Full |
100 |
| Crédit Agricole CIB Services Private Ltd. |
|
India |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB AO |
|
Russia |
|
Subsidiary |
Full |
100 |
| CA Indosuez Wealth (Europe) |
|
Luxembourg |
|
Subsidiary |
Full |
100 |
| CA Indosuez Wealth (Europe -Spain) |
|
Spain |
Luxembourg |
Branch |
Full |
100 |
| CA Indosuez Wealth (Europe -Belgium) |
|
Belgium |
Luxembourg |
Branch |
Full |
100 |
| CA Indosuez Wealth (Europe -Italy) |
|
Italy |
Luxembourg |
Branch |
Full |
100 |
| CA Indosuez (Switzerland) S.A. |
|
Switzerland |
|
Subsidiary |
Full |
100 |
| CA Indosuez (Switzerland) S.A. (Hong Kong) |
|
Hong-Kong |
Switzerland |
Branch |
Full |
100 |
| CA Indosuez (Switzerland) S.A. (Singapore) |
|
Singapore |
Switzerland |
Branch |
Full |
100 |
| CA Indosuez (Switzerland) S.A. Switzerland Branch |
|
Switzerland |
|
Branch |
Full |
100 |
| CFM Indosuez Wealth |
|
Monaco |
|
Subsidiary |
Full |
70 |
| CA Indosuez Finanziaria S.A. |
|
Switzerland |
|
Subsidiary |
Full |
100 |
| UBAF |
|
France |
|
Joint-Venture |
Equity |
47 |
| UBAF (Japan) |
|
Japan |
France |
Joint-Venture |
Equity |
47 |
| UBAF (South Korea) |
|
South Korea |
France |
Joint-Venture |
Equity |
47 |
| UBAF (Singapore) |
|
Singapore |
France |
Joint-Venture |
Equity |
47 |
| CA Indosuez Wealth (France) |
|
France |
|
Subsidiary |
Full |
100 |
| CA Indosuez Gestion |
|
France |
|
Subsidiary |
Full |
100 |
| Ester Finance Titrisation |
|
France |
|
Subsidiary |
Full |
100 |
| CA Indosuez Wealth Italy S.P.A. |
D1 |
Italy |
|
Subsidiary |
Full |
100 |
| Brokerage companies |
|
|
|
|
|
|
| Crédit Agricole Securities (USA) Inc |
|
United States |
|
Subsidiary |
Full |
100 |
| Crédit Agricole Securities (Asia) Ltd |
|
Hong Kong |
|
Subsidiary |
Full |
100 |
| Crédit Agricole Securities Asia Limited Séoul Branch
(CASAL Séoul Branch) |
|
South Korea |
|
Branch |
Full |
100 |
| Crédit Agricole Securities Asia BV (Tokyo) |
|
Japan |
Netherlands |
Branch |
Full |
100 |
| Investment companies |
|
|
|
|
|
|
| CA Indosuez Wealth (Brazil) S.A. DTVM |
|
Brazil |
|
Subsidiary |
Full |
100 |
| Compagnie Française de l'Asie (CFA) |
|
France |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB Air Finance S.A. |
|
France |
|
Subsidiary |
Full |
100 |
| Crédit Agricole Securities Asia BV |
|
Netherlands |
|
Subsidiary |
Full |
100 |
| Crédit Agricole Global Partners Inc. |
|
United States |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB Holdings Ltd. |
|
United Kingdom |
|
Subsidiary |
Full |
100 |
| CA Indosuez Wealth (Groupe) |
|
France |
|
Subsidiary |
Full |
100 |
| Doumer Finance S.A.S. |
|
France |
|
Subsidiary |
Full |
100 |
| Fininvest |
|
France |
|
Subsidiary |
Full |
98 |
| Fletirec |
|
France |
|
Subsidiary |
Full |
100 |
| I. P.F.O. |
S3 |
France |
|
Subsidiary |
Full |
|
| CFM Indosuez Conseil en Investissement |
|
France |
|
Subsidiary |
Full |
70 |
| CFM Indosuez Gestion |
|
Monaco |
|
Subsidiary |
Full |
70 |
| CFM Indosuez Conseil en Investissement, Branch de Noumea |
|
New Caledonia |
France |
Branch |
Full |
70 |
| Insurance companies |
|
|
|
|
|
|
| CAIRS Assurance S.A. |
|
France |
|
Subsidiary |
Full |
100 |
| Others |
|
|
|
|
|
|
| Calixis Finance |
|
France |
|
Controlled structured entity |
Full |
100 |
| Calliope srl |
|
Italy |
|
Controlled structured entity |
Full |
100 |
| CLIFAP |
|
France |
|
Subsidiary |
Full |
100 |
| Crédit Agricole Asia Shipfinance Ltd. |
|
Hong-kong |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB Finance (Guernsey) Ltd. |
|
Guernsey |
|
Controlled structured entity |
Full |
100 |
| Crédit Agricole CIB Financial Prod. (Guernsey) Ltd. |
S3 |
Guernsey |
|
Controlled structured entity |
Full |
|
| Crédit Agricole CIB Financial Solutions |
|
France |
|
Controlled structured entity |
Full |
100 |
| Crédit Agricole CIB Global Banking |
|
France |
|
Subsidiary |
Full |
100 |
| DGAD International SARL |
|
Luxembourg |
|
Subsidiary |
Full |
100 |
| Indosuez Holding SCA II |
S3 |
Luxembourg |
|
Controlled structured entity |
Full |
|
| Indosuez Management Luxembourg II |
S3 |
Luxembourg |
|
Controlled structured entity |
Full |
|
| Island Refinancing Srl |
S2 |
Italy |
|
Controlled structured entity |
Full |
|
| MERISMA |
|
France |
|
Controlled structured entity |
Full |
100 |
| Sagrantino Italy srl |
|
Italy |
|
Controlled structured entity |
Full |
100 |
| Benelpart |
|
Belgium |
|
Subsidiary |
Full |
100 |
| Financière des Scarabées |
|
Belgium |
|
Subsidiary |
Full |
100 |
| Lafina |
|
Belgium |
|
Subsidiary |
Full |
100 |
| SNGI Belgium |
|
Belgium |
|
Subsidiary |
Full |
100 |
| Sococlabecq |
|
Belgium |
|
Subsidiary |
Full |
100 |
| TCB |
|
France |
|
Subsidiary |
Full |
99 |
| Molinier Finances |
|
France |
|
Subsidiary |
Full |
100 |
| SNGI |
|
France |
|
Subsidiary |
Full |
100 |
| Sofipac |
|
Belgium |
|
Subsidiary |
Full |
99 |
| Placements et réalisations immobilières (SNC) |
|
France |
|
Subsidiary |
Full |
100 |
| Crédit Agricole Leasing (USA) Corp. |
|
United States |
|
Subsidiary |
Full |
100 |
| Crédit Agricole America Services Inc. |
|
United States |
|
Subsidiary |
Full |
100 |
| CA Indosuez Wealth (Asset Management) |
|
Luxembourg |
|
Subsidiary |
Full |
100 |
| Atlantic Asset Securitization LLC |
|
United States |
|
Controlled structured entity |
Full |
100 |
| LMA SA |
|
France |
|
Controlled structured entity |
Full |
100 |
| FIC-FIDC |
|
Brazil |
|
Controlled structured entity |
Full |
100 |
| Héphaïstos EUR FCC |
|
France |
|
Controlled structured entity |
Full |
100 |
| Héphaïstos GBP FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Héphaïstos USD FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Héphaïstos Multidevises FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Eucalyptus FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Pacific USD FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Shark FCC |
|
France |
|
Controlled structured entity |
Full |
100 |
| Vulcain EUR FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Vulcain MultiDevises FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Vulcain USD FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Pacific EUR FCC |
|
France |
|
Controlled structured entity |
Full |
100 |
| Pacific IT FCT |
|
France |
|
Controlled structured entity |
Full |
100 |
| Triple P FCC |
|
France |
|
Controlled structured entity |
Full |
100 |
| ESNI (compartiment Crédit Agricole CIB) |
|
France |
|
Controlled structured entity |
Full |
100 |
| Elipso Finance S.r.l |
|
Italy |
|
Joint-Venture |
Equity |
50 |
| CACIB Pension Limited Partnership |
|
United Kingdom |
|
Controlled structured entity |
Full |
100 |
| ItalAsset Finance SRL |
|
Italy |
|
Controlled structured entity |
Full |
100 |
| Financière Lumis |
|
France |
|
Subsidiary |
Full |
100 |
| Lafayette Asset Securitization LLC |
|
United States |
|
Controlled structured entity |
Full |
100 |
| Fundo A De Investimento Multimercado |
|
Brazil |
|
Controlled structured entity |
Full |
100 |
| Tsubaki ON |
|
France |
|
Controlled structured entity |
Full |
100 |
| Tsubaki OFF |
|
France |
|
Controlled structured entity |
Full |
100 |
| Azqore |
|
Switzerland |
|
Subsidiary |
Full |
80 |
| Azqore Singapore Branch SA |
|
Singapore |
Switzerland |
Branch |
Full |
80 |
| Crédit Agricole CIB Transactions |
|
France |
|
Subsidiary |
Full |
100 |
| Crédit Agricole CIB Group Scope of
consolidation |
% of control |
% interest |
|
31.12.18 |
31.12.19 |
31.12.18 |
| Parent company and its branches |
|
|
|
| Crédit Agricole CIB S.A. |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Dubai) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Dubai DIFC) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Abu Dhabi) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (South Korea) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Spain) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (India) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Japan) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Singapore) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (United Kingdom) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Hong-Kong) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (United States) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Taipei) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Luxembourg) |
100.00 |
|
100.00 |
| Crédit Agricole CIB (Finland) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Germany) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Sweden) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Italy) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Belgium) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Miami) |
100.00 |
100.00 |
100.00 |
| Crédit Agricole CIB (Canada) |
100.00 |
100.00 |
100.00 |
| Banking and financial institutions |
|
|
|
| Banco Crédit Agricole Brazil S.A. |
100 |
100 |
100 |
| Crédit Agricole CIB Algeria Bank Spa |
100 |
100 |
100 |
| Crédit Agricole CIB Australia Ltd. |
100 |
100 |
100 |
| Crédit Agricole CIB China Ltd. |
100 |
100 |
100 |
| Crédit Agricole CIB China Ltd. Chinese Branch |
100 |
100 |
100 |
| Crédit Agricole CIB Services Private Ltd. |
100 |
100 |
100 |
| Crédit Agricole CIB AO |
100 |
100 |
100 |
| CA Indosuez Wealth (Europe) |
100 |
100 |
100 |
| CA Indosuez Wealth (Europe -Spain) |
100 |
100 |
100 |
| CA Indosuez Wealth (Europe -Belgium) |
100 |
100 |
100 |
| CA Indosuez Wealth (Europe -Italy) |
100 |
100 |
100 |
| CA Indosuez (Switzerland) S.A. |
100 |
100 |
100 |
| CA Indosuez (Switzerland) S.A. (Hong Kong) |
100 |
100 |
100 |
| CA Indosuez (Switzerland) S.A. (Singapore) |
100 |
100 |
100 |
| CA Indosuez (Switzerland) S.A. Switzerland Branch |
100 |
100 |
100 |
| CFM Indosuez Wealth |
70 |
69 |
69 |
| CA Indosuez Finanziaria S.A. |
100 |
100 |
100 |
| UBAF |
47 |
47 |
47 |
| UBAF (Japan) |
47 |
47 |
47 |
| UBAF (South Korea) |
47 |
47 |
47 |
| UBAF (Singapore) |
47 |
47 |
47 |
| CA Indosuez Wealth (France) |
100 |
100 |
100 |
| CA Indosuez Gestion |
100 |
100 |
100 |
| Ester Finance Titrisation |
100 |
100 |
100 |
| CA Indosuez Wealth Italy S.P.A. |
94 |
100 |
94 |
| Brokerage companies |
|
|
|
| Crédit Agricole Securities (USA) Inc |
100 |
100 |
100 |
| Crédit Agricole Securities (Asia) Ltd |
100 |
100 |
100 |
| Crédit Agricole Securities Asia Limited Séoul Branch
(CASAL Séoul Branch) |
100 |
100 |
100 |
| Crédit Agricole Securities Asia BV (Tokyo) |
100 |
100 |
100 |
| Investment companies |
|
|
|
| CA Indosuez Wealth (Brazil) S.A. DTVM |
100 |
100 |
100 |
| Compagnie Française de l'Asie (CFA) |
100 |
100 |
100 |
| Crédit Agricole CIB Air Finance S.A. |
100 |
100 |
100 |
| Crédit Agricole Securities Asia BV |
100 |
100 |
100 |
| Crédit Agricole Global Partners Inc. |
100 |
100 |
100 |
| Crédit Agricole CIB Holdings Ltd. |
100 |
100 |
100 |
| CA Indosuez Wealth (Groupe) |
100 |
100 |
100 |
| Doumer Finance S.A.S. |
100 |
100 |
100 |
| Fininvest |
98 |
98 |
98 |
| Fletirec |
100 |
100 |
100 |
| I. P.F.O. |
100 |
|
100 |
| CFM Indosuez Conseil en Investissement |
70 |
69 |
69 |
| CFM Indosuez Gestion |
70 |
68 |
68 |
| CFM Indosuez Conseil en Investissement, Branch de Noumea |
70 |
69 |
69 |
| Insurance companies |
|
|
|
| CAIRS Assurance S.A. |
100 |
100 |
100 |
| Others |
|
|
|
| Calixis Finance |
100 |
100 |
100 |
| Calliope srl |
100 |
100 |
100 |
| CLIFAP |
100 |
100 |
100 |
| Crédit Agricole Asia Shipfinance Ltd. |
100 |
100 |
100 |
| Crédit Agricole CIB Finance (Guernsey) Ltd. |
100 |
100 |
100 |
| Crédit Agricole CIB Financial Prod. (Guernsey) Ltd. |
100 |
|
100 |
| Crédit Agricole CIB Financial Solutions |
100 |
100 |
100 |
| Crédit Agricole CIB Global Banking |
100 |
100 |
100 |
| DGAD International SARL |
100 |
100 |
100 |
| Indosuez Holding SCA II |
100 |
|
100 |
| Indosuez Management Luxembourg II |
100 |
|
100 |
| Island Refinancing Srl |
100 |
|
100 |
| MERISMA |
100 |
100 |
100 |
| Sagrantino Italy srl |
100 |
100 |
100 |
| Benelpart |
100 |
97 |
97 |
| Financière des Scarabées |
100 |
99 |
99 |
| Lafina |
100 |
98 |
98 |
| SNGI Belgium |
100 |
100 |
100 |
| Sococlabecq |
100 |
98 |
98 |
| TCB |
99 |
97 |
97 |
| Molinier Finances |
100 |
97 |
97 |
| SNGI |
100 |
100 |
100 |
| Sofipac |
99 |
96 |
96 |
| Placements et réalisations immobilières (SNC) |
100 |
97 |
97 |
| Crédit Agricole Leasing (USA) Corp. |
100 |
100 |
100 |
| Crédit Agricole America Services Inc. |
100 |
100 |
100 |
| CA Indosuez Wealth (Asset Management) |
100 |
100 |
100 |
| Atlantic Asset Securitization LLC |
100 |
|
|
| LMA SA |
100 |
|
|
| FIC-FIDC |
100 |
100 |
100 |
| Héphaïstos EUR FCC |
100 |
|
|
| Héphaïstos GBP FCT |
100 |
|
|
| Héphaïstos USD FCT |
100 |
|
|
| Héphaïstos Multidevises FCT |
100 |
|
|
| Eucalyptus FCT |
100 |
|
|
| Pacific USD FCT |
100 |
|
|
| Shark FCC |
100 |
|
|
| Vulcain EUR FCT |
100 |
|
|
| Vulcain MultiDevises FCT |
100 |
|
|
| Vulcain USD FCT |
100 |
|
|
| Pacific EUR FCC |
100 |
|
|
| Pacific IT FCT |
100 |
|
|
| Triple P FCC |
100 |
|
|
| ESNI (compartiment Crédit Agricole CIB) |
100 |
100 |
100 |
| Elipso Finance S.r.l |
50 |
50 |
50 |
| CACIB Pension Limited Partnership |
100 |
100 |
100 |
| ItalAsset Finance SRL |
100 |
100 |
100 |
| Financière Lumis |
100 |
100 |
100 |
| Lafayette Asset Securitization LLC |
100 |
|
|
| Fundo A De Investimento Multimercado |
100 |
100 |
100 |
| Tsubaki ON |
100 |
|
|
| Tsubaki OFF |
100 |
|
|
| Azqore |
80 |
80 |
80 |
| Azqore Singapore Branch SA |
80 |
80 |
80 |
| Crédit Agricole CIB Transactions |
100 |
100 |
100 |
(a) Modification
of scope
Inclusions (E)
into the scope of consolidation
| E1: |
Breach of threshold |
| E2: |
Creation |
| E3: |
Acquisition (including controlling interests) |
Exclusions (S)
from the scope of consolidation
| SS1: |
Discontinuation of business (including dissolution and
liquidation) |
| S2: |
Sale to non-Group companies or deconsolidation following
loss of control |
| S3: |
Deconsolidated due to non-materiality |
| S4: |
Merger or takeover |
| S5: |
Transfer of all assets and liabilities |
Other (D):
| D1: |
Change of company name |
| D2: |
Change in consolidation method |
| D3: |
First time listed in the Note on scope of consolidation |
| D4: |
IFRS 5 entities |
| D5: |
Inclusion into scope related to IFRS 10 application |
| D6: |
Change in consolidation method in application of IFRS
11 |
(b) Entity type
and nature of control
| F: |
Subsidiary |
| S: |
Branch |
| ES |
C: Controlled structured entity |
| Co-E: |
Joint venture |
| Co-ES: |
Exclusions (S) from the scope of consolidation |
| OC: |
Structured joint venture |
| EA: |
Joint operation Associate |
| EAS: |
Structured associate |
NOTE 14: INVESTMENTS
IN NON-CONSOLIDATED COMPANIES AND STRUCTURED ENTITIES
14.1 Investments
in non-consolidated companies
These shares registered at fair value through profit or loss or fair value through
non-recyclable equity are variable-income securities that represent a significant
portion of the capital of the companies that issued them, and are intended to be held
on a long-term basis This item amounted to €282 million at 31 December 2019 compared
with to €1,624 million at 31 December 2018.
In accordance with the option offered by Recommendation ANC 2016-01, the exhaustive
list of non-consolidated controlled entities and of significant non-consolidated equity
investments can be consulted on the Crédit Agricole CIB website at the following address:
https://www.ca-cib.com/about-us/financial-information/ regulated-information
INFORMATION ON
NON-CONSOLIDATED STRUCTURED ENTITIES
In accordance with IFRS 12, a controlled structured entity is an entity designed
in
such a way that the voting rights or similar rights are not the factor determining
who controls the entity; this is notably the case when the voting rights only relate
to administrative tasks and the relevant activities are managed through contractual
agreements.
INFORMATION ON
THE NATURE AND EXTENT OF INTERESTS HELD
At 31 December 2019, Crédit Agricole CIB and its subsidiaries had interests in
certain
non-consolidated structured entities, the main characteristics of which are presented
below on the basis of their type of activity.
♦ Securitisation
vehicles
Crédit Agricole CIB, is tasked with structuring securitisation vehicles through
the
purchase of trade or financial receivables. The vehicles fund such purchases by issuing
multiple tranches of debt and equity investments, with repayment being linked to the
performance of the assets in such vehicles.
Crédit Agricole CIB invests in and provides liquidity facilities to the securitisation
vehicles it has sponsored on behalf of customers.
♦ Structured Finance
Crédit Agricole CIB is involved in special purpose asset acquisition entities.
These
entities may take the form of asset financing companies or lease financing companies.
In structured entities, the financing is secured by the asset. The Group's involvement
is often limited to the financing or to financing commitments.
♦ Sponsored entities
Crédit Agricole CIB sponsors structured entities in the following instances:
| ― |
Crédit Agricole CIB is involved in establishing the entity and
that involvement, which
is remunerated, is deemed essential for ensuring the proper completion of transactions;
|
| ― |
structuring takes place at the request of Crédit Agricole CIB
and it is the main user
thereof;
|
| ― |
Crédit Agricole CIB transfers its own assets to the structured
entity;
|
| ― |
Crédit Agricole CIB is the manager;
|
| ― |
the name of a subsidiary or of the parent company of Crédit Agricole
CIB is linked
to the name of the structured entity or to the financial instruments issued by it.
|
Crédit Agricole CIB has sponsored its non-consolidated structured entities, in
which
it held no interest at 31 December 2019. Gross income, mainly consisting of interest
and commission in securitisation business lines from sponsored entities in which Crédit
Agricole CIB held no interest at the close of the financial year amounted to €1.4
million at 31 December 2019.
INFORMATION ON
THE RISKS RELATED TO THE INTERESTS HELD
♦ Financial support
for structured entities
In 2019, Crédit Agricole CIB provided no financial support for non-consolidated
structured
entities.
At 31 December 2019, Crédit Agricole CIB had no intention to provide financial
support
for a non-consolidated structured entity.
♦ Interests held
in non-consolidated structured entities by type of business
The involvement of Crédit Agricole CIB in non-consolidated structured entities
at
31 December 2019 and at 31 December 2018 is presented in the tables below for all
categories of sponsored structured entities of material significance to Crédit Agricole
CIB:
|
31.12.2019 |
|
Securitisation vehicules |
Structured finance1 |
|
Maximum loss |
Maximum loss |
| € million |
Carrying amount |
Maximum exposure to losses |
Guarantees received and other credit
enhancements |
Net exposure |
Carrying amount |
Maximum exposure to losses |
| Financial assets at fair value through profit or loss |
9 |
9 |
|
9 |
20 |
20 |
| Financial assets at fair value through other comprehensive
income |
|
|
|
|
|
|
| Financial assets at amortised cost |
2,351 |
2,351 |
|
2,351 |
2,261 |
2,261 |
| Total Assets recognised relating to nonconsolidated structured
entities |
2,360 |
2,360 |
|
2,360 |
2,281 |
2,281 |
| Equity instruments |
|
|
|
|
|
|
| Financial liabilities at fair value through profit or
loss |
|
|
|
|
|
|
| Liabilities |
128 |
|
|
|
492 |
|
| Total Liabilities recognised relating to nonconsolidated
structured entities |
128 |
|
|
|
492 |
|
| Commitments given |
|
1,608 |
|
1,608 |
|
1,380 |
| Financing commitments |
|
1,551 |
|
1,551 |
|
1,216 |
| Guarantee commitments |
|
57 |
|
57 |
|
164 |
| Other |
|
|
|
|
|
|
| Provisions for execution risks - commitments given |
|
|
|
|
|
|
| Total Commitments (net of provision) to non-consolidated
structured entities |
|
1,608 |
|
1,608 |
|
1,380 |
| Total Balance sheet relating to nonconsolidated structured
entities |
2,232 |
|
|
|
2,281 |
|
|
31.12.2019 |
|
Structured finance1 |
|
Maximum loss |
| € million |
Guarantees received and other credit
enhancements |
Net exposure |
| Financial assets at fair value through profit or loss |
|
20 |
| Financial assets at fair value through other comprehensive
income |
|
|
| Financial assets at amortised cost |
|
2,261 |
| Total Assets recognised relating to nonconsolidated structured
entities |
|
2,281 |
| Equity instruments |
|
|
| Financial liabilities at fair value through profit or
loss |
|
|
| Liabilities |
|
|
| Total Liabilities recognised relating to nonconsolidated
structured entities |
|
|
| Commitments given |
|
1,380 |
| Financing commitments |
|
1,216 |
| Guarantee commitments |
|
164 |
| Other |
|
|
| Provisions for execution risks - commitments given |
|
|
| Total Commitments (net of provision) to non-consolidated
structured entities |
|
1,380 |
| Total Balance sheet relating to nonconsolidated structured
entities |
|
|
1
Non-sponsored structured entities generate no specific risk related to the nature
of the entity. Information concerning these exposures is set out in Note 3.1 "Credit
risk" and Note "3.2 "Market risk". These are investment funds in which the Group is
not a manager, and structured financing entities in which the Group has only granted
a loan.
The identification of sponsored entities was reviewed in 2019 through a stricter
application
of the criteria of the Crédit Agricole Group. On a like-for-like basis, the balance
sheet value of the assets at amortised cost at 31/12/2018 for the securitisation business
would have been €2,537 million.
|
31.12.2018 |
|
Securitisation vehicules |
Structured finance1 |
|
Maximum loss |
Maximum loss |
| € million |
Carrying amount |
Maximum exposure to losses |
Guarantees received and other credit
enhancements |
Net exposure |
Carrying amount |
Maximum exposure to losses |
| Financial assets at fair value through profit or loss |
66 |
66 |
|
66 |
35 |
35 |
| Financial assets at fair value through other comprehensive
income |
|
|
|
|
12 |
12 |
| Financial assets at amortised cost |
16,537 |
16,540 |
152 |
16,388 |
2,346 |
2,346 |
| Total Assets recognised relating to nonconsolidated structured
entities |
16,603 |
16,606 |
152 |
16,454 |
2,393 |
2,393 |
| Equity instruments |
|
|
|
|
|
|
| Financial liabilities at fair value through profit or
loss |
42 |
|
|
42 |
4 |
|
| Liabilities |
173 |
|
|
|
569 |
|
| Total Liabilities recognised relating to nonconsolidated
structured entities |
215 |
|
|
42 |
573 |
|
| Commitments given |
|
5,483 |
|
5,483 |
|
1,445 |
| Financing commitments |
|
5,387 |
|
5,387 |
|
1,258 |
| Guarantee commitments |
|
|
|
|
|
187 |
| Other |
|
96 |
|
96 |
|
(0) |
| Provisions for execution risks - commitments given |
|
|
|
|
|
|
| Total Commitments (net of provision) to non-consolidated
structured entities |
|
5,483 |
|
5,483 |
|
1,445 |
| Total Balance sheet relating to nonconsolidated structured
entities |
16,388 |
|
|
|
2,349 |
|
|
31.12.2018 |
|
Structured finance1 |
|
Maximum loss |
| € million |
Guarantees received and other credit
enhancements |
Net exposure |
| Financial assets at fair value through profit or loss |
|
35 |
| Financial assets at fair value through other comprehensive
income |
|
12 |
| Financial assets at amortised cost |
|
2,346 |
| Total Assets recognised relating to nonconsolidated structured
entities |
|
2,393 |
| Equity instruments |
|
|
| Financial liabilities at fair value through profit or
loss |
|
4 |
| Liabilities |
|
|
| Total Liabilities recognised relating to nonconsolidated
structured entities |
|
4 |
| Commitments given |
|
1,445 |
| Financing commitments |
|
1,258 |
| Guarantee commitments |
|
187 |
| Other |
|
(0) |
| Provisions for execution risks - commitments given |
|
|
| Total Commitments (net of provision) to non-consolidated
structured entities |
|
1,445 |
| Total Balance sheet relating to nonconsolidated structured
entities |
|
|
1
Non-sponsored structured entities generate no specific risk related to the nature
of the entity. Information concerning these exposures is set out in Note 3.1 "Credit
risk" and Note "3.2 "Market risk". These are investment funds in which the Group is
not a manager, and structured financing entities in which the Group has only granted
a loan.
MAXIMUM EXPOSURE
TO LOSSES
The maximum exposure to loss risk on financial instruments corresponds to the value
recognised on the balance sheet, with the exception of option sale derivatives and
credit default swaps for which the exposure corresponds to assets for the notional
amount and to liabilities for the notional amount less the mark-to-market. The maximum
exposure to loss risk on commitments given corresponds to the notional amount and
the provision for commitments given in the amount recognised on the balance sheet.
NOTE 15: EVENTS
SUBSEQUENT TO 31 DECEMBER 2019
There were no events after the reporting period.
4. STATUTORY AUDITORS'
REPORT ON THE CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR
ENDED 31 DECEMBER 2019
This is a free translation into English of the Statutory Auditors' report issued
in
French and is provided solely for the convenience of English speaking readers. This
report includes information specifically required by European regulations or French
law, such as information about the appointment of Statutory Auditors. This report
should be read in conjunction with, and construed in accordance with, French law and
professional auditing standards applicable in France.
OPINION
In compliance with the engagement entrusted to us by your General Meeting of Shareholders,
we have audited the accompanying consolidated financial statements of Crédit Agricole
Corporate and Investment Bank for the year ended 31 December 2019.
In our opinion, the consolidated financial statements give a true and fair view
of
the assets and liabilities and of the financial position of the Group at 31 December
2019 and of the results of its operations for the year then ended in accordance with
International Financial Reporting Standards as adopted by the European Union.
The audit opinion expressed above is consistent with our report to the Audit Committee.
BASIS FOR OPINION
AUDIT FRAMEWORK
We conducted our audit in accordance with professional standards applicable in
France.
We believe that the audit evidence we have obtained is sufficient and appropriate
to provide a basis for our opinion.
Our responsibilities under these standards are further described in the "Responsibilities
of the Statutory Auditors relating to the audit of the consolidated financial statements"
section of our report.
INDEPENDENCE
We conducted our audit engagement in compliance with the independence rules applicable
to us, for the period from 1 January 2019 to the date of our report, and, in particular,
we did not provide any non-audit services prohibited by Article 5(1) of Regulation
(EU) No 537/2014 or the French Code of Ethics (Code de déontologie) for Statutory
Auditors.
EMPHASIS OF MATTER
Without qualifying our opinion, we draw your attention to the change in accounting
policy concerning the application as from 1 January 2019 of IFRS 16 "Leases", as presented
in Note 1.1 "Applicable standards and comparability" and the section "IFRS 16 Leases"
of Note 1.2 "Accounting policies and principles", as well as in Notes 8 and 12 to
consolidated financial statements presenting quantified data relating to the impact
of the new standard.
JUSTIFICATION
OF ASSESSMENTS - KEY AUDIT MATTERS
In accordance with the requirements of Articles L.823-9 and R.823-7 of the French
Commercial Code (Code de commerce) relating to the justification of our assessments,
we inform you of the key audit matters relating to the risks of material misstatement
that, in our professional judgement, were the most significant in our audit of the
consolidated financial statements, as well as how we addressed those risks.
These matters were addressed as part of our audit of the consolidated financial
statements
as a whole, and therefore contributed to the opinion we formed as expressed above.
We do not provide a separate opinion on specific items of the consolidated financial
statements.
LEGAL, TAX AND
COMPLIANCE RISKS
♦ Description
of risk
Crédit Agricole Corporate and Investment Bank is subject to judicial proceedings
or
arbitration and a number of investigations and requests for regulatory information
from different regulators. These concern in particular the Euribor/Libor and SSA Bonds
matters with authorities from various countries (USA, UK, Switzerland) and the European
Union.
A number of tax investigations are also ongoing in France and certain countries
where
the Group operates.
Deciding whether to recognise a provision and the amount of that provision requires
the use of judgement, given that it is difficult to assess the outcome of disputes
or the uncertainties related to certain tax treatments, particularly as part of certain
structural transactions.
The various ongoing judicial or arbitration proceedings, investigations and requests
for information (Euribor/ Libor, SSA Bonds and other indices), as well as tax proceedings,
are presented in Notes 6.15 and 6.10, respectively, to the consolidated financial
statements.
♦ How our audit
addressed this risk
We gained an understanding of the procedure implemented by management for measuring
the risks resulting from these disputes and tax uncertainties and, where applicable,
the associated provisions, notably through quarterly exchanges with management and,
in particular, the Legal, Compliance and Tax departments of the Group and its main
subsidiaries.
Our work consisted primarily in:
| ― |
examining the assumptions used to determine provisions based
on available information
(documentation prepared by the Legal department or legal counsel of Crédit Agricole
Corporate and Investment Bank and Group entities, correspondence from regulators and
minutes of Legal Risks Committee meetings);
|
| ― |
gaining an understanding of the analyses or findings of the Bank's
legal counsel and
their responses to our requests for confirmation;
|
| ― |
as regards tax risks in particular, examining, with guidance
from our specialists,
the Group's responses submitted to the relevant authorities, as well as the risk estimates
carried out by the Group;
|
| ― |
assessing, accordingly, the level of provisioning at 31 December
2019.
|
Lastly, we examined the related disclosures provided in the notes to the consolidated
financial statements.
CREDIT RISK AND
ESTIMATE OF EXPECTED CREDIT LOSSES ON PERFORMING, UNDERPERFORMING
AND NON-PERFORMING LOANS
♦ Description
of risk
In accordance with IFRS 9, since 1 January 2018 Crédit Agricole CIB recognises
value
adjustments in respect of expected credit losses (ECL) on loans that are performing
(Bucket 1), underperforming (Bucket 2) or non-performing (Bucket 3).
Given the significant judgement required in determining such value adjustments,
we
deemed their estimate to be a key audit matter, particularly for financing granted
to companies in the maritime and energy sectors, due to an uncertain economic environment,
the complexity of identifying exposures where there is a risk of non recovery and
the degree of judgement needed to estimate recovery flows.
At 31 December 2019, ECL value adjustments on all eligible loans amounted to €3.1
billion (€2.7 billion recognised under assets), of which:
| ― |
€678 million of value adjustments pertaining to performing and
underperforming assets
(€272 million in Bucket 1 and €406 million in Bucket 2);
|
| ― |
€2,415 million of value adjustments pertaining to nonperforming
loans (Bucket 3).
|
See Notes 3.1,4.9 and 6.5 to the consolidated financial statements.
♦ How our audit
addressed this risk
We examined the procedures implemented by the Risk Management department to categorise
outstanding loans (Bucket 1, 2 or 3) and measure the amount of recorded value adjustments,
in order to assess whether the estimates used were based on IFRS 9-compliant methods
appropriately documented and described in the notes to the consolidated financial
statements.
We tested the key controls implemented by the Group for the annual portfolio reviews,
the updating of credit ratings, the identification of underperforming or non-performing
loans and the measurement of impairment. We also familiarised ourselves with the main
findings of the Group's specialised committees in charge of monitoring underperforming
and non-performing loans.
In addition, with regard to ECL value adjustments in Buckets 1 and 2, we:
| ― |
asked experts to assess the methods and measurements for the
various value adjustment
inputs and calculation models;
|
| ― |
assessed the analyses carried out by the Bank on economic sectors
with a deteriorated
outlook;
|
| ― |
reviewed the methodology used by risk department to identify
significant increases
in credit risk (SICR);
|
| ― |
tested the controls that we deemed to be of key importance in
relation to the transfer
of the data used to calculate ECL or the reconciliations between the bases used to
calculate ECL and the accounting data;
|
| ― |
carried out independent value adjustment calculations, compared
the calculated amount
with the recognised amount and examined the adjustments made by management where applicable.
|
Regarding individually calculated value adjustments in Bucket 3, we:
| ― |
examined the estimates used for impaired significant counterparties;
|
| ― |
based on a sample of impaired or non-impaired credit files, examined
the factors underlying
the main assumptions used to assess the expected recovery flows, in particular with
regard to valuing collateral.
|
We examined the disclosures in relation to credit risk hedging provided in the
notes
to the consolidated financial statements.
RISK IN RELATION
TO THE MEASUREMENT OF CERTAIN FINANCIAL ASSETS AND LIABILITIES CLASSIFIED
IN LEVEL 3
♦ Description
of risk
As part of its capital markets activities, Crédit Agricole Corporate and Investment
Bank originates, structures, sells and trades derivative financial instruments, for
corporates and financial institutions. Moreover, the issue of debt instruments, some
of which are hybrid, to the Group's international and domestic customers contributes
to the management of the Bank's medium- and longterm refinancing.
| ― |
Derivative financial instruments are held for trading purposes
and measured at fair
value through profit or loss on the balance sheet.
|
| ― |
Hybrid issues are recognised in financial liabilities subject
to the fair value through
profit or loss option.
|
These financial instruments are classified in level 3 when their measurement requires
the use of significant unobservable market inputs. We deemed the measurement of these
instruments to be a key audit matter, as it requires judgement from management, in
particular as regards:
| ― |
the mapping of the observability of valuation inputs, in particular
the identification
of inputs unsubstantiated by observable market data;
|
| ― |
the use of internal and non-standard valuation models;
|
| ― |
the categorisation of financial instruments according to the
fair value hierarchy;
|
| ― |
the estimate of valuation adjustments designed to reflect uncertainties
related to
the models, the inputs used and counterparty and liquidity risks;
|
| ― |
the analysis of any valuation differences noted in connection
with margin calls or
the disposal of instruments.
|
Derivative instruments are recorded in the balance sheet under financial assets
and
liabilities at fair value through profit or loss. At 31 December 2019, derivative
instruments categorised in level 3 amounted to €1.9 billion in assets and €0.7 billion
in liabilities.
Hybrid issues are recognised in financial liabilities subject to the fair value
through
profit or loss option.
At 31 December 2019, they represented €29 billion in liabilities. See Notes 3.2,
6.2
and 11.2 to the consolidated financial statements.
♦ How our audit
addressed this risk
We gained an understanding of the processes and controls put in place by Crédit
Agricole
Corporate and Investment Bank to identify, measure and recognise derivative financial
instruments and hybrid issues classified in level 3.
We examined the controls that we deemed of key importance, particularly those performed
by the Risk Management department, such as the review of the observability mapping,
the independent verification of measurement inputs and the internal approval of valuation
models. We also examined the system governing the recognition of valuation adjustments
and the accounting categorisation of financial products.
With the support of our experts in the valuation of financial instruments, we carried
out independent valuations, analysed those performed by the Bank and examined the
assumptions, inputs, methodologies and models used at 31 December 2019. In particular,
we examined the documentation concerning changes over the year in the observability
mapping.
We also assessed the main valuation adjustments recognised, as well as the justification
provided by management for the main differences observed in margin calls and losses
and/or gains in the event of the disposal of financial products.
SPECIFIC VERIFICATIONS
As required by legal and regulatory provisions and in accordance with professional
standards applicable in France, we have also verified the information presented in
the Group management report prepared by the Board of Directors.
We have no matters to report as to its fair presentation and its consistency with
the consolidated financial statements.
REPORT ON OTHER
LEGAL AND REGULATORY REQUIREMENTS
APPOINTMENT OF
THE STATUTORY AUDITORS
We were appointed Statutory Auditors of Crédit Agricole Corporate and Investment
Bank
by the General Meetings of Shareholders held on 30 April 2004 for PricewaterhouseCoopers
Audit and on 20 May 1997 for Ernst & Young et Autres.
At 31 December 2019, PricewaterhouseCoopers Audit and Ernst & Young et Autres
were
in the sixteenth and the twenty third consecutive year their engagement, respectively.
RESPONSIBILITIES
OF MANAGEMENT AND THOSE CHARGED WITH GOVERNANCE FOR THE CONSOLIDATED
FINANCIAL STATEMENTS
Management is responsible for preparing consolidated financial statements giving
a
true and fair view in accordance with International Financial Reporting Standards
as adopted by the European Union and for implementing the internal control procedures
it deems necessary for the preparation of consolidated financial statements that are
free of material misstatement, whether due to fraud or error.
In preparing the consolidated financial statements, management is responsible for
assessing the Company's ability to continue as a going concern, disclosing, as applicable,
matters related to going concern, and using the going concern basis of accounting,
unless it expects to liquidate the Company or to cease operations. The Audit Committee
is responsible for monitoring the financial reporting process and the effectiveness
of internal control and risk management systems, as well as, where applicable, any
internal audit systems, relating to accounting and financial reporting procedures.
The consolidated financial statements were approved by the Board of Directors
RESPONSIBILITIES
OF THE STATUTORY AUDITORS RELATING TO THE AUDIT OF THE CONSOLIDATED
FINANCIAL STATEMENTS OBJECTIVE AND AUDIT APPROACH
Our role is to issue a report on the consolidated financial statements. Our objective
is to obtain reasonable assurance about whether the consolidated financial statements
as a whole are free of material misstatement. Reasonable assurance is a high level
of assurance, but is not a guarantee that an audit conducted in accordance with professional
standards will always detect a material misstatement when it exists. Misstatements
can arise from fraud or error and are considered material if, individually or in the
aggregate, they could reasonably be expected to influence the economic decisions taken
by users on the basis of these consolidated financial statements.
As specified in Article L.823-10-1 of the French Commercial Code, our audit does
not
include assurance on the viability or quality of the Company's management.
As part of an audit conducted in accordance with professional standards applicable
in France, the Statutory Auditors exercise professional judgement throughout the audit.
They also:
| ― |
identify and assess the risks of material misstatement in the
consolidated financial
statements, whether due to fraud or error, design and perform audit procedures in
response to those risks, and obtain audit evidence considered to be sufficient and
appropriate to provide a basis for their opinion. The risk of not detecting a material
misstatement resulting from fraud is higher than for one resulting from error, as
fraud may involve collusion, forgery, intentional omissions, misrepresentations, or
the override of internal control;
|
| ― |
obtain an understanding of the internal control procedures relevant
to the audit in
order to design audit procedures that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the effectiveness of the internal control;
|
| ― |
evaluate the appropriateness of accounting policies used and
the reasonableness of
accounting estimates made by management and the related disclosures in the notes to
the consolidated financial statements;
|
| ― |
assess the appropriateness of management's use of the going concern
basis of accounting
and, based on the audit evidence obtained, whether a material uncertainty exists related
to events or conditions that may cast significant doubt on the Company's ability to
continue as a going concern. This assessment is based on the audit evidence obtained
up to the date of the audit report.
However, future events or conditions may cause the Company to
cease to continue as
a going concern. If the Statutory Auditors conclude that a material uncertainty exists,
they are required to draw attention in the audit report to the related disclosures
in the consolidated financial statements or, if such disclosures are not provided
or are inadequate, to issue a qualified opinion or a disclaimer of opinion;
|
| ― |
evaluate the overall presentation of the consolidated financial
statements and assess
whether these statements represent the underlying transactions and events in a manner
that achieves fair presentation;
|
| ― |
obtain sufficient appropriate audit evidence regarding the financial
information of
the entities or business activities within the Group to express an opinion on the
consolidated financial statements. The Statutory Auditors are responsible for the
management, supervision and performance of the audit of the consolidated financial
statements and for the opinion expressed thereon.
|
REPORT TO THE
AUDIT COMMITTEE
We submit a report to the Audit Committee which includes, in particular, a description
of the scope of the audit and the audit programme implemented, as well as the results
of our audit. We also report any significant deficiencies in internal control that
we have identified regarding the accounting and financial reporting procedures.
Our report to the Audit Committee includes the risks of material misstatement that,
in our professional judgement, were the most significant for the audit of the consolidated
financial statements and which constitute the key audit matters that we are required
to describe in this report.
We also provide the Audit Committee with the declaration provided for in Article
6
of Regulation (EU) No 537/2014, confirming our independence within the meaning of
the rules applicable in France, as defined in particular in Articles L.822-10 to L.822-14
of the French Commercial Code and in the French Code of Ethics for Statutory Auditors.
Where appropriate, we discuss any risks to our independence and the related safeguard
measures with the Audit Committee.
Neuilly-sur-Seine and Paris-La Défense, 18 March 2020
The
Statutory Auditors
French
original signed by
PricewaterhouseCoopers
Audit
Anik
Chaumartin-Roesch
Laurent
Tavernier
ERNST
& YOUNG and others
Olivier
Durand
Matthieu
Préchoux
7 PARENT-COMPANY
FINANCIAL STATEMENTS AT 31 DECEMBER 2019
Approved by the Board of Directors on 12 February 2020 and submitted for approval
by the Ordinary General meeting of 4 May 2020.
€ 1,329 M
NET INCOME
€ 3,944 M
NET BANKING INCOME
€ 525,082 M
TOTAL BALANCE SHEET
1. CRÉDIT AGRICOLE
CIB (S.A.) FINANCIAL STATEMENTS
1.1 ASSETS
| € million |
Notes |
31.12.2019 |
31.12.2018 |
| Cash money market and interbank items |
|
147,578 |
138,980 |
| Cash due from central banks |
|
54,752 |
42,183 |
| Treasury bills ans similar securities |
4 - 4.2 - 4.3 - 4.4 |
31,300 |
25,772 |
| Loans and receivables to credit institutions |
2 |
61,526 |
71,025 |
| Loans and receivables to customers |
3.1 - 3.2 - 3.3 - 3.4 |
178,388 |
161,986 |
| Portfolio securities |
|
38,893 |
30,077 |
| Bonds and other fixed income securities |
4 - 4.2 - 4.3 - 4.4 |
28,684 |
25,572 |
| Equities and other equity variables income securities |
4 - 4.2 |
10,209 |
4,505 |
| Fixed assets |
|
6,690 |
6,731 |
| Equity investments and other long-term equity investments |
5 - 5.1 - 6 |
251 |
591 |
| Investments in subsidiaries and affiliates |
5 - 5.1 - 6 |
6,125 |
5,846 |
| Intangible assets |
6 |
224 |
192 |
| Property, plant and equipment |
6 |
90 |
102 |
| Leasing and similar operations |
6 |
|
|
| Treasury shares |
|
|
|
| Accruals, prepayments and sundry assets |
|
153,533 |
143,619 |
| Other assets |
7 |
49,159 |
43,177 |
| Accruals and prepayments |
7 |
104,374 |
100,442 |
| Total assets |
|
525,082 |
481,393 |
1.2 LIABILITIES
| € million |
Notes |
31.12.2019 |
31.12.2018 |
| Cash money markets and interbank items |
|
74,970 |
74,687 |
| Due to central banks |
|
1,788 |
873 |
| Due to credit institutions |
9 |
73,182 |
73,814 |
| Due to customers |
10.1 - 10.2 - 10.3 |
176,522 |
167,764 |
| Debts securities |
11.1 - 11.2 |
47,839 |
43,282 |
| Accruals, deferred income and sundry liabilities |
|
198,561 |
170,158 |
| Other liabilities |
12 |
89,835 |
68,953 |
| Accruals and deferred income |
12 |
108,726 |
101,205 |
| Provisions and subordinated debt |
|
12,418 |
11,570 |
| Provisions |
13 |
3,267 |
3,181 |
| Subordinated debt |
14 |
9,151 |
8,389 |
| Fund for general banking risks (FGBR) |
|
|
|
| Equity (excluding FGBR) |
15 |
14,772 |
13,932 |
| Share capital |
|
7,852 |
7,852 |
| Share premium |
|
1,573 |
1,573 |
| Reserves |
|
805 |
788 |
| Revaluation adjustments |
|
|
|
| Regulated provisions and investment subsidies |
|
|
|
| Retained earnings |
|
3,213 |
2,447 |
| Net income for the financial year |
|
1,329 |
1,272 |
| Total equity and liabilities |
|
525,082 |
481,393 |
1.3 OFF-BALANCE
SHEET
| € million |
31.12.2019 |
31.12.2018 |
| Commitments given |
304,244 |
277,708 |
| Financing commitments |
168,173 |
155,132 |
| Commitments to credit institutions |
30,392 |
21,511 |
| Commitments to customers |
137,781 |
133,621 |
| Guarantee commitments 1 |
71,582 |
65,413 |
| Commitments to credit institutions |
23,181 |
20,417 |
| Commitments to customers |
48,401 |
44,996 |
| Commitments on securities 1 |
18,082 |
18,026 |
| Other commitments given 1 |
46,407 |
39,137 |
| Commitments received |
202,956 |
190,182 |
| Financing commitments |
17,014 |
25,571 |
| Commitments to credit institutions |
10,997 |
16,918 |
| Commitments to customers |
6,017 |
8,653 |
| Guarantee commitments |
152,760 |
134,011 |
| Commitments to credit institutions |
6,844 |
7,372 |
| Commitments to customers |
145,916 |
126,639 |
| Commitments on securities 2 |
19,733 |
21,346 |
| Other commitments received |
13,449 |
9,254 |
1
Including €5,676 million in commitments given to Crédit Agricole S.A. at 31.12.2019.
2
Including €39 million in financing commitments received from Crédit Agricole S.A.
at 31.12.2019.
Off-balance sheet
items: Other information
Foreign exchange transactions and amounts payable in foreign currency: Note 18.
Transactions involving forward financial instruments: Notes 19; 19.1; 19.2 and
19.3.
1.4 INCOME STATEMENT
| € million |
Notes |
2019 |
2018 |
| Interest and similar income |
20 - 21 |
8,695 |
7,593 |
| Interest and similar expenses |
20 |
(8,056) |
(6,814) |
| Income from variable-income securities |
21 |
135 |
286 |
| Fee and commission income |
22 - 22.1 |
876 |
925 |
| Fee and commission expenses |
22 - 22.1 |
(480) |
(406) |
| Net gain/(loss) on trading book |
23 |
2,511 |
2,151 |
| Net gain/(loss) on investment portfolios |
24 |
|
12 |
| Other banking income |
|
337 |
134 |
| Other banking expenses |
|
(74) |
(67) |
| Revenues |
|
3,944 |
3,814 |
| Operating expenses |
|
(2,497) |
(2,383) |
| Personnal costs |
25.1 - 25.2 |
(1,458) |
(1,372) |
| Other operating expenses |
25.3 |
(1,039) |
(1,011) |
| Depreciation, amortization and impairement of property,
plant and equipment and intangible
assets
|
|
(61) |
(64) |
| Gross operating income |
|
1,386 |
1,367 |
| Cost of risk |
26 |
(352) |
195 |
| Net operating income |
|
1,034 |
1,562 |
| Net gain/(loss) on fixed assets |
27 |
728 |
20 |
| Pre-tax income on ordinary activities |
|
1,762 |
1,582 |
| Net extraordinary items |
|
|
|
| Income tax charge |
28 |
(433) |
(415) |
| Net allocation to FGBR and regulated provisions |
|
|
105 |
| Net income for the financial year |
|
1,329 |
1,272 |
2. NOTES TO THE
PARENT-COMPANY FINANCIAL STATEMENTS
NOTE 1: ACCOUNTING
POLICIES AND PRINCIPLES
Crédit Agricole CIB prepares its financial statements in accordance with the accounting
principles applicable to banks in France.
The presentation of the financial statements of Crédit Agricole CIB complies with
the provisions of ANC Regulation 2014-07 of 26 November 2014, which, for periods beginning
on or after 1 January 2015, combines in a single regulation all accounting standards
applicable to credit institutions, pursuant to established law.
1.1 Loans and
financing commitments
Loans and receivables granted to credit institutions, Crédit Agricole Group entities
and customers are governed by Articles 2211-1 to 2251-13 (Part 2 "Accounting Treatment
of Credit Risk" of Book II "Special Transactions") of ANC Regulation 2014-07 of 26
November 2014.
They are presented in the financial statements according to their initial term
or
their nature:
| ― |
demand loans and deposits, term loans and time deposits granted
to credit institutions;
|
| ― |
Current accounts, time loans and advances for Crédit Agricole
internal transactions;
|
| ― |
Trade receivables and other loans and receivables granted to
customers.
|
In accordance with regulations, the customers category also includes transactions
with financial customers.
Subordinated loans and repurchase agreements (represented by certificates or securities)
are included under the various categories of loans and receivables according to counterparty
type (interbank, Crédit Agricole, customers).
Receivables are recognised on the balance sheet at their face value.
Pursuant to Article 2131-1 of ANC Regulation 2014-07 of 26 November 2014, fees
received
and marginal transaction costs borne due to the granting or acquisition of a loan
are spread over the effective term of the loan and are thus included in the relevant
outstanding.
Accrued interests are recognised on the balance sheet under the related accounts
receivable
against income statement.
Financing commitments recognised off-balance sheet represent irrevocable commitments
to cash advances and guarantee commitments that have not resulted in fund movements.
Application of ANC regulation 2014-07 of November 26, 2014 leads Crédit Agricole
CIB
to recognise loans and receivables at risk of non-payment pursuant to the rules set
out in the paragraphs below.
External and/or internal rating systems are used to help assess the level of credit
risk.
Loans and financing commitments are broken down between loans and receivables considered
healthy and those considered doubtful.
SOUND LOANS
Unless receivables are classified as doubtful, they are considered performing or
underperforming
and continue to be carried under their original classification.
CREDIT RISK PROVISIONS
ON PERFORMING AND UNDERPERFORMING OUTSTANDING
According to its credit exposure, Crédit Agricole CIB recognises provisions on
the
liability side of its balance sheet to cover the credit risks expected over the forthcoming
twelve months (loans qualified as performing) and/or over the lifetime of the loan
as soon as the credit quality of the loan is significantly degraded (exposure qualified
as underperforming).
These provisions are determined under a specific process of monitoring and are
based
on estimates translating the expected level of credit loss.
♦ The concept
of "ECL" (Expected Credit Loss)
The ECL represents the present value of the difference between the contractual
cash
flows and the expected cash flows (including principal and interest).
The ECL approach aims at anticipating, as much as possible, accounting for expected
credit losses.
♦ Governance and
measurement of ECL
The governance of the mechanism for measuring provisioning parameters is based
on
the organisation put in place as part of the Basel mechanism. The Crédit Agricole
Group Risks Department is responsible for defining the methodological framework and
for the supervision of the mechanism for provisioning exposures.
Crédit Agricole Group prioritises the internal ratings mechanism and the current
Basel
processes in order to generate the parameters necessary for the calculation of ECL.
The assessment of the evolution of the credit risk is based on a model of expected
losses and extrapolation on the basis of reasonable scenarios. All the available,
pertinent, reasonable and justifiable information, including forward looking information,
must be used.
The formula includes the probability of default, loss given default and exposure
at
default parameters.
These calculations are wildely based on the internal models used as part of the
regulatory
framework, but with adjustments to determine an economic ECL.
The accounting approach also requires the recalculation of certain Basel parameters,
in particular to eliminate internal recovery costs or floors that are imposed by the
regulator in the regulatory calculation of loss given default (LGD).
The procedures for calculating the ECL are to be assessed according to the types
of
products: loans and receivables due from customers and financing commitments.
Expected credit losses for the next 12 months are a portion of the expected credit
losses on the lifespan, and they represent cash flow deficiencies for the lifespan
resulting from a default in the 12 months following the reporting date (or a shorter
period if the expected lifespan of the exposure is lower than 12 months), weighted
by the probability of a default.
Expected credit losses are discounted at the effective interest rate determined
at
the initial recognition of the financial instrument.
The provisioning parameters are measured and updated according to the methodologies
defined by the Crédit Agricole Group and thus make it possible to establish an initial
level of reference, or shared base, for provisioning.
Backtesting of models and parameters used is carried out at least on a yearly basis.
Prospective macro-economic data ("Forward looking") are taken into account in a
methodological
framework which is applicable on two levels:
| ― |
At the Crédit Agricole Group level in the determination of a
shared framework for
taking into account forward looking data in the projection of PD and LGD parameters
regarding the amortisation of transactions;
|
| ― |
At the level of each entity with regard to its own portfolios:
Crédit Agricole CIB
applies additional parameters to look forward on portfolios of loans and receivables
due from customers and performing and underperforming financing commitments for which
local economic and/or structural elements expose it to additional losses not covered
by the scenarios defined at the Group level.
|
♦ Significant
deterioration of the credit risk
Crédit Agricole CIB assesses, for each exposure, the deterioration of the credit
risk
from the origin at each date of closure. This assessment of the evolution of the credit
risk leads entities to classify transactions by class of risk. The relative deterioration
must be assessed prior to the occurrence of a confirmed default (doubtful exposure).
In order to assess significant deterioration, the Crédit Agricole Group has a process
based on two levels of analysis:
| ― |
a first level based on relative and absolute rules and criteria
applying to Group
entities;
|
| ― |
a second level specific to Crédit Agricole CIB related to the
assessment, by expert
opinion using additional forward looking parameters for which the local economic and/or
structural elements expose it to additional losses not covered by the scenarios defined
at the Group level, of the risk borne by each entity on its portfolios which may lead
to an adjustment of the Group criteria for downgrading performing exposures to underperforming
exposures (switch portfolio or sub-portfolio to ECL at maturity).
|
Significant deterioration is monitored for every financial instrument without exception.
No contagion is required to transition the exposures of a given counterparty from
performing to underperforming. The monitoring of the significant deterioration must
involve looking at the evolution of the credit risk of the principal debtor without
taking into account the guarantee, including for transactions benefiting from a shareholder
guarantee. Possible losses in respect of portfolios of small loans with similar characteristics
may be estimated on a statistical basis rather than an individual basis.
In order to measure the significant deterioration of the credit risk since the
initial
recognition, it is necessary to recover the internal rating and the PD (probability
of default) upon inception. Inception is understood as the trading date, when Crédit
Agricole CIB becomes party to contractual credit terms. For financing and guarantee
commitments, inception is understood to be the date of irrevocable commitment.
For the scope without any internal rating model, the Crédit Agricole group uses
the
absolute threshold of non-payment beyond 30 days as the ultimate threshold for significant
degradation and classification as underperforming exposure.
For exposures evaluated using an internal rating system (particularly those monitored
with advanced methods), the Crédit Agricole group considers that all of the information
included in this system enables a more appropriate assessment than just the criteria
of non-payment beyond 30 days
If deterioration since the inception ceases to be apparent, the provision may be
reduced
to the expected losses at 12 months (reclassification as performing exposure).
When certain factors or indicators of significant deterioration are not identifiable
at the level of a standalone outstanding exposure , an assessment is made of the significant
deterioration for portfolios, sets of portfolios or portions of portfolios of outstandings.
The constitution of portfolios for a collective assessment of loans' impairment
may
result from common characteristics such as:
| ― |
The type of outstanding;
|
| ― |
The credit risk rating;
|
| ― |
Type of guarantee;
|
| ― |
Date of initial recognition;
|
| ― |
Term left until maturity;
|
| ― |
Sector of activity;
|
| ― |
Geographic location of the borrower;
|
| ― |
The value of the asset allocated as a guarantee in relation to
the financial assets,
if this has an effect on the probability of default (for example, in the case of loans
only guaranteed by real security in certain countries, or on the financing ratio);
|
| ― |
The distribution channel, the object of the financing, etc.
|
The assessment of credit risk of a portfolio of loans on a collective basis may
change
if new information becomes available.
Allocations and reversals of provisions for credit risk on performing and underperforming
exposures are booked as cost of risk.
DOUBTFUL AND IRRECOVERABLE
LOANS
Loans and receivables of all kinds, even those which are guaranteed, are classified
as doubtful if they carry an identified credit risk arising from one of the following
events:
| ― |
the loan or advance is at least three months in arrears;
|
| ― |
the borrower's financial position is such that an identified
risk exists regardless
of whether the loan or advance is in arrears;
|
| ― |
the bank and borrower are in legal proceedings.
|
For overdrafts, the seniority of the overdue amount is calculated as from the date
on which the borrower has exceeded an authorised limit that the bank has brought to
its attention, has been notified that the outstanding overdraft exceeds a limit set
by the bank as part of its internal control procedures, or has drawn sums without
an overdraft authorisation.
Subject to certain conditions, in lieu of the above criteria, the establishment
may
calculate the seniority of the overdue amount from the date on which the bank has
issued a demand for total or partial repayment by the borrower.
Crédit Agricole CIB makes the following distinction between irrecoverable loans
and
doubtful loans:
♦ Doubtful loans
All doubtful loans which do not fall into the irrecoverable loans category are
classified
as doubtful loans.
♦ Irrecoverable
loans
Irrecoverable loans are those for which the prospects of recovery are highly downgraded
and which are likely to be written off.
The classification as a doubtful loan and receivable may be abandoned once the
credit
risk has been definitively lifted and when regular payments have resumed for the amounts
corresponding to the original contractual instalments. In this case, the loan or receivable
is again carried in sound loans and receivables.
IMPAIRMENT RESULTING
FROM CREDIT RISK ON DOUBTFUL OUTSTANDINGS
Once a loan is classified as doubtful, an impairment loss is deducted by Crédit
Agricole
CIB from the asset in an amount equal to the probable loss. These impairment losses
represent the difference between the carrying amount of the receivable and estimated
future cash flows discounted at the initial effective interest rate, taking into account
the borrower's financial condition, its business prospects and any guarantees, after
deduction of the cost of enforcing such guarantees.
Probable losses relating to off-balance sheet commitments are taken into account
through
provisions under liabilities in the balance sheet.
ACCOUNTING TREATMENT
OF IMPAIRMENT LOSSES
Allocations and reversals of impairment for risk of non-collection of doubtful
debt
is recognised in cost of risk.
In accordance with Article 2231-3 of the regulation ANC 201407, the Group has chosen
to recognise as interest margin the increase in the book value related to the reversal
of impairment due to the passage of time.
WRITE-OFFS
Decisions as to when to write off are taken on the basis of expert opinion. Crédit
Agricole CIB determines it in conjunction with its Risk Management department, having
regard to its business knowledge.
Loans and receivables which have become irrecoverable are recorded as losses, and
the corresponding impairments are reversed.
COUNTRY RISKS
Country risks (or risks on international commitments) represent "the total amount
of unimpaired loans, both on and off-balance sheet, carried by an institution directly
or via hive-off vehicles, involving private or public debtors residing in the countries
identified by the French Regulatory and Resolution Supervisory Authority (ACPR), or
where settlement thereof depends on the position of public or private debtors residing
in those countries" (French Banking Commission memo dated 24 December 1998). When
these receivables are not classified as doubtful, they continue to be carried under
their original classification. The amount of "Country Risks" provisions recognised
as a liability in Crédit Agricole CIB balance sheet stands at €255 million at 31 December
2019, against €400 million at 31 December 2018.
RESTRUCTURED LOANS
These are loans granted to counterparties in such financial difficultythat the
credit
institution alters their initial characteristics (term, interest rate, etc.) to allow
the counterparties to honour the repayment schedule.
They can be doubtful or sound at the restructuring date.
Restructured loans do not include loans whose characteristics have been renegotiated
on a commercial basis with counterparties not showing any insolvency problems.
The reduction of future cash flows granted to a counterparty, or the postponing
of
these flows as part of a restructuring, results in the recognition of a discount.
It is equal to the difference between:
| ― |
The nominal value of the loans; and
|
| ― |
The sum of theoretical future cash flows from the restructured
loan, discounted at
the original effective interest rate (defined at the date of the financing commitment).
|
The discount recognised when a loan is restructured is recorded under cost of risk.
Loans restructured due to the debtor's financial position are rated in line with
the
Basel rules and are impaired according to the estimated credit risk. If, after a loan
has returned to a sound status, the debtor again fails to meet the repayment schedule,
the restructured loans and receivables are immediately reclassified as doubtful.
The amount of restructured loans held by Crédit Agricole CIB stands at 5,840 million
euros at 31 December 2019 against 3,502 million euros at 31 December 2018.
1.2 Securities
portfolio
The recognition rules for securities transactions are defined by Articles 2311-1
to
2391-1 (Part 3 "Recognition of Securities Transactions" of Book II "Special Transactions")
and Articles 2211-1 to 2251-13 (Part 2 "Accounting Treatment of Credit Risk" of Book
II "Special Transactions") of ANC Regulation 2014-07 of 26 November 2014 for the determination
of credit risk and the impairment of fixed income securities.
These securities are presented in the financial statements according to their nature:
treasury bills (treasury bonds and similar securities), bonds and other fixed income
securities (negotiable debt securities and interbank market instruments) and equities
and other variable-income securities.
They are classified in the portfolios specified by the regulations (transaction,
investment,
portfolio activity, fixed assets, other securities held for the long term, equity
investments, shares in subsidiaries and affiliates) according to the management intention
of the entity and the characteristics of the instrument at the time of subscription
to the product.
TRADING SECURITIES
These are securities that were originally:
| ― |
Bought with the intention of selling them in the near future,
or sold with the intention
of repurchasing them in the near future;
|
| ― |
Or held by the bank as a result of its market-making activity.
The classification
of these securities as trading securities depends on the effective turnover of the
securities and on a significant trading volume taking into account market opportunities.
|
These securities must be tradable on an active market and resulting market prices
must represent real transactions regularly undertaken in the market on an arm's length
basis.
Trading securities also include:
| ― |
Securities bought or sold as part of specialised management of
the trading portfolio,
including forward financial instruments, securities or other financial instruments
that are managed collectively and on which there is an indication of recent short-term
profit taking;
|
| ― |
Securities on which there is a commitment to sell as part of
an arbitrage transaction
on an organised exchange for financial instruments or similar market.
|
Except as provided in Articles 2381-1 to 2381-5 (Part 3 "Recognition of Securities
Transactions" of Book II "Special Transactions") of ANC Regulation 2014-07 of 26 November
2014, trading securities may not be reclassified into another accounting category.
They continue to be presented and measured as trading securities until they are removed
from the balance sheet after being sold, fully redeemed or written off.
Trading securities are recognised on the date they are purchased for the amount
of
their purchase price, excluding transaction expenses and including accrued interests.
Liabilities relating to securities sold short are recognised on the liabilities
side
of the seller's balance sheet for the amount of the selling price excluding incidental
purchase costs.
At each closing date, securities are measured at the most recent market price.
The
overall amount of differences resulting from price changes is taken to profit and
loss and recorded in "Net gain/(loss) on trading book".
SHORT TERM INVESTMENT
SECURITIES
This category consists of securities that do not fall into any other category.
The securities are recorded at their purchase price, excluding fees.
♦ Bonds and other
fixed income securities
These securities are recognised at acquisition cost including accrued interests
at
acquisition date. The difference between the purchase price and the redemption value
is spread over the remaining life of the security on an actuarial basis.
Income is recorded in the income statement under "Interest and similar income from
bonds and other fixed income securities".
♦ Equities and
other equity variable-income securities
Equities are recognised in the balance sheet at their purchase price excluding
acquisition
fees. The associated dividends are recorded as income under "Income from variable-income
securities".
Revenue from Undertakings for Collective Investment in Transferable Securities
(UCITS)
is recorded at the time of collection in the same section.
At each closing date, short-term investment securities are measured at the lowest
between acquisition cost and market value. If the current value of an item or a homogeneous
set of securities (calculated from market prices at the reporting date, for example)
is lower than its carrying amount, an impairment loss is recorded for the unrealised
loss without being offset against any gains recognised on other categories of securities.
Gains from hedging within the meaning of Article 2514-1 of ANC Regulation 2014-07
of 26 November 2014, in the form of purchases or sales of forward financial instruments,
are factored in for the purposes of calculating impairment losses. Potential gains
are not recorded. Impairment intended to take into account counterparty risk and recognised
under cost of risk is recognised on fixed income securities as follows:
| ― |
In the case of listed securities, impairment is based on market
value, which intrinsically
reflects credit risk. However, if Crédit Agricole CIB has specific information on
the issuer's financial position that is not reflected in the market value, a specific
impairment loss is recorded;
|
| ― |
In the case of unlisted securities, impairment is recorded in
the same way as on loans
and receivables due from customers based on identified probable losses (see Note 2.1
Loans and financing commitments - Impairment resulting from identified credit risk).
|
Sales of securities are deemed to take place on a first-in, first-out basis.
Impairment charges and disposal gains or losses on short-term investment securities
are recorded under "Net gain/(loss) from investment portfolios and similar". Income
from equities and other variable-income securities is recorded on the income statement
under "Income from variable-income securities".
LONG-TERM INVESTMENT
SECURITIES
Long term investment securities are fixed income securities with a fixed maturity
date that have been acquired or transferred to this category with the manifest intention
of holding them until maturity. This category only includes securities for which Crédit
Agricole CIB has the necessary financial ability to continue holding them until maturity
and that are not subject to any legal or other restriction that could interfere with
its intention to hold them until maturity. Long term investment securities are recognised
at their purchase price, excluding acquisition costs and including accrued interest.
The difference between the purchase price and the redemption price is spread over
the remaining life of the security.
Impairment is not recognised for long term investment securities if their market
value
falls below cost. On the other hand, if the impairment arises from a risk relating
specifically to the issuer of the security, impairment is recorded under "Cost of
risk", in accordance with Part 2 "Accounting Treatment of Credit Risk" of Book II
"Special Transactions" of ANC Regulation 2014-07 of 26 November 2014.
In the case of the sale or reclassification to another category of long term investment
securities representing a material amount, the reporting entity is no longer authorised
to classify securities previously bought or to be bought as long term investment securities
during the current financial year and the two subsequent financial years, in accordance
with Article 2341-2 of ANC Regulation 2014-07 of 26 November 2014.
MEDIUM-TERM PORTFOLIO
SECURITIES
In accordance with Articles 2351-2 to 2352-6 (Part 3 "Recognition of Securities
Transactions"
of Book II "Special Transactions") of ANC Regulation 2014-07 of 26 November 2014,
these securities are "investments made on a normal basis, with the sole aim of securing
a capital gain in the medium term, with no intention of investing in the issuer's
business on a long-term basis or taking an active part in its management".
Securities can only be included in this category if the activity is carried out
to
a significant extent and on an ongoing basis within a structured framework and gives
the reporting entity a recurring return mainly in the form of capital gains on disposals.
Crédit Agricole CIB meets these conditions and some of its securities can be classified
in this category.
Medium term portfolio securities are recorded at purchase price, excluding transaction
expenses. They are recognised at the end of the reporting period at the lower of historical
cost or value in use, which is determined on the basis of the issuer's general outlook
and the estimated remaining time horizon for holding the securities.
For listed companies, value in use is generally the average quoted price over a
sufficiently
long period of time, depending on the estimated time horizon for holding the securities,
to mitigate the impact of substantial fluctuations in stock prices.
Impairment losses are booked for any unrealised losses calculated for each line
of
securities, and are not offset against any unrealised gains. Unrealised losses are
recorded under "Net gains or losses on short-term investment portfolios" along with
impairment losses and reversals on these securities.
Unrealised gains are not recognised.
INVESTMENTS IN
SUBSIDIARIES AND AFFILIATES, EQUITY INVESTMENTS AND OTHER SECURITIES
HELD FOR THE LONG-TERM
| ― |
Investments in subsidiaries and affiliates are investments in
companies that are under
exclusive control and that are or are liable to be fully consolidated into a given
group that can be consolidated.
|
| ― |
Equity investments are investments (other than investments in
subsidiaries and affliates),
of which the long term ownership is judged benefcial to the reporting entity, in particular
because it allows it to exercise influence or control over the issuer.
|
| ― |
Other long term equity investments are composed of securities
held with the intention
of promoting long term business relations by creating a special relationship with
the issuer, but with no influence on the issuer's management due to the small percentage
of voting rights held.
|
Investments in subsidiaries and affliates and equity investments are recognised
at
their purchase price, including transaction expenses, in accordance with CRC Regulation
2008-07. Other long-term securities are recognised at purchase price, including transaction
expenses
At the reporting date, the value of these securities is measured individually,
based
on value in use, and they are recorded in the balance sheet at the lowest of their
historical cost or value in use.
Value in use represents the price the reporting entity would be prepared to pay
to
acquire these securities if it had to buy them having regard to its reasons for holding
them.
Value in use may be estimated on the basis of various factors such as the issuer's
proftability and prospective proftability, its equity, the economic environment, the
average share price in the preceding months or the mathematical value of the security.
When value in use is lower than historical cost, impairment losses are booked for
these unrealised gains and are not offset against any unrealised gains.
Impairment losses and reversals and disposal gains or losses on these securities
are
recorded under "Net gains (losses) on fxed assets".
MARKET PRICE
The market price at which the various categories of securities are measured is
determined
as follows:
| ― |
Securities traded on an active market are measured at the latest
price;
|
| ― |
If the market on which the security is traded is not or no longer
considered active
or if the security is unlisted, Crédit Agricole CIB determines the likely value at
which the security concerned would be traded using valuation techniques. Firstly,
these techniques take into account recent transactions carried out in normal competition
conditions. If required, Crédit Agricole CIB uses valuation techniques commonly used
by market participants to price these securities, when it has been demonstrated that
these techniques provide reliable estimates of prices obtained in actual market transactions.
|
RECORDING DATES
Crédit Agricole CIB records securities classifed as long-term investment securities
on the settlement/delivery date. Other securities, regardless of type or classifcation,
are recognised on the trading date.
SECURITIES SOLD/BOUGHT
UNDER REPURCHASE AGREEMENTS
Securities sold under repurchase agreements are kept on the balance sheet. The
amount
received, representing the liability to the buyer, is recorded as a liability. Securities
bought under repurchase agreements are not recorded on the balance sheet, but the
amount paid, representing the receivable from the seller, is recorded as an asset
on the balance sheet.
The corresponding income and expenses are taken to proft and loss on a prorate
basis.
Securities sold under repurchase agreements are subject to the accounting principles
corresponding to the portfolio from which they originate.
SECURITIES LOANED
AND BORROWED
In the accounts of the lender, a receivable is recorded in the balance sheet representing
the market price of the loaned securities on the date of the loan, in place of the
loaned securities. At each closing date, the receivable is measured using the rules
applicable to loaned securities, including the recognition of accrued interests on
short-term and long-term investment securities. In the accounts of the borrower, the
security is recorded as an asset under trading securities at the market price prevailing
on the date the security was borrowed. A liability to the lender is recorded on the
balance sheet under "Liabilities relating to stock lending transactions". At each
closing date, securities are measured at the most recent market price.
RECLASSIFICATION
OF SECURITIES
In accordance with Articles 2381-1 to 2381-5 (Part 3 "Recognition of Securities
Transactions"
of Book II "Special Transactions") of ANC Regulation 2014-07 of 26 November 2014,
the following securities reclassifcations are allowed:
| ― |
From "trading portfolio" to "long term investment portfolio"
or "short-term investment
portfolio" in the case of exceptional market conditions or, for fxed income securities
that are no longer tradable in an active market and if the entity has the intention
and ability to hold the securities for the foreseeable future or until maturity;
|
| ― |
From "short-term investment portfolio" to "long term investment
portfolio" in the
case of exceptional market conditions or for fixed income securities that are no longer
tradable in an active market.
|
In 2019 Crédit Agricole CIB did not make this type of reclassification pursuant
to
regulation ANC 2014-07 of 26 November 2014.
1.3 Fixed assets
Crédit Agricole CIB applies ANC Regulation 2014-03 of 5 June 2014 relating to the
amortisation and impairment of assets.
Crédit Agricole CIB applies component accounting for all of its property, plant
and
equipment. In accordance with this method, the depreciable base takes into account
the potential remaining value of property, plant and equipment.
ANC Regulation 2015-06 changes the way in which technical merger losses are recognised
on the balance sheet and monitored in the financial statements. Losses are no longer
required to be comprehensively and systematically recognised under "Goodwill"; they
must be recognised in the balance sheet depending on asset items to which they are
allocated as "Other property, plant and equipment, intangible assets and financial
assets, etc.". The loss is amortised, impaired and written off in the same way as
the underlying asset.
The acquisition cost of fixed assets includes the purchase price plus any incidental
expenses, namely expenses directly or indirectly incurred in connection with bringing
the asset into service or "into inventory".
Land is recorded at acquisition cost.
Buildings and equipment are recorded at acquisition cost, less accumulated depreciation,
amortisation and impairment losses since the time they were placed in service.
Purchased software is measured at purchase price less accumulated depreciation,
amortisation
and any impairment losses since acquisition.
Proprietary software is measured at cost less accumulated depreciation, amortisation
and impairment losses booked since completion.
Intangible assets other than softwares, patents and licences are not amortised.
They
may be subject to impairment.
Fixed assets are impaired over their estimated useful lives.
The following components and depreciation periods have been adopted by Crédit Agricole
CIB following the application of component accounting for fixed assets. These depreciation
periods are adjusted according to the type of asset and its location:
| Component |
Depreciation period |
| Land |
Not depreciable |
| Structural works |
30 to 80 years |
| Non-structural works |
8 to 40 years |
| Plant and equipment |
5 to 25 years |
| Fixtures and fittings |
5 to 15 years |
| Computer equipment |
4 to 7 years (accelerated or straight-line) |
| Special equipment |
4 to 5 years (accelerated or straight-line) |
Based on available information on the value of its fixed assets, Crédit Agricole
CIB
has concluded that impairment testing would not lead to any change in the existing
depreciable base.
1.4 Amounts due
to customers and credit institutions
Amounts due to credit institutions, to Crédit Agricole entities and to customers
are
presented in the financial statements according to their remaining maturity or their
nature:
| ― |
demand and time deposits for credit institutions;
|
| ― |
current accounts, time loans and advances for Crédit Agricole
internal transactions;
|
| ― |
special savings accounts and other amounts due to customers (notably
including financial
customers).
|
Repurchase agreements (represented by certificates or securities) are included
under
these various headings, according to counterparty type.
Accrued interests on these deposits are recognised in profit and loss under accrued
interests.
1.5 Debt securities
Debt securities are presented according to their form: interestbearing notes, interbank
market instruments, negotiable debt securities, bonds and other debt securities, excluding
subordinated securities, which are classified in liabilities under "Subordinated debt".
Accrued interests but not yet due are recognised in profit and loss under accrued
interests.
Issuance or redemption premiums on bonds are amortised over the maturity period
of
each bond. The corresponding expense is recorded under "Interest and similar expenses
on bonds and other fixed income securities".
Redemption premiums and issuance premiums for debt securities are amortised according
to the actuarial amortisation method. Crédit Agricole CIB also amortises borrowing
expenses in its parent company's financial statements.
1.6 Provisions
Crédit Agricole CIB applies ANC Regulation 2014-03 of 5 June 2014 for the recognition
and measurement of provisions.
Provisions include provisions relating to financing commitments, retirement and
early
retirement liabilities, litigation and various risks.
The provisions also include country risks. All these risks are reviewed quarterly.
Provisions are set aside for country risks following an analysis of the types of
transactions,
the term of commitments, their form (receivables, securities, market products) as
well as country quality.
Crédit Agricole CIB partially hedges provisions on these foreign currency-denominated
receivables by buying foreign currency, to limit the impact of changes in foreign
exchange rates on provision levels.
1.7 Fund for general
banking risk (FGBR)
In accordance with Fourth European Directive and CRBF Regulation 90-02 of 23 February
1990 as amended relating to equity, funds for general banking risks are constituted
by Crédit Agricole CIB, at the discretion of its management, to meet any charges or
risks relating to banking operations but whose incidence is not certain.
Provisions are released to cover any incidence or extinction of these risks during
a given period.
On 31 December 2019, Crédit Agricole CIB no longer had any FGBR.
1.8 Transactions
on forward financial instruments and options
Hedging and market transactions on forward interest rate, foreign exchange or equity
instruments are recorded in accordance with the provisions of Part 5 "Financial Futures"
of Book II "Special Transactions" of ANC Regulation 2014-07 of 26 November 2014. Commitments
relating to these transactions are recorded off-balance sheet at the par value of
the contracts: this amount represents the volume of pending transactions.
Gains or losses relating to these transactions are recorded on the basis of the
nature
of instrument and the strategy used.
HEDGING TRANSACTIONS
Gains or losses realised on hedging transactions (category "b" Article 2522-1 of
ANC
Regulation 2014-07) are recorded in the income statement symmetrically with the recognition
of income and expenses on the hedged item and under the same accounting heading.
Income and expenses relating to forward financial instruments used for hedging
and
managing Crédit Agricole CIB's overall interest rate risk (category "c" Article 2522-1
of ANC Regulation 2014-07) are recorded prorata temporis under "Interest and similar
income (expenses)" Net gains (losses) on macro-hedging transactions". Unrealised gains
and losses are not recorded.
MARKET TRANSACTIONS
Market transactions include:
| ― |
Isolated open positions (category "a" of Article 2522-1 of ANC
Regulation 2014-07)
|
| ― |
The specialised management of a trading portfolio (category "d"
Article 2522 of ANC
Regulation 2014-07)
|
| ― |
Instruments negotiated on an organised, similar market, over
the counter or included
in a trading portfolio - in the sense of the regulation ANC 2014-07.
|
They are measured in reference to their market value on the closing date.
If there is an active market, the instrument is stated at the quoted price on that
market. In the absence of an active market, fair value is determined using internal
valuation techniques and models.
For the instruments:
| ― |
In isolated open positions traded on organised or equivalent
markets, all gains and
losses (realised or unrealised) are recognised;
|
| ― |
In isolated open positions trading on over-the-counter markets,
the expenses and incomes
are recognised in profit and loss on a prorata basis. Furthermore, only potential
unrealised losses are recognised through a provision. Realised gains and losses are
recognised in profit (loss) at the time of settlement;
|
| ― |
Forming part of a transaction portfolio, all gains and losses
(realised or unrealised)
are recognised.
|
INTEREST RATE
AND FOREIGN EXCHANGE TRANSACTIONS (SWAPS, FRAS, CAPS, FLOORS, COLLARS,
SWAPTIONS)
Crédit Agricole CIB uses interest-rate and currency swaps mainly for the following
purposes:
1. to hedge interest rate risks affecting one item or a set of homogeneous items;
2. to hedge and manage the group's overall interest rate risk, except for transactions
described in [1] and [3];
3. to carry out specialist management of a trading portfolio consisting of interest-rate
or currency swaps, other forward interest-rate instruments, debt instruments or similar
financial transaction.
Income and expenses related to transactions mentioned in the above section are
recognised
in the income statement as follows: 1. symmetrically to the recognition of income
and expenses on the hedged item or set of items;
2. on a prorata basis, and unrealised gains and losses are not recognised;
3. at market value, adjusted through an MTM adjustment to take into account counterparty
risks and future administrative expenses related to these contracts.
Market value is determined by discounting future cash flows using the zero coupon
method.
Instruments cannot be reclassified between categories, except for transfers from
category
[2] to category [1] or [3] in the event of an interrupted hedging relationship. Transfers
are recognised at the net book value of the instrument, which is then subject to the
rules of the portfolio to which it is transferred.
Up-front and termination fees regarding interest rate or foreign exchange contracts
are spread over the remaining maturity of the transaction or hedged item, except in
the case of marked-to-market contracts, for which they are taken directly to the income
statement.
COUNTERPARTY RISK
ON DERIVATIVE INSTRUMENTS
In accordance with Article 2525-3 of ANC regulation 2014-07 of 26 November 2014,
Crédit
Agricole CIB includes the counterparty risk evaluation on derivative assets in the
market value of derivatives. For this reason, only derivatives recognised as isolated
open positions and in transaction portfolios (respectively, derivatives classified
according to categories a and d of Article 2522-1 of the aforementioned regulation)
are subject to a calculation of counterparty risk on derivative assets (CVA - Credit
Valuation Adjustment).
The CVA makes it possible to calculate counterparty losses expected by Crédit Agricole
CIB.
The CVA is calculated on the basis of an estimate of expected losses based on the
probability of default and loss given default. The methodology used maximises the
use of observable market inputs.
It is based:
| ― |
primarily on market data such as registered and listed CDS (or
Single Name CDS) or
index-based CDS;
|
| ― |
in the absence of registered CDS on the counterparty, an approximation
based on a
basket of Single Name CDS of counterparties with the same rating operating in the
same sector and located in the same area.
|
In certain circumstances, historical default data may also be used.
VALUATION ADJUSTMENT
RELATED TO THE FINANCING OF DERIVATIVES
The value of non-collateralised or partially collateralised derivative instruments
incorporates a Funding Valuation Adjustment (FVA) that represents costs and benefits
related to the financing of these instruments. This adjustment is measured based on
positive or negative future exposure of transactions for which a cost of financing
is applied.
OTHER INTEREST-RATE
OR EQUITY TRANSACTIONS
Crédit Agricole CIB uses various instruments such as interest rate futures and
equity
derivatives for trading or specific hedging purposes.
Contracts concluded for trading purposes are measured at market value, and the
corresponding
gains or losses are taken to the income statement.
Gains or losses, realised or unrealised, resulting from the mark-to-market measurement
of specific hedging contracts are spread over the maturity life of the hedged instrument.
CREDIT DERIVATIVES
Crédit Agricole CIB uses credit derivatives mainly for trading, in the form of
Credit
Default Swaps (CDS). CDS concluded for trading purposes are measured at market value,
and the corresponding gains or losses are taken to the income statement.
1.9 Foreign currency
transactions
At each closing date, receivables and debts, as well as forward foreign exchange
contracts
shown as off-balance-sheet commitments denominated in foreign currencies, are translated
at the exchange rate in force on the reporting date.
Income received and expenses paid are recognised at exchange rates on the day of
the
transaction. Accrued income and expenses not yet due are translated at the closing
rates.
Assets in foreign currencies held long term, comprising allocations to branches,
fixed
assets, investment securities, subsidiaries' securities and equity investments in
foreign currency financed in euros are translated at the exchange rates on the date
of acquisition (historical). A provision may be recognised if there is a permanent
deterioration in the exchange rate affecting Crédit Agricole CIB's foreign equity
interests.
At each reporting date, forward foreign exchange transactions are measured at the
relevant forward exchange rate. Recognised gains or losses are taken to the income
statement under "Gains or losses on trading book - Gains (losses) on foreign currency
transactions and similar financial instruments".
Pursuant to the implementation of Part 7 "Recognition of Foreign Currency Transactions"
of Book II "Special Transactions" of ANC Regulation 2014-07 of 26 November 2014, Crédit
Agricole CIB has instituted multi-currency accounting to enable it to monitor its
currency position and to measure its exposure to foreign exchange risk.
The overall amount of the operational foreign exchange position of Crédit Agricole
CIB Paris stood at €1.93 billion on 31 December 2019 against €1.45 billion on 31 December
2018.
SPOT AND FORWARD
FOREIGN EXCHANGE CONTRACTS
At each closing date, spot foreign exchange contracts are measured at the spot
exchange
rate of the currency concerned. Forward foreign exchange transactions categorised
as trading transactions are recognised at market value using the forward rate applicable
to the remaining period of the contract. Recorded net gains or losses are recognised
in the income statement under "Net gain/ (loss) from trading portfolios foreign exchange
and similar financial instruments". Net gains and losses on forward foreign exchange
transactions that are categorised as spot exchange transactions in connection with
loans and borrowings, are recognised on a prorate basis over the period of the contracts.
CURRENCY FUTURES
AND OPTIONS
Currency futures and options are used for trading purposes as well as to hedge
specific
transactions. Contracts concluded for trading purposes are measured at market value,
and the corresponding gains or losses are taken to the income statement. Gains or
losses, realised or unrealised, resulting from the mark-to-market valuation of specific
hedging contracts are recognised symmetrically to the hedged transaction.
1.10 Consolidation
of foreign branches
Branches keep separate accounts that comply with the accounting rules in force
in
the countries in which they are based.
At each reporting date, the branches' balance sheets and income statements are
adjusted
according to French accounting rules, converted into euros and integrated with the
accounts of their head office after the elimination of intra-group transactions.
The rules for conversion into euros are as follows:
| ― |
Balance sheet items are translated at the closing rate;
|
| ― |
Income and expenses paid and received are recorded at the exchange
rate on the transaction
date, whereas accrued income and expenses are translated at the average rate of the
period.
|
Gains or losses resulting from this translation are recorded in the balance sheet
under "Accruals, prepayments and sundry assets" or "Accruals, deferred income and
sundry liabilities".
1.11 Off-balance-sheet
commitments
Off-balance sheet items mainly reflect the unused portion of given and received
financing
commitments and guarantee commitments.
An expense is recognised as provisions for given commitments if there is a probability
that calling in the commitment will result in a loss for Crédit Agricole CIB.
Reported off-balance sheet items do not mention commitments on forward financial
instruments
or foreign exchange transactions. Similarly, they do not include received commitments
concerning treasury bonds, similar securities and other securities pledged as collateral.
However, details of these items are provided in Note 18 (Outstanding foreign exchange
transactions) and Note 19 (Transactions in financial futures).
1.12 Employee
profit-sharing and incentive plans
Employee profit-sharing is recognised in the income statement in the financial
year
in which the employees' rights are earned, under "Employee expenses".
1.13 Post-employment
benefits
COMMITMENTS CONCERNING
RETIREMENT, EARLY RETIREMENT AND RETIREMENT BENEFITS -DEFINED
BENEFIT PLANS
Since 1 January 2013, Crédit Agricole CIB has applied ANC recommendation 2013-02
of
7 November 2013 relating to the measurement and recognition of retirement and similar
benefit obligations, such recommendation having then been repealed and incorporated
in section 4 of chapter II of part III of ANC Regulation 2014-03 of 5 June 2014.
In accordance with this regulation, Crédit Agricole CIB sets aside provisions to
cover
its retirement and similar benefit obligations falling within the category of defined-benefit
plans.
These obligations are measured on the basis of actuarial, financial and demographic
assumptions, and in accordance with the projected unit credit method. This method
consists in booking a charge for each period of service, for an amount corresponding
to employee's vested benefits for the period. This charge is calculated based on the
discounted future benefit.
Crédit Agricole CIB elected to immediately recognise the actuarial gains and losses
in profit or loss, and accordingly the amount of the provision is equal to:
| ― |
The present value of the obligation to provide the defined benefits
at the reporting
date, calculated in accordance with the actuarial method advised by the regulation,
|
| ― |
Less, when applicable, the fair value of plan assets. These may
be represented by
an eligible insurance policy. In the event that the obligation is fully covered by
such a policy, the fair value of the policy is deemed to be the value of the corresponding
obligation, i.e. the amount of the corresponding actuarial liability.
|
RETIREMENT PLANS
- DEFINED CONTRIBUTION PLANS
There are various mandatory pension plans to which employers contribute. The funds
are managed by independent organisations and the contributing companies have no legal
or implied obligation to pay additional contributions if the funds do not have sufficient
assets to provide all the benefits corresponding to the services rendered by staff
during the current and previous years.
As a consequence, Crédit Agricole CIB has no liability in this respect other that
the contributions to be paid for the year ended. The amount of contributions under
the terms of these pension schemes is shown under "Employee expenses".
1.14 Subscription
to shares offered to employees as part of the Company Savings Scheme
SUBSCRIPTIONS
TO SHARES AS PART OF THE COMPANY SAVINGS SCHEME
Subscriptions to CASA shares offered to employees under the Company Savings Scheme,
with a maximum discount of 20%, do not include a vesting period but may not be sold
or transferred for 5 years. These subscriptions to shares are recognised in accordance
with provisions relative to equity increases.
1.15 Extraordinary
income and expenses
These comprise income and expenses that are extraordinary in nature and relate
to
transactions that do not form part of Crédit Agricole CIB's ordinary activities.
1.16 Income tax
charge
Generally, only tax that is payable is recognised in the parent company financial
statements.
The tax expense or the tax income appearing in the income statement is the income
tax due pursuant to the financial year, including the impact of the 3.3% additional
social contribution on profits, as well as the tax provisions of the year.
Wholly owned, directly or indirectly, by the Crédit Agricole Group, Crédit Agricole
CIB forms part of the tax consolidation group constituted by the Crédit Agricole Group
and is the head of the Crédit Agricole CIB sub-group constituted with its subsidiary
members of the tax consolidation.
Crédit Agricole CIB has signed a tax consolidation agreement with Crédit Agricole.
Under the terms of the agreement, the deficits generated by all subsidiaries of the
Crédit Agricole CIB sub-Group will be compensated by Crédit Agricole
When tax credits on income from securities portfolios and amounts receivable are
effectively
used to pay income tax due for the year, they are recognised under the same heading
as the income with which they are associated. The corresponding tax charge is kept
under the heading "Income tax charge" in the income statement.
Given that the legislative intent when introducing the tax credit for competitiveness
and employment (Crédit d'Impôt pour la Compétitivité et l'Emploi - CICE) was to reduce
employee expenses, Crédit Agricole CIB has chosen to recognise the CICE (Article 244
quater C of the French General Tax Code) as a reduction in employee expenses rather
than a tax reduction.
NOTE 2: LOANS
AND RECEIVABLES DUE FROM CREDIT INSTITUTIONS - ANALYSIS BY RESIDUAL
MATURITY
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months ≤ 1 year |
>1 year ≤ 5 years |
>5 years |
Total principal |
Accrued interest |
| Loans and receivables: |
|
|
|
|
|
|
| Demand |
2,167 |
|
|
|
2,167 |
1 |
| Time |
6,996 |
3,222 |
1,817 |
3,040 |
15,075 |
96 |
| Pledged securities |
|
|
|
|
|
|
| Securities bought under repurchases agreements |
34,826 |
7,918 |
1,387 |
|
44,131 |
107 |
| Subordinated debt |
|
|
|
332 |
332 |
|
| Total |
43,989 |
11,140 |
3,204 |
3,372 |
61,705 |
204 |
| Impairment |
|
|
|
|
(320) |
(63) |
| Net carrying amount 1 |
|
|
|
|
61,385 |
141 |
|
31.12.2019 |
31.12.2018 |
| € million |
Total |
Total |
| Loans and receivables: |
|
|
| Demand |
2,168 |
2,665 |
| Time |
15,171 |
17,362 |
| Pledged securities |
|
|
| Securities bought under repurchases agreements |
44,238 |
50,906 |
| Subordinated debt |
332 |
482 |
| Total |
61,909 |
71,415 |
| Impairment |
(383) |
(390) |
| Net carrying amount 1 |
61,526 |
71,025 |
(1)
Among related parties, the main counterparty is Crédit Agricole S.A. €5,385 million
at 31.12.2019 and €6,532 million at 31.12.2018.
NOTE 3: LOANS
AND RECEIVABLES DUE FROM CUSTOMERS
3.1 Analysis by
residual maturity
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months ≤ 1 year |
>1 year ≤ 5 years |
>5 years |
Total principal |
Accrued interest |
| Trade receivables |
8,053 |
5,375 |
8,154 |
2,484 |
24,066 |
74 |
| Other customer loans 1 |
18,422 |
11,443 |
43,905 |
16,016 |
89,786 |
474 |
| Securities bought under repurchases agreements |
|
|
|
|
|
|
| Current accounts |
50,789 |
8,955 |
4,824 |
205 |
64,773 |
39 |
| in debit |
968 |
|
|
|
968 |
3 |
| Impairment |
|
|
|
|
(1,544) |
(251) |
| Net carrying amount |
|
|
|
|
178,049 |
339 |
|
31.12.2019 |
31.12.2018 |
| € million |
Total |
Total |
| Trade receivables |
24,140 |
5,783 |
| Other customer loans 1 |
90,260 |
96,682 |
| Securities bought under repurchases agreements |
|
|
| Current accounts |
64,812 |
60,281 |
| in debit |
971 |
831 |
| Impairment |
(1,795) |
(1,591) |
| Net carrying amount |
178,388 |
161,986 |
1
Subordinated loans granted to customers amounted to €624 million at 31.12.2019 compared
to €665 million at 31.12.2018.
3.2 Analysis by
geographic area
| € million |
31.12.2019 |
31.12.2018 |
| France (including overseas departements and territories) |
32,943 |
37,474 |
| Other EU countries |
40,792 |
37,654 |
| Rest of Europe |
6,126 |
5,819 |
| North America |
26,196 |
23,105 |
| Central and South America |
21,429 |
18,530 |
| Africa and Middle-East |
10,360 |
7,553 |
| Asia and Pacific (excl. Japan) |
19,022 |
14,284 |
| Japan |
22,725 |
18,548 |
| Supranational organisations |
|
|
| Total principal |
179 593 |
162 967 |
| Accrued interest |
590 |
610 |
| Impairment |
(1,795) |
(1,591) |
| Net carrying amount |
178,388 |
161,986 |
3.3 Doubtful loans,
bad debts and impairment by geographic area
|
31.12.2019 |
| € million |
Gross outstandings |
O/W doubtful loans and receivables |
O/W bad debts |
Impairment of doubtful loans and
receivables |
Impairments of bad debts |
Coverage %
|
| France (including overseas departements and territories) |
32,943 |
311 |
149 |
(127) |
(146) |
59,35% |
| Other EU countries |
40,792 |
694 |
140 |
(375) |
(114) |
58,63% |
| Rest of Europe |
6,126 |
126 |
7 |
(38) |
(7) |
33,79% |
| North America |
26,196 |
344 |
|
(168) |
|
48,98% |
| Central and South America |
21,429 |
209 |
302 |
(119) |
(219) |
66,14% |
| Africa and Middle-East |
10,360 |
187 |
182 |
(25) |
(167) |
52,03% |
| Asia and Pacific (excl. Japan) |
19,022 |
224 |
1 |
(38) |
(1) |
17,33% |
| Japan |
22,725 |
|
|
|
|
|
| Supranational organisations |
|
|
|
|
|
|
| Accrued interest |
590 |
127 |
124 |
(127) |
(124) |
100,00% |
| Net carrying amount |
180,183 |
2,222 |
905 |
(1,017) |
(778) |
57,40% |
|
31.12.2018 |
| € million |
Gross outstandings |
O/W doubtful loans and receivables |
O/W bad debts |
Impairment of doubtful loans and
receivables |
Impairments of bad debts |
Coverage %
|
| France (including overseas departements and territories) |
37,474 |
20 |
233 |
(8) |
(225) |
92.09% |
| Other EU countries |
37,654 |
509 |
306 |
(228) |
(103) |
40.61% |
| Rest of Europe |
5,819 |
104 |
6 |
(46) |
(6) |
47.27% |
| North America |
23,105 |
114 |
4 |
(25) |
(4) |
24.58% |
| Central and South America |
18,530 |
264 |
281 |
(126) |
(265) |
71.74% |
| Africa and Middle-East |
7,553 |
286 |
183 |
(87) |
(180) |
56.93% |
| Asia and Pacific (excl. Japan) |
14,284 |
238 |
43 |
(36) |
(32) |
24.20% |
| Japan |
18,548 |
|
|
|
|
|
| Supranational organisations |
|
|
|
|
|
|
| Accrued interest |
610 |
42 |
178 |
(42) |
(178) |
100.00% |
| Net carrying amount |
163,577 |
1,577 |
1,234 |
(598) |
(993) |
56.60% |
3.4 Analysis by
customer type
|
31.12.2019 |
| € million |
Gross outstandings |
O/W doubtful loans and receivables |
O/W bad debts |
Impairment of doubtful loans and
receivables |
Impairments of bad debts |
| Individual customers |
444 |
|
|
|
|
| Farmers |
|
|
|
|
|
| Other small businesses |
|
|
|
|
|
| Financial institutions |
59,011 |
372 |
229 |
(206) |
(194) |
| Corporates |
109,722 |
1,687 |
496 |
(683) |
(448) |
| Local authorities |
9,648 |
36 |
56 |
(1) |
(14) |
| Other customers |
768 |
|
|
|
|
| Accrued interest |
590 |
127 |
124 |
(127) |
(124) |
| Carrying amount |
180,183 |
2,222 |
905 |
(1,017) |
(778) |
|
31.12.2018 |
| € million |
Gross outstandings |
O/W doubtful loans and receivables |
O/W bad debts |
Impairment of doubtful loans and
receivables |
Impairments of bad debts |
| Individual customers |
528 |
|
|
|
|
| Farmers |
254 |
12 |
|
(10) |
|
| Other small businesses |
|
|
|
|
|
| Financial institutions |
33,726 |
3 |
320 |
|
(124) |
| Corporates |
121,161 |
1,458 |
722 |
(543) |
(677) |
| Local authorities |
7,298 |
62 |
14 |
(3) |
(14) |
| Other customers |
|
|
|
|
|
| Accrued interest |
610 |
42 |
178 |
(42) |
(178) |
| Carrying amount |
163,577 |
1,577 |
1,234 |
(598) |
(993) |
NOTE 4: TRADING,
SHORT-TERM INVESTMENT, LONG-TERM INVESTMENT AND MEDIUM-TERM PORTFOLIO
SECURITIES
|
31.12.2019 |
31.12.2018 |
| € million |
Trading securities |
Short-term investment securities |
Medium-term portfolio securities |
Long-term investment securities |
Total |
Total |
| Treasury Bills and similar securities |
22,529 |
1,786 |
|
6,946 |
31,261 |
25,748 |
| O/W residual net premium |
|
(9) |
|
|
(9) |
(20) |
| O/W residual net discount |
|
64 |
|
59 |
123 |
138 |
| Accrued interest |
1 |
16 |
|
23 |
40 |
24 |
| Impairment |
|
(1) |
|
|
(1) |
|
| Net carrying amount |
22,530 |
1,801 |
|
6,969 |
31,300 |
25,772 |
| Bonds and other fixed income securities 1 |
|
|
|
|
|
|
| Issued by public bodies |
1,016 |
2,260 |
|
3,393 |
6,669 |
2,310 |
| Other issuers |
8,096 |
4,729 |
|
9,201 |
22,026 |
23,412 |
| O/W residual net premium |
|
(40) |
|
(18) |
(58) |
(56) |
| O/W residual net discount |
|
37 |
|
77 |
114 |
95 |
| Accrued interest |
|
48 |
|
53 |
101 |
92 |
| Impairment |
|
(33) |
|
(79) |
(112) |
(241) |
| Net carrying amount |
9,112 |
7,004 |
|
12,568 |
28,684 |
25,572 |
| Equities and other equity variable-income securities |
9,882 |
357 |
11 |
|
10,250 |
4,551 |
| Accrued interest |
|
|
|
|
|
|
| Impairment |
|
(41) |
|
|
(41) |
(46) |
| Net carrying amount |
9,882 |
316 |
11 |
|
10,209 |
4,505 |
| Total |
41,524 |
9,121 |
11 |
19,537 |
70,193 |
55,849 |
| Estimated value |
41,524 |
9,274 |
20 |
20,288 |
71,106 |
57,078 |
1
Subordinated loans in the portfolio amount to €30 million at 31 December 2019 compared
€43 million at 31 December 2018.
BANKING BOOK
Crédit Agricole CIB (S.A.) owns sovereign debts of Spain. The net positive exposure
amounts to €914 million.
4.1 Reclassification
Crédit Agricole CIB carried out reclassifications of securities on 1 October 2008
as permitted by CRC Regulation 2008-17.
At 31 December 2018, the balance sheet value is nil. The changes over the year
are
detailed below.
CONTRIBUTION TO
INCOME OF TRANSFERRED ASSETS SINCE RECLASSIFICATION
The contribution from assets transferred to net income for the financial year since
the date of reclassification comprises all profits, losses, income and expenses recognised
in the income statement and other comprehensive income or expenses.
|
Pre-tax impact on
2009 earnings since reclassification (Assets reclassified before
2009)
|
|
Cumulative impact
at 31.12.2018 |
2019 Impact |
Cumulative impact
at 31.12.2019 |
| € million |
Recognized income and expenses |
If the asset had been kept in its
original category (change in fair value) |
Recognized income and expenses |
If the asset had been kept in
its original category (change in fair value) |
Recognized income and expenses |
If the asset had been kept in its
original category (change in fair value) |
| From trading to investment securities |
(99) |
(100) |
|
|
(99) |
(100) |
4.2 Breakdown
of listed and unlisted securities between fixed income and variable-income
securities
|
31.12.2019 |
31.12.2018 |
| € million |
Bonds and other fixed income securities |
Treasury bills and similar items |
Equities and other variable income
securities |
Total |
Bonds and other fixed income securities |
Treasury bills and similar items |
| Listed securities |
28,612 |
31,261 |
10,237 |
70,110 |
25,552 |
25,426 |
| Unlisted securities |
83 |
|
13 |
96 |
169 |
322 |
| Accrued interest |
101 |
40 |
|
141 |
92 |
24 |
| Impairment |
(112) |
(1) |
(41) |
(154) |
(241) |
|
| Net carrying amount |
28,684 |
31,300 |
10,209 |
70,193 |
25,572 |
25,772 |
|
31.12.2018 |
| € million |
Equities and other variable income
securities |
Total |
| Listed securities |
4,462 |
55,440 |
| Unlisted securities |
89 |
580 |
| Accrued interest |
|
116 |
| Impairment |
(46) |
(287) |
| Net carrying amount |
4,505 |
55,849 |
4.3 Treasury bills,
bonds and other fixed-income securities - Analysis by residual
maturity
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months ≤ 1 year |
>1 year ≤ 5 years |
>5 years |
Total principal |
Accrued interests |
| Bonds and other fixed income securities |
|
|
|
|
|
|
| Gross amount |
5,838 |
6,197 |
11,064 |
5,596 |
28,695 |
101 |
| Imapirment |
|
|
|
|
|
|
| Net carrying amount |
5,838 |
6,197 |
11,064 |
5,596 |
28,695 |
101 |
| Treasury bills and similar items |
|
|
|
|
|
|
| Gross amount |
13,102 |
4,665 |
4,763 |
8,731 |
31,261 |
40 |
| Imapirment |
|
|
|
|
|
|
| Net carrying amount |
13,102 |
4,665 |
4,763 |
8,731 |
31,261 |
40 |
|
31.12.2019 |
31.12.2018 |
| € million |
Total |
Total |
| Bonds and other fixed income securities |
|
|
| Gross amount |
28,796 |
25,813 |
| Imapirment |
(112) |
(241) |
| Net carrying amount |
28,684 |
25,572 |
| Treasury bills and similar items |
|
|
| Gross amount |
31,301 |
25,772 |
| Imapirment |
(1) |
|
| Net carrying amount |
31,300 |
25,772 |
4.4 Treasury bills,
bonds and other fixed-income securities - Analysis by geographic
area
| € million |
31.12.2019 |
31.12.2018 |
| France (including overseas departements and territories) |
17,966 |
16,204 |
| Other EU countries |
17,808 |
12,978 |
| Other european countries |
1,621 |
2,930 |
| North America |
11,582 |
7,230 |
| Central and South America |
157 |
601 |
| Africa and Middle-East |
327 |
174 |
| Asia and Pacific (excl. Japan) |
5,361 |
5,415 |
| Japan |
3,247 |
4,137 |
| Supranational organisations |
1,887 |
1,800 |
| Total principal |
59,956 |
51,469 |
| Accrued interest |
141 |
116 |
| Impairment |
(113) |
(241) |
| Net carrying amount |
59,984 |
51,344 |
NOTE 5: EQUITY
INVESTMENTS AND SUBSIDIARIES
| Company |
Share capital |
Share capital In million of
original currency units
|
Premiums reserves and retained
earnings before appropriation of earnings In million of original currency units
|
Percentage of share capital owned In
%
|
Carrying amounts of securities
owned € million
|
Loans and receivables outstanding
granted by the Company and not yet paid back In million of original currency units
|
| I - Detailed information on investments whose gross carrying
amount exceeds 1% of
Crédit Agricole cib's share capital
|
|
|
|
|
|
|
| A - Subsidiaries (more than 50% owned by Crédit Agricole
CIB) |
|
|
|
|
|
|
| Banco CA Brasil S.A. |
BRL |
1,453 |
159 |
75 |
330 |
|
| CACIB Algérie s.p.a |
DZD |
10,000 |
239 |
100 |
97 |
|
| CA GLOBAL PARTNERS Inc |
USD |
723 |
67 |
100 |
535 |
|
| CA PRIVATE BANKING |
EUR |
2,650 |
100 |
100 |
2,650 |
CHF 1 582 |
| CACIB (China) Limited |
CNY |
3,199 |
467 |
100 |
555 |
USD 30 |
| CACIB Global Banking |
EUR |
145 |
128 |
100 |
270 |
|
| CASA BV |
JPY |
12,668 |
9,774 |
100 |
201 |
JPY 1 |
| MERISMA SAS |
EUR |
1,150 |
(48) |
100 |
1,150 |
EUR 27 |
| Subtotal (1) |
|
|
|
|
5,788 |
|
| B - Banking affiliates (10 and 50% owned by Crédit Agricole
CIB) |
|
|
|
|
|
|
| Subtotal (2) |
|
|
|
|
|
|
| II - General information relating to other subsidiaries
and affiliates |
|
|
|
|
|
|
| A - Subsidiaries not covered in I. above (3) |
|
|
|
|
329 |
|
| a) French subsidiaries (aggregate) |
|
|
|
|
163 |
|
| b) Foreign subsidiaries (aggregate) |
|
|
|
|
166 |
|
| B - Affiliates not covered in I. above (4) |
|
|
|
|
259 |
|
| a) French affiliates (aggregate) |
|
|
|
|
57 |
|
| b) Foreign affiliates (aggregate) |
|
|
|
|
202 |
|
| Total associates (1) + (2) + (3) + (4) |
|
|
|
|
6,376 |
|
| Company |
Guarantees and other commitments
given by the Company In million of original currency units
|
NBI or revenue (ex VAT) for the
year ended (from audited financial statements of 2017)
In million of original currency units
|
Net income for the year ended In
million of original currency units
|
Dividends received by the Company
during the financial year € million
|
| I - Detailed information on investments whose gross carrying
amount exceeds 1% of
Crédit Agricole cib's share capital
|
|
|
|
|
| A - Subsidiaries (more than 50% owned by Crédit Agricole
CIB) |
|
|
|
|
| Banco CA Brasil S.A. |
USD,28 |
864 |
44 |
8 |
| CACIB Algérie s.p.a |
|
952 |
430 |
7 |
| CA GLOBAL PARTNERS Inc |
|
1 |
1 |
|
| CA PRIVATE BANKING |
|
12 |
10 |
|
| CACIB (China) Limited |
CNY 7 073 EUR 3 USD 3 QAR 15 |
371 |
49 |
|
| CACIB Global Banking |
|
|
(4) |
|
| CASA BV |
|
8,347 |
2,013 |
|
| MERISMA SAS |
|
|
|
|
| Subtotal (1) |
|
|
|
|
| B - Banking affiliates (10 and 50% owned by Crédit Agricole
CIB) |
|
|
|
|
| Subtotal (2) |
|
|
|
|
| II - General information relating to other subsidiaries
and affiliates |
|
|
|
|
| A - Subsidiaries not covered in I. above (3) |
|
|
|
|
| a) French subsidiaries (aggregate) |
|
|
|
|
| b) Foreign subsidiaries (aggregate) |
|
|
|
|
| B - Affiliates not covered in I. above (4) |
|
|
|
|
| a) French affiliates (aggregate) |
|
|
|
|
| b) Foreign affiliates (aggregate) |
|
|
|
|
| Total associates (1) + (2) + (3) + (4) |
|
|
|
|
Note that BANQUE SAUDI FRANSI securities (% detention of 14.91% on 31.12.2018 for
a value of €354 million) were sold of up to 10.91% in 2019. The remaining share, ie
4%, has been subjec to a transfer of category in "investment securities" for a value
of €93 million.
5.1 Estimated
value of equity investments
|
31.12.2019 |
31.12.2018 |
| € million |
Net carrying amount |
Estimated value |
Net carrying amount |
Estimated value |
| Investments in subsidiaries and affiliates |
|
|
|
|
| Unlisted securities |
7,605 |
8,410 |
7,408 |
7,773 |
| Listed securities |
|
|
|
|
| Advances available for consolidation |
|
|
|
|
| Accrued interest |
6 |
|
|
|
| Impairment |
(1,486) |
|
(1,566) |
|
| Net carrying amount |
6,125 |
8,410 |
5,842 |
7,773 |
| Equity investments and other long-term investment securities |
|
|
|
|
| Equity investments |
|
|
|
|
| Unlisted securities |
300 |
161 |
314 |
180 |
| Listed securities |
105 |
649 |
429 |
1,388 |
| Advances available for consolidation |
|
|
|
|
| Accrued interest |
8 |
|
|
|
| Impairment |
(171) |
|
(160) |
|
| Sub-total of equity investments |
242 |
810 |
583 |
1,568 |
| Other long term equity investments |
|
|
|
|
| Unlisted securities |
12 |
11 |
13 |
11 |
| Listed securities |
|
|
|
|
| Advances available for consolidation |
|
|
|
|
| Accrued interest |
|
|
|
|
| Impairment |
(3) |
|
(5) |
|
| Sub-total of long term equity investments |
9 |
11 |
8 |
11 |
| Net carrying amount |
251 |
821 |
591 |
1,579 |
| Total of equity investments |
6,376 |
9,231 |
6,433 |
9,352 |
As regards listed securities, the market value shown in the above table is the
quoted
price of the shares on their trading market at 31 December. It may not be representative
of the realisable value of the securities.
|
31.12.2019 |
31.12.2018 |
| € million |
Net carrying amount |
Net carrying amount |
| Total gross value |
|
|
| Unlisted securities |
7,917 |
7,735 |
| Listed securities |
105 |
429 |
| Total |
8,022 |
8,164 |
NOTE 6: MOVEMENTS
IN FIXED ASSETS
| € million |
31.12.2018 |
Change in scope |
Merger |
Increase (acquisitions) |
Decrease (disposals, maturity) |
Translation difference |
| Equity investments |
|
|
|
|
|
|
| Gross amount |
743 |
(93) |
|
1 |
(261) |
15 |
| Impairment |
(160) |
|
|
(13) |
1 |
|
| Other long-term equity investment |
|
|
|
|
|
|
| Gross amount |
13 |
|
|
|
(1) |
|
| Impairment |
(5) |
|
|
|
2 |
|
| Subtotal |
591 |
(93) |
|
(12) |
(259) |
15 |
| Investments in subsidiaries and affiliates |
|
|
|
|
|
|
| Gross amount |
7,408 |
|
|
246 |
(45) |
(4) |
| Impairment |
(1,566) |
|
|
(10) |
95 |
(1) |
| Advances available for consolidation |
|
|
|
|
|
|
| Gross amount |
|
|
|
|
|
| Impairment |
|
|
|
|
|
|
| Accrued interest |
4 |
|
|
14 |
(4) |
|
| Net carrying amount |
6,437 |
(93) |
|
238 |
(213) |
10 |
| Intangible assets |
192 |
|
|
118 |
(86) |
|
| Gross amount |
718 |
|
|
159 |
(86) |
2 |
| Depreciation |
(526) |
|
|
(41) |
|
(2) |
| Property, plant and equipment |
102 |
|
|
6 |
(17) |
1 |
| Gross amount |
683 |
|
|
28 |
(26) |
6 |
| Depreciation |
(581) |
|
|
(22) |
9 |
(5) |
| Net carrying amount |
294 |
|
|
124 |
(103) |
1 |
| € million |
Other movements |
31.12.2019 |
| Equity investments |
|
|
| Gross amount |
|
405 |
| Impairment |
1 |
(171) |
| Other long-term equity investment |
|
|
| Gross amount |
|
12 |
| Impairment |
|
(3) |
| Subtotal |
1 |
243 |
| Investments in subsidiaries and affiliates |
|
|
| Gross amount |
|
7,605 |
| Impairment |
(4) |
(1,486) |
| Advances available for consolidation |
|
|
| Gross amount |
|
|
| Impairment |
|
|
| Accrued interest |
|
14 |
| Net carrying amount |
(3) |
6,376 |
| Intangible assets |
(0) |
224 |
| Gross amount |
(336) |
457 |
| Depreciation |
336 |
(233) |
| Property, plant and equipment |
(2) |
90 |
| Gross amount |
(233) |
458 |
| Depreciation |
231 |
(368) |
| Net carrying amount |
(2) |
314 |
NOTE 7: ACCRUALS,
PREPAYMENTS AND SUNDRY ASSETS
| € million |
31.12.2019 |
31.12.2018 |
| Other asset 1 |
49,159 |
43,177 |
| Financial options bought |
20,942 |
18,186 |
| Collective management of Livret de Développement Durable
(LDD) saving account securities |
|
|
| Miscellaneous debtors 2 |
27,563 |
23,720 |
| Settlement accounts |
654 |
1,271 |
| Due from shareholders - Unpaid capital |
|
|
| Accruals and prepayments |
104,374 |
100,442 |
| Items in course of transmission |
|
(37) |
| Adjustement accounts |
103,555 |
99,984 |
| Accrued income |
550 |
160 |
| Prepaid expenses |
65 |
59 |
| Unrealised losses and deferred losses on financial instruments |
|
21 |
| Bond issue and redemption premiums |
5 |
|
| Other accrual prepayments and sundry assets |
199 |
255 |
| Net carrying amount |
153,533 |
143,619 |
1
The amounts shown are net of impairment and include accrued interest.
2
Including €132 million for the contribution to the Guarantee and Resolution Fund
paid in the form of a security deposit. This deposit is usable by the Resolution and
Guarantee Fund, at any time and without conditions, to finance an intervention.
NOTE 8: IMPAIRMENT
LOSSES DEDUCTED FROM ASSETS
| € million |
31.12.2018 |
Scope changes |
Mergers |
Depreciation charges |
Reversals and utilisations |
Translation differences |
| Cash, money-market and interbank items |
390 |
|
|
18 |
(32) |
7 |
| Loans and receivables due from customers |
1,591 |
|
|
656 |
(449) |
20 |
| Securities transactions |
287 |
|
|
39 |
(14) |
4 |
| Participating interests and other long-term investments |
1,731 |
|
|
23 |
(98) |
1 |
| Other |
12 |
|
|
4 |
(3) |
3 |
| Total |
4,011 |
|
|
740 |
(596) |
35 |
| € million |
Other movements |
31.12.2019 |
| Cash, money-market and interbank items |
|
383 |
| Loans and receivables due from customers |
(23) |
1,795 |
| Securities transactions |
(162) |
154 |
| Participating interests and other long-term investments |
3 |
1,660 |
| Other |
147 |
163 |
| Total |
(35) |
4,155 |
NOTE 9: DUE TO
CREDIT INSTITUTIONS - ANALYSIS BY RESIDUAL MATURITY
|
31.12.2019 |
| € million |
< 3 months |
>3 months < 1 year |
>1 year < 5 years |
>5 years |
Total principal |
Accrued interest |
| Accounts and overdrafts |
|
|
|
|
|
|
| Demand |
6,454 |
|
|
|
6,454 |
2 |
| Time |
24,924 |
6,614 |
9,786 |
6,053 |
47,377 |
195 |
| Pledged securities |
|
|
|
|
|
|
| Securities sold under repurchase agreements |
16,661 |
1,309 |
1,143 |
|
19,113 |
41 |
| Carrying amount 1 |
|
|
|
|
|
|
|
31.12.2019 |
31.12.2018 |
| € million |
Total |
Total |
| Accounts and overdrafts |
|
|
| Demand |
6,456 |
7,527 |
| Time |
47,572 |
44,835 |
| Pledged securities |
|
|
| Securities sold under repurchase agreements |
19,154 |
21,452 |
| Carrying amount 1 |
73,182 |
73,814 |
1
Including €17,580 million at 31.12.2019 compared to €18,687 million at 31.12.2018
with Crédit Agricole S.A..
NOTE 10: DUE TO
CUSTOMERS
10.1 Analysis
by residual maturity
|
31.12.2019 |
| € million |
< 3 months |
>3 months < 1 year |
>1 year < 5 years |
>5 years |
Total principal |
Accrued interest |
| Current accounts in credit |
34,157 |
|
|
|
34,157 |
15 |
| Other accounts due to customers |
68,054 |
5,921 |
3,530 |
2,637 |
80,142 |
127 |
| Securities sold under repurchase agreements |
61,867 |
|
139 |
3 |
62,009 |
72 |
| Carrying amount |
|
|
|
|
|
|
|
31.12.2019 |
31.12.2018 |
| € million |
Total |
Total |
| Current accounts in credit |
34,172 |
30,098 |
| Other accounts due to customers |
80,269 |
77,869 |
| Securities sold under repurchase agreements |
62,081 |
59,797 |
| Carrying amount |
176,522 |
167,764 |
10.2 Analysis
by geographic area
| € million |
31.12.2019 |
31.12.2018 |
| France (including overseas departements and territories) |
36,668 |
32,748 |
| Other EU countries |
39,047 |
40,479 |
| Rest of Europe |
2,635 |
2,780 |
| North America |
52,084 |
42,744 |
| Central and South America |
13,934 |
18,845 |
| Africa and Middle-East |
6,628 |
3,529 |
| Asia and Pacific (excl. Japan) |
8,174 |
16,547 |
| Japan |
17,134 |
9,533 |
| Supranational organisations |
4 |
350 |
| Total principal |
176,308 |
167,555 |
| Accrued interest |
214 |
209 |
| Carrying amount |
176,522 |
167,764 |
10.3 Analysis
by customer type
| € million |
31.12.2019 |
31.12.2018 |
| Individuals customers |
350 |
282 |
| Farmers |
|
22 |
| Other small businesses |
|
206 |
| Financial institutions |
83,017 |
44,573 |
| Corporates |
71,052 |
104,236 |
| Local authorities |
18,796 |
17,712 |
| Other customers |
3,093 |
524 |
| Total principal |
176,308 |
167,555 |
| Accrued interest |
214 |
209 |
| Carrying amount |
176,522 |
167,764 |
NOTE 11: DEBT
SECURITIES
11.1 Analysis
by residual maturity
|
31.12.2019 |
| € million |
≤ 3 months |
>3 months ≤ 1 year |
>1 year ≤ 5 years |
>5 years |
Total principal |
Accrued interest |
| Interest-bearing notes |
201 |
|
|
|
201 |
|
| Money-market instruments |
|
|
|
|
|
|
| Negotiable debt securities: |
17,784 |
10,473 |
6,713 |
8,458 |
43,428 |
134 |
| Issued in France |
935 |
2,258 |
5,564 |
8,458 |
17,215 |
86 |
| Issued abroad |
16,849 |
8,215 |
1,149 |
|
26,213 |
48 |
| Bonds |
|
|
2,723 |
1,350 |
4,073 |
3 |
| Other debt instruments |
|
|
|
|
|
|
| Carrying amount |
|
|
|
|
47,702 |
137 |
|
31.12.2019 |
31.12.2018 |
| € million |
Total |
Total |
| Interest-bearing notes |
201 |
192 |
| Money-market instruments |
|
|
| Negotiable debt securities: |
43,562 |
40,486 |
| Issued in France |
17,301 |
18,646 |
| Issued abroad |
26,261 |
21,840 |
| Bonds |
4,076 |
2,604 |
| Other debt instruments |
|
|
| Carrying amount |
47,839 |
43,282 |
11.2 Bonds
|
Outstanding schedule
at 31.12.2019 |
Outstanding at 31.12.2019 |
Outstanding at 31.12.2018 |
| € million |
≤ 1 year |
>1 year ≤ 5 years |
>5 years |
|
|
| Euro |
|
2,070 |
1,350 |
3,420 |
1,710 |
| Fixed rate |
|
|
|
|
|
| Variable rate |
|
2,070 |
1,350 |
3,420 |
1,710 |
| Other currencies |
|
653 |
|
653 |
892 |
| Fixed rate |
|
|
|
|
7 |
| Variable rate |
|
653 |
|
653 |
885 |
| Total principal |
|
2,723 |
1,350 |
4,073 |
2,602 |
| Fixed rate |
|
|
|
|
7 |
| Variable rate |
|
2,723 |
1,350 |
4,073 |
2,595 |
| Related payables |
|
2 |
1 |
3 |
2 |
| Accrued interest |
|
|
|
4,076 |
2,604 |
NOTE 12: ACCRUALS,
DEFERRED INCOME AND SUNDRY LIABILITIES
| € million |
31.12.2019 |
31.12.2018 |
| Other liabilities 1 |
89,835 |
68,953 |
| Counterparty transactions (trading securities) |
33,317 |
22,543 |
| Liabilities relating to stock lending transactions |
14,821 |
10,056 |
| Optional instruments sold |
21,052 |
18,371 |
| Miscellaneous creditors |
20,444 |
16,756 |
| Settlement accounts |
201 |
1,202 |
| Payments in process |
|
25 |
| Other |
|
|
| Accruals and deferred income |
108,726 |
101,205 |
| Items in course of transmission |
729 |
302 |
| Adjustment accounts |
105,324 |
98,941 |
| Unearned income |
412 |
434 |
| Accrued expenses |
2,164 |
1,227 |
| Unrealised gains and deferred gains on financial instrument |
|
20 |
| Other accruals prepayments and sundry assets |
97 |
281 |
| Carrying amount |
198,561 |
170,158 |
1
Amounts include accrued interests.
NOTE 13: PROVISIONS
| € million |
31.12.2018 |
Scope changes |
Mergers |
Depreciation charges |
Reversals and utilisations |
Transaction differences |
| Country risks |
400 |
|
|
18 |
(169) |
6 |
| Financing commitment execution risks |
93 |
|
|
334 |
(234) |
5 |
| Employee retirement and similar benefits |
230 |
(2) |
|
45 |
(58) |
|
| Financial instruments |
|
|
|
1 |
|
|
| Litigations and others 1 |
734 |
|
|
210 |
(103) |
3 |
| Other provisions 2 |
1,724 |
(1) |
|
509 |
(483) |
1 |
| Carrying amount |
3,181 |
(3) |
|
1,117 |
(1,047) |
15 |
| € million |
Other mouvements |
31.12.2019 |
| Country risks |
|
255 |
| Financing commitment execution risks |
181 |
379 |
| Employee retirement and similar benefits |
(3) |
212 |
| Financial instruments |
|
1 |
| Litigations and others 1 |
(1) |
843 |
| Other provisions 2 |
(173) |
1,577 |
| Carrying amount |
4 |
3,267 |
1
Of which:
- tax disputes: €489 million
- customer litigation: €346 million
- social litigation: €8 million
2
Including, for Crédit Agricole CIB Paris:
- other risks and expenses: €1,299 million
Crédit Agricole CIB took into account all of the information available at the time
of the closing, including recent positive developments and the residual risks in arbitration
proceedings abroad.
13.1 Tax Audits
CRÉDIT AGRICOLE
CIB PARIS TAX AUDIT
After an audit of accounts covering years 2013, 2014 and 2015, adjustments were
carried
out on Crédit Agricole CIB as part of a proposed adjustment received at the end of
December 2018. Crédit Agricole CIB is challenging the proposed adjustments. A provision
has been recognised to cover the estimated risk.
CRÉDIT AGRICOLE
CIB MILAN AND LONDON TAX AUDIT REGARDING TRANSFER PRICING
Following tax audits, Crédit Agricole CIB Milan received proposals for adjustments
for financial years 2005 to 2014 from the Italian tax authorities in the area of transfer
prices. Crédit Agricole CIB challenged the proposed adjustments. At the same time,
the case has been referred to the competent French-Italian authorities for all years.
A provision was recognised to cover the estimated risk.
13.2 Inquiries
and requests for information from regulators
OFFICE OF FOREIGN
ASSETS CONTROL (OFAC)
In October 2015, Crédit Agricole S.A. and its subsidiary Crédit Agricole Corporate
and Investment Bank (Crédit Agricole CIB) reached agreements with the US and New York
authorities that had been conducting investigations regarding US dollar transactions
with countries subject to US economic sanctions. The events covered by this agreement
took place between 2003 and 2008.
Crédit Agricole CIB and Crédit Agricole S.A., which cooperated with the US and
New
York authorities in connection with their investigations, have agreed to pay a total
penalty amount of $787.3 million (i.e. €692.7 million). The payment of this penalty
has been allocated to the pre-existing reserve that had already been taken and, therefore,
has not affected the accounts for the second half of 2015.
The agreements with the Board of Governors of the Federal Reserve System (Fed)
and
the New-York State Department of Financial Services (NYDFS) are with Crédit Agricole
S.A. and Crédit Agricole CIB. The agreement with the Office of Foreign Assets Control
(OFAC) of the US Department of the Treasury is with Crédit Agricole CIB. Crédit Agricole
CIB also entered into separate deferred prosecution agreements (DPAs) with the United
States Attorney's Office for the District of Columbia (USAO) and the District Attorney
of the County of New York (DANY), the terms of which are three years. On October 19,
2018 the two deferred prosecution agreements with USAO and DANY ended at the end of
the three year period, Crédit Agricole CIB having complied with all its obligations
under the DPAs.
Crédit Agricole continues to strengthen its internal procedures and its compliance
programs regarding laws on international sanctions and will continue to cooperate
fully with the US and New York authorities with its home regulators, the European
Central Bank and the French Regulatory and Resolution Supervisory Authority (ACPR),
and with the other regulators across its worldwide network.
Pursuant to the agreements with NYDFS and the US Federal Reserve, Crédit Agricole's
compliance program is subject to regular reviews to evaluate its effectiveness, including
a review by an independent consultant appointed by NYDFS for a term of one year and
annual reviews by an independent consultant approved by the Federal Reserve.
EURIBOR/LIBOR
AND OTHER INDEXES
Crédit Agricole CIB and its parent company Crédit Agricole S.A. , in their capacity
as contributors to a number of interbank rates, have received requests for information
from a number of authorities as part of investigations into: (i) the calculation of
the Libor (London Interbank Offered Rates) in a number of currencies, the Euribor
(Euro Interbank Offered Rate) and certain other market indices; and (ii) transactions
connected with these rates and indices. These demands covered several periods from
2005 to 2012.
As part of its cooperation with the authorities, Crédit Agricole S.A. and its subsidiary
Crédit Agricole CIB carried out investigations in order to gather the information
requested by the various authorities and in particular the American authorities -
the DOJ (Department of Justice) and CFTC (Commodity Future Trading Commission) - with
which they are in discussions. It is currently not possible to know the outcome of
these discussions, nor the date when they will be concluded.
Furthermore, Crédit Agricole CIB is currently under investigation opened by the
Attorney
General of the State of Florida on both the Libor and the Euribor.
Following its investigation and an unsuccessful settlement procedure, on 21 May
2014,
the European Commission sent a notification of grievances to Crédit Agricole S.A.
and to Crédit Agricole CIB pertaining to agreements or concerted practices for the
purpose and/or effect of preventing, restricting or distorting competition in derivatives
related to the Euribor.
In a decision dated 7 December 2016, the European Commission jointly fined Crédit
Agricole S.A. and Crédit Agricole CIB €114,654,000 for participating in a cartel in
euro interest rate derivatives. Crédit Agricole S.A. and Crédit Agricole CIB are challenging
this decision and have asked the European Court of Justice to overturn it.
Additionally, the Swiss competition authority, COMCO, is conducting an investigation
into the market for interest rate derivatives, including the Euribor, with regard
to Crédit Agricole S.A. and several Swiss and international banks. Moreover, in June
2016 the South Korean competition authority (KFTC) decided to close the investigation
launched in September 2015 into Crédit Agricole CIB and the Libor index on various
currencies, Euribor and Tibor indices. The investigation into certain foreign exchange
derivatives (ABS-NDF) has been closed by the KFTC according to a decision notified
to Crédit Agricole CIB on 20 December 2018. Concerning the two class actions in the
United States of America in which Crédit Agricole S.A. and Crédit Agricole CIB have
been named since 2012 and 2013 along with other financial institutions, both as defendants
in one ("Sullivan" for the Euribor) and only Crédit Agricole S.A. as defendant for
the other ("Lieberman" for Libor), the "Lieberman" class action is at the preliminary
stage that consists in the examination of its admissibility; proceedings are still
suspended before the US District Court of New York State. Concerning the"Sullivan"
class action, Crédit Agricole S.A. and Crédit Agricole CIB introduced a motion to
dismiss the applicants' claim. The US District Court of New York State upheld the
motion to dismiss regarding Crédit Agricole S.A. and Crédit Agricole CIB in first
instance. This decision is subject to appeal.
Since 1 July 2016, Crédit Agricole S.A. and Crédit Agricole CIB, together with
other
banks, are also party to a new class action suit in the United States ("Frontpoint")
relating to the SIBOR (Singapore Interbank Offered Rate) and SOR (Singapore Swap Offer
Rate) indices. After having granted a first motion to dismiss filed by Crédit Agricole
S.A. and Crédit Agricole CIB, the New York Federal District Court, ruling on a new
request by the plaintiffs, excluded Crédit Agricole S.A. from the Frontpoint case
on the grounds that it had not contributed to the relevant indexes. The Court considered,
however, taking into account recent developments in case law, that its jurisdiction
could apply to Crédit Agricole CIB, as well as to all the banks that are members of
the SIBOR index panel. The allegations contained in the complaint regarding the SIBOR/USD
index and the SOR index were also rejected by the court, therefore the index SIBOR/Singapore
dollar alone is still taken into account. On 26 December, the plaintiffs filed a new
complaint aimed at reintroducing into the scope of the Frontpoint case the alleged
manipulations of the SIBOR and SOR indexes that affected the transactions in US dollars.
Crédit Agricole CIB, alongside the other defendants, will oppose the terms of this
new complaint and has also filed a new motion to dismiss to contest the jurisdiction
maintained against it
These class actions are civil actions in which the plaintiffs claim that they are
victims of the methods used to set the Euribor, Libor, SIBOR and SOR rates, and seek
repayment of the sums they allege were unlawfully received, as well as damages and
reimbursement of costs and fees paid.
BANQUE SAUDI FRANSI
Crédit Agricole Corporate Investment Bank (Crédit Agricole CIB) had received in
2018
a request for arbitration submitted by Banque Saudi Fransi (BSF) before the International
Chamber of Commerce (ICC). The dispute related to the performance of a technical services
agreement between BSF and Crédit Agricole CIB that is no longer in force. BSF had
quantified its claim at SAR 1,023,523,357, the equivalent of about € 242 million.
Crédit Agricole CIB and BSF have recently entered into an agreement effectively ending
the ICC arbitration proceedings. This agreement has no significant impact on Crédit
Agricole CIB's Financial Statements.
BONDS SSA
Several regulators have demanded information to Crédit Agricole S.A. and to Crédit
Agricole CIB for inquiries relating to activities of different banks involved in the
secondary trading of Bonds SSA (Supranational, Sub-Sovereign and Agencies) denominated
in American dollars. Through the cooperation with these regulators, Crédit Agricole
CIB proceeded to internal inquiries to gather the required information available.
On 20 December 2018, the European Commission issued a Statement of Objections to a
number of banks including Crédit Agricole S.A. and Crédit Agricole CIB within its
inquiry on a possible infringement of rules of European Competition law in the secondary
trading of Bonds SSA denominated in American dollars. Crédit Agricole S.A. and Crédit
Agricole CIB became aware of these objections and will issue a response.
Crédit Agricole CIB is included with other banks in a putative consolidated class
action before the United States District Court for the Southern District of New York.
That action was dismissed on 29 August 2018 on the basis that the plaintiffs failed
to allege an injury sufficient to give them standing. However the plaintiffs have
been given an opportunity to attempt to remedy that defect. The plaintiffs filed an
amended complaint on 7 November 2018. Crédit Agricole CIB as well as the other defendants
have filed motions to dismiss the amended complaint.
On 7 February 2019, another class action was filed against Crédit Agricole CIB
and
the other defendants named in the class action already pending before the United States
District Court for the Southern District of New York.
On 11 July 2018, Crédit Agricole S.A. and Crédit Agricole CIB were notified with
other
banks of a class action filed in Canada, before the Ontario Superior Court of Justice.
Another class action, not notified to date, would have been filed before the Federal
Court of Canada. It is not possible at this stage to predict the outcome of these
investigations, proceedings or class actions or the date on which they will end.
O'SULLIVAN AND
TAVERA
On November 9, 2017, a group of individuals, (or their families or estates), who
claimed
to have been injured or killed in attacks in Iraq filed a complaint ("O'Sullivan I")
against several banks including Crédit Agricole S.A., and its subsidiary Crédit Agricole
Corporate Investment Bank (Crédit Agricole CIB), in US Federal District Court in New
York.
On December 29, 2018, the same group of individuals, together with 57 new plaintiffs,
filed a separate action ("O'Sullivan II") against the same defendants.
On December 21, 2018, a different group of individuals filed a complaint ("Tavera")
against the same defendants.
All three complaints allege that Crédit Agricole S.A., Crédit Agricole CIB, and
other
defendants conspired with Iran and its agents to violate US sanctions and engage in
transactions with Iranian entities in violation of the US Anti-Terrorism Act and the
Justice Against Sponsors of Terrorism Act. Specifically, the complaints allege that
Crédit Agricole S.A., Crédit Agricole CIB, and other defendants processed US dollar
transactions on behalf of Iran and Iranian entities in violation of sanctions administered
by the US Treasury Department's Office of Foreign Assets Control, which allegedly
enabled Iran to fund terrorist organizations that, as is alleged, attacked plaintiffs.
The plaintiffs are seeking an unspecified amount of compensatory damages.
On 2 March 2018, Crédit Agricole CIB and other defendants filed a motion to dismiss
the O' Sullivan I Complaint.
INTERCONTINENTAL
EXCHANGE, INC. ("ICE")
On January 15, 2019 a class action was filed before a federal court in New-York
(US
District Court Southern District of New-York) against the Intercontinental Exchange,
Inc. ("ICE") and a number of banks including Crédit Agricole S.A., Crédit Agricole
CIB and Crédit Agricole Securities-USA. This action has been filed by plaintiffs who
allege that they have invested in financial instruments indexed to the USD ICE LIBOR.
They accuse the banks of having collusively set the index USD ICE LIBOR at artificially
low levels since February 2014 and made thus illegal profits.
On January 31, 2019 a similar action has been filed before the US District Court
Southern
District of New-York, against a number of banks including Crédit Agricole S.A., Crédit
Agricole CIB and Crédit Agricole Securities-USA. On February 1, 2019, these two class
actions were consolidated for pre-trial purposes.
NOTE 14: SUBORDINATED
DEBT - ANALYSIS BY RESIDUAL MATURITY (IN CURRENCY OF ISSUE)
|
31.12.2019 |
31.12.2018 |
| € million |
≤ 3 months |
>3 months ≤ 1 year |
>1 year ≤ 5 years |
>5 years |
Total |
Total |
| Fixed-term subordinated debt |
|
|
|
3,269 |
3,269 |
2,983 |
| Euro |
|
|
|
1,750 |
1,750 |
1,500 |
| Other EU currencies |
|
|
|
|
|
|
| Dollar |
|
|
|
1,519 |
1,519 |
1,483 |
| Yen |
|
|
|
|
|
|
| Other currencies |
|
|
|
|
|
|
| Undated subordinated debt |
|
|
|
5,787 |
5,787 |
5,320 |
| Euro |
|
|
|
3,130 |
3,130 |
2,830 |
| Other EU currencies |
|
|
|
|
|
|
| Dollar |
|
|
|
2,657 |
2,657 |
2,490 |
| Yen |
|
|
|
|
|
|
| Other currencies |
|
|
|
|
|
|
| Participating securities and loans |
|
|
|
|
|
|
| Total principal |
|
|
|
9,056 |
9,056 |
8,303 |
| Accrued interest |
|
|
|
|
95 |
86 |
| Carrying amount |
|
|
|
|
9,151 |
8,389 |
Expenses relating to subordinated debt amounted to €-443 million at 31.12.2019,
compared
to €-368 million at 31.12.2018.
NOTE 15: CHANGES
IN EQUITY (BEFORE APPROPRIATION)
|
Shareholder's equity |
| € million |
Share capital |
Legal reserves |
Statutory reserves |
Share premiums, reserves and revaluation
adjustments |
Retained earnings |
Regulated provisions |
| Balance at 31 December 2017 |
7,852 |
637 |
|
1,593 |
1,168 |
|
| Dividends paid in respect of 2018 |
|
|
|
|
(1,236) |
|
| Increase/decrease |
|
|
|
|
33 |
|
| 2018 net income |
|
|
|
|
|
|
| Appropriation of 2017 parent company net income |
|
131 |
|
|
2,482 |
|
| Net charges/write-backs |
|
|
|
|
|
|
| Balance at 31 December 2018 |
7,852 |
768 |
|
1,593 |
2,447 |
|
| Dividends paid in respect of 2019 |
|
|
|
|
(489) |
|
| Increase/decrease |
|
|
|
|
|
|
| 2019 net income |
|
|
|
|
|
|
| Appropriation of 2018 parent company net income |
|
17 |
|
|
1,255 |
|
| Net charges/write-backs |
|
|
|
|
|
|
| Balance at 31 December 2019 |
7,852 |
785 |
|
1,593 |
3,213 |
|
|
Shareholder's equity |
| € million |
Net income |
Total equity |
| Balance at 31 December 2017 |
2,613 |
13,863 |
| Dividends paid in respect of 2018 |
|
(1,236) |
| Increase/decrease |
|
33 |
| 2018 net income |
1,272 |
1,272 |
| Appropriation of 2017 parent company net income |
(2,613) |
|
| Net charges/write-backs |
|
|
| Balance at 31 December 2018 |
1,272 |
13,932 |
| Dividends paid in respect of 2019 |
|
(489) |
| Increase/decrease |
|
|
| 2019 net income |
1,329 |
1,329 |
| Appropriation of 2018 parent company net income |
(1,272) |
|
| Net charges/write-backs |
|
|
| Balance at 31 December 2019 |
1,329 |
14,774 |
At 31 December 2018, the share capital comprised 290,801,346 shares with a par
value
of €27 each.
Retained earnings" includes reserves for a global amount to €267,850 under a reversal
of tax commitments by CACIB during the liquidation of its Luxembourg branch in 2019.
NOTE 16: ANALYSIS
OF THE BALANCE SHEET BY CURRENCY
|
31.12.2019 |
31.12.2018 |
| € million |
Assets |
Liabilities |
Assets |
Liabilities |
| Euro |
241,654 |
254,443 |
225,573 |
215,882 |
| Other EU currencies |
21,316 |
28,573 |
18,288 |
33,517 |
| Dollar |
175,598 |
165,787 |
157,526 |
149,212 |
| Yen |
53,598 |
43,735 |
51,104 |
38,104 |
| Other currencies |
32,916 |
32,544 |
28,902 |
44,678 |
| Total |
525,082 |
525,082 |
481,393 |
481,393 |
NOTE 17: TRANSACTIONS
WITH SUBSIDIARIES, AFFILIATES AND EQUITY INVESTMENTS
| € million |
31.12.2019 |
31.12.2018 |
| Loans and receivables |
39,287 |
32,990 |
| Credit and other financial institions |
13,587 |
12,496 |
| Customers |
20,912 |
17,723 |
| Bonds and other fixed income securities |
4,788 |
2,771 |
| Debt |
56,487 |
53,188 |
| Credit and financial institutions |
27,324 |
27,100 |
| Customers |
15,073 |
14,591 |
| Debt securities and subordinated debts |
14,090 |
11,497 |
| Commitments given |
67,260 |
51,986 |
| Financing commitments given to credit institutions |
700 |
591 |
| Financing commitments given to customers |
46,282 |
27,292 |
| Guarantee given to credit and other financial institutions |
8,729 |
8,008 |
| Guarantees given to customers |
3,397 |
3,456 |
| Securities acquired with repurchase options |
599 |
6,265 |
| Other commitments given |
7,553 |
6,374 |
NOTE 18: NON-SETTLED
FOREIGN EXCHANGE TRANSACTIONS AND AMOUNTS PAYABLE IN FOREIGN
CURRENCIES
|
31.12.2019 |
31.12.2018 |
| € million |
To be received |
To be delivered |
To be received |
To be delivered |
| Spot foreign-exchange transactions |
137,887 |
137,855 |
126,034 |
126,052 |
| Foreign currencies |
122,379 |
119,417 |
112,516 |
109,391 |
| Euro |
15,508 |
18,438 |
13,518 |
16,661 |
| Forward currency transactions |
2,096,676 |
2,099,575 |
1,774,176 |
1,777,225 |
| Foreign currencies |
1,650,811 |
1,682,860 |
1,396,438 |
1,410,018 |
| Euro |
445,865 |
416,715 |
377,738 |
367,207 |
| Foreign currency denominated loans and borrowings |
271 |
289 |
418 |
827 |
| Total |
2,234,834 |
2,237,720 |
1,900,628 |
1,904,104 |
NOTE 19: TRANSACTIONS
ON FORWARD FINANCIAL INSTRUMENTS
|
31.12.2019 |
31.12.2018 |
| € million |
Hedging transactions |
Other transactions |
Total(2) |
Hedging transactions |
Other transactions |
Total |
| Futures and forwards |
125,677 |
15,820,344 |
15,946,021 |
118,637 |
13,641,439 |
13,760,076 |
| Exchange-traded 1 |
|
199,032 |
199,032 |
4,034 |
7,233,516 |
7,237,550 |
| Interest-rate futures |
|
187,331 |
187,331 |
|
7,132,802 |
7,132,802 |
| Currency forwards |
|
5,737 |
5,737 |
|
82,572 |
82,572 |
| Equity and stock index instruments |
|
5,136 |
5,136 |
|
2,451 |
2,451 |
| Other futures |
|
828 |
828 |
4,034 |
15,691 |
19,725 |
| Over-the-counter 1 |
125,677 |
15,621,312 |
15,746,989 |
114,603 |
6,407,923 |
6,522,526 |
| Interest rate swaps |
59,686 |
8,438,734 |
8,498,420 |
41,560 |
2,429,697 |
2,471,257 |
| Fx swaps |
65,867 |
4,409,440 |
4,475,307 |
72,903 |
3,931,015 |
4,003,918 |
| FRA |
|
2,697,181 |
2,697,181 |
|
2,061 |
2,061 |
| Equity and stock index instruments |
|
46,118 |
46,118 |
|
38,247 |
38,247 |
| Other futures |
124 |
29,839 |
29,963 |
140 |
6,903 |
7,043 |
| Options |
|
1,998,129 |
1,998,129 |
1,119 |
1,993,659 |
1,994,778 |
| Exchange-traded |
|
229,153 |
229,153 |
|
218,024 |
218,024 |
| Exchange traded interest rate futures |
|
|
|
|
|
|
| Bought |
|
181,574 |
181,574 |
|
183,862 |
183,862 |
| Sold |
|
27,953 |
27,953 |
|
13,089 |
13,089 |
| Equity and stock index instruments |
|
|
|
|
|
|
| Bought |
|
7,471 |
7,471 |
|
7,572 |
7,572 |
| Sold |
|
10,016 |
10,016 |
|
9,456 |
9,456 |
| Currency futures |
|
|
|
|
|
|
| Bought |
|
788 |
788 |
|
1,781 |
1,781 |
| Sold |
|
1,351 |
1,351 |
|
2,264 |
2,264 |
| Other futures |
|
|
|
|
|
|
| Bought |
|
|
|
|
|
|
| Sold |
|
|
|
|
|
|
| Over-the counter |
|
1,768,976 |
1,768,976 |
1,119 |
1,775,635 |
1,776,754 |
| Interest rate swap options |
|
|
|
|
|
|
| Bought |
|
396,417 |
396,417 |
554 |
352,423 |
352,977 |
| Sold |
|
441,933 |
441,933 |
58 |
367,643 |
367,701 |
| Other interest rate forwards |
|
|
|
|
|
|
| Bought |
|
246,124 |
246,124 |
507 |
231,276 |
231,783 |
| Sold |
|
263,171 |
263,171 |
|
233,393 |
233,393 |
| Equity and stock index instruments |
|
|
|
|
|
|
| Bought |
|
1,579 |
1,579 |
|
5,108 |
5,108 |
| Sold |
|
1,416 |
1,416 |
|
4,351 |
4,351 |
| Currency futures |
|
|
|
|
|
|
| Bought |
|
175,318 |
175,318 |
|
257,738 |
257,738 |
| Sold |
|
207,623 |
207,623 |
|
283,283 |
283,283 |
| Other futures |
|
|
|
|
|
|
| Bought |
|
372 |
372 |
|
175 |
175 |
| Sold |
|
560 |
560 |
|
156 |
156 |
| Credit derivative |
|
|
|
|
|
|
| Bought |
|
25,918 |
25,918 |
|
26,943 |
26,943 |
| Sold |
|
8,545 |
8,545 |
|
13,146 |
13,146 |
| Total |
125,677 |
17,818,473 |
17,944,150 |
119,756 |
15,635,098 |
15,754,854 |
1
The amounts stated under futures and forwards correspond to aggregate long and short
positions (interest rate swaps and interest rate swaptions) or to aggregate purchases
and sales of contracts (other contracts).
2
Including €907,769 million with Crédit Agricole S.A. at 31 December 2019.
19.1 Forward financial
instruments - Fair value
|
31.12.2019 |
31.12.2018 |
|
Total fair value |
Notional total |
Total fair value |
Notional total |
| € million |
Assets |
Liabilities |
|
Assets |
Liabilities |
|
| Interest rate instruments |
98,682 |
99,935 |
12,940,105 |
97,980 |
113,137 |
10,988,925 |
| Futures |
|
1 |
187,331 |
530 |
529 |
2,630,775 |
| FRA |
85 |
61 |
2,697,181 |
1,383 |
1,059 |
2,061 |
| Interest rate swaps |
81,162 |
81,044 |
8,498,420 |
79,579 |
94,866 |
6,973,285 |
| Interest rate options |
14,284 |
15,296 |
1,047,878 |
12,893 |
12,581 |
917,628 |
| Caps, floors and collars |
3,151 |
3,533 |
509,295 |
3,595 |
4,102 |
465,176 |
| Foreign currency and gold |
12,309 |
11,784 |
888,209 |
203,711 |
96,792 |
1,019,764 |
| Currency futures |
9,779 |
9,903 |
483,742 |
36,020 |
39,545 |
380,899 |
| Currency options |
2,417 |
1,754 |
385,080 |
3,546 |
2,867 |
545,066 |
| Futures |
113 |
127 |
19,387 |
164,145 |
54,380 |
93,799 |
| Other instruments |
6,345 |
3,737 |
137,921 |
8,806 |
8,143 |
134,374 |
| Equity and index derivatives |
6,101 |
3,022 |
99,584 |
7,723 |
3,565 |
89,447 |
| Precious metal derivatives |
43 |
31 |
3,856 |
40 |
43 |
4,824 |
| Commodity derivatives |
|
|
19 |
|
|
14 |
| Credit derivatives |
201 |
684 |
34,462 |
1,043 |
4,535 |
40,089 |
| Sub-total |
117,336 |
115,456 |
13,966,235 |
310,497 |
218,072 |
12,143,063 |
| Currency futures trading book |
18,138 |
18,465 |
3,977,915 |
364,276 |
390,256 |
3,611,791 |
| Currency futures banking book |
|
|
|
|
|
|
| Sub-total |
18,138 |
18,465 |
3,977,915 |
364,276 |
390,256 |
3,611,791 |
| Total |
135,474 |
133,921 |
17,944,150 |
674,773 |
608,328 |
15,754,854 |
19.2 Forward financial
instruments - Notional outstanding's analysis by residual maturity
| € million |
Over-the-counter |
Exchange-traded |
| Notional amount outstanding |
≤ 1 year |
>1 year ≤ 5 years |
>5 years |
≤ 1 year |
>1 year ≤ 5 years |
>5 years |
| Interest rate instruments |
5,046,668 |
4,293,878 |
3,202,701 |
327,753 |
69,105 |
|
| Futures |
|
|
|
129,962 |
57,369 |
|
| FRA |
2,101,987 |
595,194 |
|
|
|
|
| Interest rate swaps |
2,880,485 |
3,049,781 |
2,568,154 |
|
|
|
| Interest rate options |
229 |
335,016 |
503,106 |
197,791 |
11,736 |
|
| Caps, floors and collars |
63,967 |
313,887 |
131,441 |
|
|
|
| Foreign currency and gold |
619,892 |
216,994 |
43,447 |
7,876 |
|
|
| Currency futures |
326,011 |
137,326 |
20,405 |
|
|
|
| Currency options |
280,349 |
79,550 |
23,042 |
2,139 |
|
|
| Futures |
13,532 |
118 |
|
5,737 |
|
|
| Other instruments |
27,872 |
47,982 |
38,616 |
13,325 |
8,960 |
1,166 |
| Equity and index derivatives |
18,247 |
28,540 |
30,174 |
12,497 |
8,960 |
1,166 |
| Precious metal derivatives |
3,026 |
21 |
|
809 |
|
|
| Commodity derivatives |
|
|
|
19 |
|
|
| Credit derivatives |
6,599 |
19,421 |
8,442 |
|
|
|
| Sub-total |
5,694,432 |
4,558,854 |
3,284,764 |
348,954 |
78,065 |
1,166 |
| Currency futures trading book |
2,733,794 |
793,566 |
450,555 |
|
|
|
| Currency futures banking book |
|
|
|
|
|
|
| Sub-total |
2,733,794 |
793,566 |
450,555 |
|
|
|
| Total |
8,428,226 |
5,352,420 |
3,735,319 |
348,954 |
78,065 |
1,166 |
| € million |
31.12.2019 |
31.12.2018 |
| Notional amount outstanding |
Total |
Total |
| Interest rate instruments |
12,940,105 |
10,988,925 |
| Futures |
187,331 |
2,630,775 |
| FRA |
2,697,181 |
2,061 |
| Interest rate swaps |
8,498,420 |
6,973,285 |
| Interest rate options |
1,047,878 |
917,628 |
| Caps, floors and collars |
509,295 |
465,176 |
| Foreign currency and gold |
888,209 |
1,019,764 |
| Currency futures |
483,742 |
380,899 |
| Currency options |
385,080 |
545,066 |
| Futures |
19,387 |
93,799 |
| Other instruments |
137,921 |
134,374 |
| Equity and index derivatives |
99,584 |
89,447 |
| Precious metal derivatives |
3,856 |
4,824 |
| Commodity derivatives |
19 |
14 |
| Credit derivatives |
34,462 |
40,089 |
| Sub-total |
13,966,235 |
12,143,063 |
| Currency futures trading book |
3,977,915 |
3,611,791 |
| Currency futures banking book |
|
|
| Sub-total |
3,977,915 |
3,611,791 |
| Total |
17,944,150 |
15,754,854 |
19.3 Forward financial
instruments - Counterparty risk
|
31.12.2019 |
31.12.2018 |
| € million |
Market value |
Potential credit risk |
Market value |
Potential credit risk |
| Risks regarding OECD governments, central banks and similar
institutions |
6,759 |
889 |
6,093 |
719 |
| Risks regarding OECD financial institutions and similar |
56,926 |
13,503 |
52,235 |
14,137 |
| Risks on other counterparties |
52,467 |
11,634 |
50,622 |
11,230 |
| Total by counterparty type before netting agreements |
116,152 |
26,026 |
108,950 |
26,086 |
| Risks on: |
|
|
|
|
| - Interest rates, exchange rates and comodities contracts |
110,618 |
25,682 |
104,010 |
25,696 |
| - Equity and index derivatives |
4,423 |
343 |
3,698 |
390 |
| Impact of netting agreements |
86,241 |
4,056 |
84,079 |
6,090 |
| Total after impact of netting agreements |
29,911 |
21,970 |
24,871 |
19,996 |
NOTE 20: NET INTEREST
AND SIMILAR INCOME
| € million |
31.12.2019 |
31.12.2018 |
| Interbank transactions |
3,015 |
2,167 |
| Customer transactions |
4,834 |
4,717 |
| Bonds and other fixed-income securities (see Note 21) |
587 |
399 |
| Debt securities |
236 |
86 |
| Other interest and similar income |
23 |
224 |
| Interest and similar income 1 |
8,695 |
7,593 |
| Interbank transactions |
(3,301) |
(2,830) |
| Customer transactions |
(3,221) |
(2,746) |
| Bonds and other fixed-income securities |
(127) |
(24) |
| Debt securities |
(1,348) |
(1,014) |
| Other interest and similar income |
(59) |
(200) |
| Interest and similar expense 2 |
(8,056) |
(6,814) |
| Net interest and similar income |
639 |
779 |
1
Including income with Crédit Agricole S.A. at 31.12.219: €35 million.
2
Including expenses with Crédit Agricole S.A. at 31.12.2019: €-843 million.
NOTE 21: INCOME
FROM SECURITIES
|
Fixed Income securities |
Variable-income securities |
| € million |
31.12.2019 |
31.12.2018 |
31.12.2019 |
31.12.2018 |
| Investment in subsidiaries and affliliates, equity investments
and other long-term
equity investments
|
|
|
134 |
282 |
| Short term investment securities and medium term portfolio
securities |
249 |
221 |
1 |
4 |
| Long-term investment securities |
338 |
178 |
|
|
| Other securities transactions |
|
|
|
|
| Income from securities |
587 |
399 |
135 |
286 |
NOTE 22: NET COMMISSION
AND FEE INCOME
|
31.12.2019 |
31.12.2018 |
| € million |
Income |
Expense |
Net |
Income |
Expense |
Net |
| Interbank transactions |
41 |
(98) |
(59) |
60 |
(104) |
(44) |
| Customer transactions |
550 |
(49) |
501 |
611 |
(35) |
576 |
| Securities transactions |
18 |
(103) |
(85) |
7 |
(69) |
(62) |
| Foreign exchange transactions |
1 |
(33) |
(32) |
4 |
(35) |
(31) |
| Forward financial instruments and other off-balance sheet
transactions |
157 |
(183) |
(26) |
133 |
(135) |
(2) |
| Financial services (see Note 22.1) |
109 |
(14) |
95 |
110 |
(28) |
82 |
| Total net fee and commission income 1 |
876 |
(480) |
396 |
925 |
(406) |
519 |
(1)
Including net commissions with Crédit Agricole S.A. at 31 December 2019: €22 million.
22.1 Banking and
financial services
| € million |
31.12.2019 |
31.12.2018 |
| Net income from managing mutual funds and securities
on behalf of customers |
54 |
47 |
| Net income from payment instruments |
8 |
5 |
| Other net financial services income (expense) |
33 |
30 |
| Financial services |
95 |
82 |
NOTE 23: GAINS
(LOSSES) ON TRADING BOOKS
| € million |
31.12.2019 |
31.12.2018 |
| Gains (losses) on trading securities |
2,037 |
(297) |
| Gains (losses) on forward financial instruments |
(398) |
898 |
| Gains (losses) on foreign exchange and similar financial
instruments |
872 |
1,550 |
| Net gains (losses) on trading book |
2,511 |
2,151 |
NOTE 24: GAINS
(LOSSES) ON SHORT-TERM INVESTMENT PORTFOLIOS AND SIMILAR
| € million |
31.12.2019 |
31.12.2018 |
| Short term investment securities |
|
|
| Impairment losses |
(14) |
(4) |
| Reversals of impairment losses |
14 |
19 |
| Net losses/reversals |
|
15 |
| Gains on disposals |
|
65 |
| Losses on disposals |
|
(67) |
| Net gains (losses) on disposals |
|
(2) |
| Net gain (losses) on short-term investment securities |
|
13 |
| Medium term portfolio securities |
|
|
| Impairment losses |
|
(1) |
| Reversals of impairment losses |
|
|
| Net losses/reversals |
|
(1) |
| Gains on disposals |
|
|
| Losses on disposals |
|
|
| Net gains (losses) on disposals |
|
|
| Net gain (losses) on medium term investment portfolio
securities |
|
(1) |
| Net gain (losses) on short-term investment portfolios
and similar |
|
12 |
NOTE 25: OPERATING
EXPENSES
25.1 Employee
expenses
| € million |
31.12.2019 |
31.12.2018 |
| Salaries |
(1,050) |
(994) |
| Social security expenses |
(343) |
(314) |
| Incentive plans |
(31) |
(27) |
| Employee profit-sharing |
|
|
| Payroll-related tax |
(41) |
(42) |
| Total employee expenses |
(1,465) |
(1,377) |
| Charge-backs and reclassification of employee expenses |
7 |
5 |
| Net expenses 1 |
(1,458) |
(1,372) |
(1)
Including pension expenses at 31 December 2019: € -70 million.
Including pension expenses at 31 December 2018: € -89 million.
25.2 Average number
of headcount
| In number |
31.12.2019 |
31.12.2018 |
| Managers |
4,247 |
4,212 |
| Non-managers |
244 |
298 |
| Managers and non-managers of foreign branches |
2,919 |
2,860 |
| Total |
7,410 |
7,370 |
| Of which |
|
|
| France |
4,491 |
4,510 |
| Foreign |
2,919 |
2,860 |
25.3 Other administrative
expenses
| € million |
31.12.2019 |
31.12.2018 |
| Taxes other than on income or payroll-related |
(42) |
(64) |
| External services |
(1,100) |
(1,027) |
| Other administrative expenses |
(111) |
(118) |
| Total administrative expenses |
(1,253) |
(1,209) |
| Charge-backs and reclassification of employee expenses |
214 |
198 |
| Total |
(1,039) |
(1,011) |
NOTE 26: COST
OF RISK
| € million |
31.12.2019 |
31.12.2018 |
| Depreciation charges to provisions and impairment |
(1,409) |
(568) |
| Impairment on doubtful loans and receivables |
(637) |
(377) |
| Other depreciation and impairment losses |
(772) |
(191) |
| Reversal of provisions and impairment losses |
1,310 |
1,146 |
| Reverval of impairment losses on doubtful loans and receivables
1 |
456 |
742 |
| Other reversals of provisions and impairment losses 2 |
854 |
404 |
| Change in provisions and impairment |
(99) |
578 |
| Losses on non-impaired bad debts |
(39) |
(12) |
| Losses on impaired bad debts |
(251) |
(448) |
| Recoveries on loans written off |
37 |
77 |
| Cost of risk |
(352) |
195 |
1
Including € 240 million on bad debts and doubtful loans at 31 December 2019.
2
Including € 10 million used to provision risk on the liabilities at 31 December 2019.
NOTE 27: NET GAIN
(LOSSES) ON FIXED ASSETS
| € million |
31.12.2019 |
31.12.2018 |
| Financial investments |
|
|
| Impairment losses |
|
|
| Long-term investment securities |
|
|
| Investments in subsidiaries and affiliates, equity investments
and other long term
equity investments
|
(23) |
(23) |
| Reversals of impairments losses |
|
|
| Long-term investment securities |
|
|
| Investments in subsidiaries and affiliates, equity investments
and other long term
equity investments
|
97 |
58 |
| Net losses/reversals |
74 |
35 |
| Long-term investment securities |
|
|
| Investments in subsidiaries and affiliates, equity investments
and other long term
equity investments
|
74 |
35 |
| Gains on disposals |
|
|
| Long-term investment securities |
|
|
| Investments in subsidiaries and affiliates, equity investments
and other long term
equity investments
|
654 |
4 |
| Losses on disposals |
|
|
| Long-term investment securities |
|
|
| Investments in subsidiaries and affiliates, equity investments
and other long term
equity investments
|
(7) |
(19) |
| Losses on receivables from equity investments |
|
|
| Net gain (losses) on disposals |
647 |
(15) |
| Long-term investment securities |
|
|
| Investments in subsidiaries and affiliates, equity investments
and other long term
equity investments
|
647 |
(15) |
| Net gain (losses) |
721 |
20 |
| Property, plant and equipment and intangible assets |
|
|
| Disposal gains |
8 |
|
| Disposal losses |
(1) |
|
| Net gain (losses) |
7 |
|
| Net gain (losses) on fixed assets |
728 |
20 |
NOTE 28: INCOME
TAX CHARGE
| € million |
31.12.2019 |
31.12.2018 |
| Income tax charge 1 |
(433) |
(415) |
| Other tax |
|
|
| Total |
(433) |
(415) |
1
Crédit Agricole CIB is a member of the Crédit Agricole S.A. tax consolidation group.
The tax agreement between Crédit Agricole CIB and its parent company enables it to
transfer its tax deficits.
As a part of the tax consolidation agreement, a tax income of €71 million to Crédit
Agricole S.A. was recognised at 31 December 2019.
A net depreciation of tax provision of € 77 million, corresponding to Crédit Agricole
S.A. compensated tax loss, but still due, as individuals, by the subsidiaries of the
subgroup towards Crédit Agricole CIB, was also recognised at 31 December 2019.
NOTE 29: OPERATIONS
IN NON-COOPERATIVE STATES OR TERRITORIES
As at 31 December 2018, Crédit Agricole CIB has no direct or indirect presence
in
non-cooperative states or territories within the meaning of Article 238-0 A of the
French General Tax Code.
3. STATUTORY AUDITORS'
REPORT ON THE FINANCIAL STATEMENTS
YEAR ENDED 31
DECEMBER 2019
This is a free translation into English of the Statutory Auditors' report issued
in
French and is provided solely for the convenience of English speaking readers. This
report includes information specifically required by European regulations or French
law, such as information about the appointment of Statutory Auditors. This report
should be read in conjunction with, and construed in accordance with, French law and
professional auditing standards applicable in France.
OPINION
In compliance with the engagement entrusted to us by your General Meeting of Shareholders,
we have audited the accompanying financial statements of Crédit Agricole Corporate
and Investment Bank for the year ended 31 December 2019.
In our opinion, the financial statements give a true and fair view of the assets
and
liabilities and of the financial position of the Company at 31 December 2019 and of
the results of its operations for the year then ended in accordance with French accounting
principles.
The audit opinion expressed above is consistent with our report to the Audit Committee.
BASIS FOR OPINION
Audit framework
We conducted our audit in accordance with professional standards applicable in
France.
We believe that the audit evidence we have obtained is sufficient and appropriate
to provide a basis for our opinion.
Our responsibilities under these standards are further described in the "Responsibilities
of the Statutory Auditors relating to the audit of the financial statements" section
of our report.
Independence
We conducted our audit engagement in compliance with the independence rules applicable
to us, for the period from 1 January 2019 to the date of our report, and, in particular,
we did not provide any non-audit services prohibited by Article 5(1) of Regulation
(EU) No 537/2014 or the French Code of Ethics (Code de déontologie) for Statutory
Auditors.
JUSTIFICATION
OF ASSESSMENTS - KEY AUDIT MATTERS
In accordance with the requirements of Articles L.823-9 and R.823-7 of the French
Commercial Code (Code de commerce) relating to the justification of our assessments,
we inform you of the key audit matters relating to the risks of material misstatement
that, in our professional judgement, were the most significant in our audit of the
financial statements, as well as how we addressed those risks.
These matters were addressed as part of our audit of the financial statements as
a
whole, and therefore contributed to the opinion we formed as expressed above. We do
not provide a separate opinion on specific items of the financial statements
RISK IN RELATION
TO THE MEASUREMENT OF PROVISIONS FOR REGULATORY AND TAX DISPUTES
♦ Risk identified
Crédit Agricole Corporate and Investment Bank is subject to judicial proceedings
or
arbitration and a number of investigations and requests for regulatory information
from different regulators. These concern in particular the Euribor/Libor and SSA Bonds
matters with authorities from various countries (USA, UK, Switzerland) and the European
Union.
A number of tax investigations are also ongoing in France and certain countries
where
the Bank operates.
Deciding whether to recognise a provision and the amount of that provision requires
the use of judgement, given that it is difficult to assess the outcome of disputes
or the uncertainties related to certain tax treatments, particularly as part of certain
structural transactions.
Given the degree of judgement required, the measurement of provisions for regulatory
and tax disputes constitutes a significant risk of material misstatement in the financial
statements, and we therefore deemed such measurement to be a key audit matter.
The various ongoing judicial or arbitration proceedings, investigations and requests
for information (Euribor/ Libor, SSA Bonds and other indices), as well as tax proceedings,
are presented in Note 13 to the financial statements
♦ Our response
We gained an understanding of the procedure implemented by management for measuring
the risks resulting from these disputes and tax uncertainties and, where applicable,
the associated provisions, notably through quarterly exchanges with management and,
in particular, the Bank's Legal, Compliance and Tax departments.
Our work consisted primarily in:
| ― |
examining the assumptions used to determine provisions based
on available information
(documentation prepared by the Legal department or legal counsel of Crédit Agricole
Corporate and Investment Bank, correspondence from regulators and minutes of Legal
Risks Committee meetings);
|
| ― |
gaining an understanding of the analyses or findings of the Bank's
legal counsel and
their responses to our requests for confirmation;
|
| ― |
as regards tax risks in particular, examining, with guidance
from our specialists,
the Bank's responses submitted to the relevant authorities, as well as the risk estimates
carried out by the Bank;
|
| ― |
assessing, accordingly, the level of provisioning at 31 December
2019.
|
Lastly, we examined the related disclosures provided in the notes to the financial
statements.
CREDIT RISK AND
ESTIMATE OF EXPECTED CREDIT LOSSES ON PERFORMING, UNDERPERFORMING
AND NON-PERFORMING LOANS
♦ Risk identified
As part of its corporate and investment banking operations, the Company originates
and structures financing for large corporate clients in France and abroad.
When a loan is non-performing, the probable loss is recognised through impairment,
shown as a deduction from assets. The Company also recognises provisions in liabilities
to cover credit risks that are not individually allocated, such as country risk provisions
or sectoral provisions generally calculated based on IFRS 9 models for estimating
expected credit losses (ECL).
Given the significant judgement required in determining such value adjustments,
we
deemed the estimate of provisions for and impairment of performing loans (collectively
impaired) and non-performing loans (individually impaired) to be a key audit matter,
particularly for financing granted to companies in the maritime and energy sectors,
due to an uncertain economic environment, the complexity of identifying exposures
where there is a risk of non recovery and the degree of judgement needed to estimate
recovery flows.
The financing granted is recorded under loans due from credit institutions and
customer
transactions. Impairment is recognised as a deduction from assets or as a liability
and additions/reversals are recorded under cost of risk.
Probable losses in respect of off-balance sheet commitments are covered by provisions
recognised in liabilities.
See Notes 3.3, 3.4 and 26 to the financial statements.
♦ Our response
We examined the procedures implemented by the Risk Management department to categorise
outstanding loans and measure the amount of recorded ECL in order to assess whether
the estimates used were based on methods correctly documented and described in the
notes to the financial statements.
We tested the key controls implemented by the Bank for the annual portfolio reviews,
the updating of credit ratings, the identification of underperforming or non-performing
loans and the measurement of value adjustments. We also familiarised ourselves with
the main findings of the Bank's specialised committees in charge of monitoring underperforming
and non-performing loans. Regarding collectively measured value adjustments, we:
| ― |
asked experts to assess the methods and measurements for the
various ECL inputs and
calculation models;
|
| ― |
assessed the analyses carried out by management on sectors with
a deteriorated outlook;
|
| ― |
reviewed the methodology used to identify significant increases
in credit risk;
|
| ― |
tested the controls that we deemed to be of key importance in
relation to the transfer
of the data used to calculate ECL or the reconciliations between the bases used to
calculate ECL and the accounting data;
|
| ― |
carried out independent ECL calculations, compared the calculated
amount with the
recognised amount and examined the adjustments made by management where applicable.
|
Regarding individually calculated value adjustments, we:
| ― |
examined the estimates used for Crédit Agricole Corporate and
Investment Bank's impaired
significant counterparties;
|
| ― |
based on a sample of impaired or non-impaired credit files, examined
the factors underlying
the main assumptions used to assess the expected recovery flows, in particular with
regard to valuing collateral.
|
Lastly, we examined the disclosures in relation to credit risk hedging provided
in
the notes to the financial statements.
RISK IN RELATION
TO THE MEASUREMENT OF COMPLEX DERIVATIVE INSTRUMENTS
♦ Risk identified
Crédit Agricole Corporate and Investment Bank originates, sells, structures and
trades
market products, including derivative financial instruments, for companies, financial
institutions and major issuers.
These derivative financial instruments are recognised in accordance with the provisions
of Title 5 "Forward financial instruments" of Book II "Specific transactions" of Regulation
ANC 2014-07 of 26 November 2014.
In particular, transactions entered into for trading purposes are measured at market
value and the corresponding gains and losses are taken to income.
These financial instruments are considered to be complex when their measurement
requires
the use of significant unobservable market inputs.
We deemed the measurement of these complex derivative financial instruments to
be
a key audit matter, as it requires judgement from management, particularly concerning:
| ― |
the determination of valuation inputs that are not observable
on the market;
|
| ― |
the use of internal and non-standard valuation models;
|
| ― |
the estimate of valuation adjustments designed to reflect uncertainties
related to
the models, the inputs used and counterparty and liquidity risks;
|
| ― |
the analysis of any valuation differences with counterparties
noted in connection
with margin calls or the disposal of instruments.
|
Losses on forward financial instrument transactions amounted to €398 million at
31
December 2019.
See Notes 1.8, 19 and 23 to the financial statements.
♦ Our response
We gained an understanding of the processes and controls put in place by Crédit
Agricole
Corporate and Investment Bank to identify, measure and recognise complex derivative
financial instruments.
We examined certain controls that we deemed of key importance, performed notably
by
the Risk Management department, such as the independent verification of measurement
inputs and the internal approval of valuation models. We also examined the system
governing the recognition of valuation adjustments and the accounting categorisation
of financial products.
With the support of our experts in the valuation of financial instruments, we carried
out independent valuations, analysed those performed by the Bank and examined the
assumptions, inputs, methodologies and models used at 31 December 2019. We also assessed
the main valuation adjustments recognised, as well as the justification provided by
management for the main differences observed in margin calls and losses and/or gains
in the event of the disposal of financial products.
SPECIFIC VERIFICATIONS
In accordance with professional standards applicable in France, we have also performed
the specific verifications required by French legal and regulatory provisions.
Information given
in the management report and in the other documents provided to
the shareholders with respect to the Company's financial position and the financial
statements
We have no matters to report as to the fair presentation and the consistency with
the financial statements of the information given in the Board of Directors' management
report and in the other documents provided to the shareholders with respect to the
Company's financial position and the financial statements, with the exception of the
following matter.
Concerning the fair presentation and the consistency with the financial statements
of the disclosures provided in relation to the payment terms referred to in Article
D.441-4 of the French Commercial Code, we have the following matter to report: as
indicated in the management report, the disclosures do not include banking and related
transactions as the Company considers that such disclosures are not within the scope
of disclosures to be provided.
Report on Corporate
Governance
We attest that the Board of Directors' report on corporate governance sets out
the
information required by Article L.225-37-4 of the French Commercial Code.
Other information
In accordance with French law, we have verified that the required information concerning
the purchase of investments and controlling interests has been properly disclosed
in the management report.
REPORT ON OTHER
LEGAL AND REGULATORY REQUIREMENTS
Appointment of
the Statutory Auditors
We were appointed Statutory Auditors of Crédit Agricole Corporate and Investment
Bank
by the General Meetings of Shareholders held on 30 April 2004 for PricewaterhouseCoopers
Audit and on 20 May 1997 for Ernst & Young et Autres.
At 31 December 2019, PricewaterhouseCoopers Audit and Ernst & Young et Autres
were
in the sixteenth and the twenty third consecutive year of their engagement, respectively.
RESPONSIBILITIES
OF MANAGEMENT AND THOSE CHARGED WITH GOVERNANCE FOR THE FINANCIAL
STATEMENTS
Management is responsible for preparing financial statements giving a true and
fair
view in accordance with French accounting principles, and for implementing the internal
control procedures it deems necessary for the preparation of financial statements
that are free of material misstatement, whether due to fraud or error. In preparing
the financial statements, management is responsible for assessing the Company's ability
to continue as a going concern, disclosing, as applicable, matters related to going
concern, and using the going concern basis of accounting, unless it expects to liquidate
the Company or to cease operations.
The Audit Committee is responsible for monitoring the financial reporting process
and the effectiveness of internal control and risk management systems, as well as,
where applicable, any internal audit systems, relating to accounting and financial
reporting procedures.
The financial statements were approved by the Board of Directors.
RESPONSIBILITIES
OF THE STATUTORY AUDITORS RELATING TO THE AUDIT OF THE FINANCIAL
STATEMENTS
Objectives and
audit approach
Our role is to issue a report on the financial statements. Our objective is to
obtain
reasonable assurance about whether the financial statements as a whole are free of
material misstatement. Reasonable assurance is a high level of assurance, but is not
a guarantee that an audit conducted in accordance with professional standards will
always detect a material misstatement when it exists. Misstatements can arise from
fraud or error and are considered material if, individually or in the aggregate, they
could reasonably be expected to influence the economic decisions taken by users on
the basis of these financial statements.
As specified in Article L.823-10-1 of the French Commercial Code, our audit does
not
include assurance on the viability or quality of the Company's management.
As part of an audit conducted in accordance with professional standards applicable
in France, the Statutory Auditors exercise professional judgement throughout the audit.
They also:
| ― |
identify and assess the risks of material misstatement in the
financial statements,
whether due to fraud or error, design and perform audit procedures in response to
those risks, and obtain audit evidence considered to be sufficient and appropriate
to provide a basis for their opinion. The risk of not detecting a material misstatement
resulting from fraud is higher than for one resulting from error, as fraud may involve
collusion, forgery, intentional omissions, misrepresentations, or the override of
internal control;
|
| ― |
obtain an understanding of the internal control procedures relevant
to the audit in
order to design audit procedures that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the effectiveness of the internal control;
|
| ― |
evaluate the appropriateness of accounting policies used and
the reasonableness of
accounting estimates made by management and the related disclosures in the notes to
the financial statements;
|
| ― |
assess the appropriateness of management's use of the going concern
basis of accounting
and, based on the audit evidence obtained, whether a material uncertainty exists related
to events or conditions that may cast significant doubt on the Company's ability to
continue as a going concern. This assessment is based on the audit evidence obtained
up to the date of the audit report. However, future events or conditions may cause
the Company to cease to continue as a going concern. If the Statutory Auditors conclude
that a material uncertainty exists, they are required to draw attention in the audit
report to the related disclosures in the financial statements or, if such disclosures
are not provided or are inadequate, to issue a qualified opinion or a disclaimer of
opinion;
|
| ― |
evaluate the overall presentation of the financial statements
and assess whether these
statements represent the underlying transactions and events in a manner that achieves
fair presentation.
|
Report to the
Audit Committee
We submit a report to the Audit Committee which includes, in particular, a description
of the scope of the audit and the audit programme implemented, as well as the results
of our audit. We also report any significant deficiencies in internal control that
we have identified regarding the accounting and financial reporting procedures.
Our report to the Audit Committee includes the risks of material misstatement that,
in our professional judgement, were the most significant for the audit of the financial
statements and which constitute the key audit matters that we are required to describe
in this report.
We also provide the Audit Committee with the declaration provided for in Article
6
of Regulation (EU) No 537/2014, confirming our independence within the meaning of
the rules applicable in France, as defined in particular in Articles L.822-10 to L.822-14
of the French Commercial Code and in the French Code of Ethics for Statutory Auditors.
Where appropriate, we discuss any risks to our independence and the related safeguard
measures with the Audit Committee.
Neuilly-sur-Seine and Paris-La Defense, 18 March 2020
The
Statutory Auditors
French
original signed by
PricewaterhouseCoopers
Audit
Anik
Chaumartin-Roesch
Laurent
Tavernier
ERNST
& YOUNG et Autres
Olivier
Durand
Matthieu
Préchoux
8 GENERAL INFORMATION
1. ARTICLES OF
ASSOCIATION EFFECTIVE AT DECEMBER, 31 2019
TITLE I
CORPORATE FORM
- REGISTERED NAME -CORPORATE PURPOSE -REGISTERED OFFICE - TERM
ARTICLE 1 - CORPORATE
FORM
The Company is a joint stock company [French Societe Anonyme ] with a Board of
Directors.
It is governed by the laws and regulations that apply to credit institutions and to
French Societes Anonymes and by the present Articles of Association.
ARTICLE 2 - REGISTERED
NAME
The name of the Company is: "Crédit Agricole Corporate and Investment Bank".
ARTICLE 3 - CORPORATE
PURPOSE
The purpose of the Company, in France and abroad, is:
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to enter into any banking transactions and any finance transactions, and more
particularly:
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to receive funds, grant loans, advances, credit, financing, guarantees,
to undertake
collection, payment, recoveries;
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to provide advisory services in financial matters, and especially
in matters of financing,
indebtedness, subscription, issues, investment, acquisitions, transfers, mergers,
restructurings;
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to provide custodial, management, purchasing, sales, exchange,
brokerage and arbitrage
services with respect to all and any stocks, equity rights, financial products, derivatives,
currencies, commodities, precious metals and in general all and any other securities
of all kinds;
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to provide all and any investment services and related services
as defined by the
French Monetary and Financial Code and any subsequent legislation or regulation deriving
therefrom;
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to establish and to participate in any ventures, associations,
corporations, by way
of subscription, purchase of shares or equity rights, merger or in any other way;
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to enter into transactions, either commercial or industrial,
relating to securities
or real estate, directly or indirectly related to any or all of the above purposes
or to any similar or connected purposes;
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the foregoing, both on its own behalf and on behalf of third
parties or as a partner
and in any form whatsoever.
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ARTICLE 4 - REGISTERED
OFFICE
The registered office is at 12, Place des Etats-Unis - CS 70052 -92547 Montrouge
Cedex
(France)
ARTICLE 5 - TERM
The Company's term of existence shall end on 25 November 2064, except in the event
of early dissolution or extension of its life.
TITLE II
REGISTERED CAPITAL
- SHARES
ARTICLE 6 - REGISTERED
CAPITAL
The registered share capital of the Company is set at EUR 7,851,636,342.00 (seven
billion, eight hundred and fifty-one million, six hundred and thirty-six thousand,
three hundred and forty-two euros). The capital is divided into 290,801,346 (two hundred
and ninety million, eight hundred and one thousand, three hundred and forty-six) fully
paid-up shares, each with a nominal value of EUR 27 (twenty-seven euros).
ARTICLE 7 - FORM
OF THE SHARES -ASSIGNMENT AND TRANSFER OF SHARES
7A. FORM OF THE
SHARES
The shares must be registered in a pure nominative account at the issuing company.
7B. ASSIGNMENT
AND TRANSFER OF SHARES
I. The assignment of shares for the benefit of spouses, ascendants and descendants
is subject to no restriction.
The same shall apply to assignments for the benefit of Crédit Agricole S.A. and
of
any company placed under its control, under the terms of article L233-3 I & II
of
the French Commercial Code.
II. Except for cases mentioned under (I.) above, no private individual or legal
entity
(hereinafter the "Assignee") may become a shareholder of the Company or the holder
of a right stripped from any share or any right derived therefrom in any manner whatsoever
(hereinafter the "Assignment") if that person or entity has not been previously approved
by the Chairman of the Board of Directors under the conditions set forth hereinbelow:
1°. The application for approval of the assignee shall be notified to the Company
by extrajudicial instrument or by registered mail, return receipt requested, indicating
the last name, first names and address of the assignee, the number of shares of which
the assignment is envisaged, the price offered and the terms of sale. Approval shall
be constituted either by notification thereof, or by the absence of such notification
within a period of three months as from the date of the application.
The decision to approve shall be taken by the Chairman. No reasons need be given
for
that decision and in the event of a rejection this shall under no circumstances be
justification for any claim.
The assignor shall be informed of the decision within fifteen days of receipt of
the
notification by registered mail, return receipt requested.
In the event of a rejection, the assignor shall have ten days from the date of
receipt
and in accordance with same procedure as above, to make it known whether or not he
wishes to abandon the proposed assignment.
2°. If the assignor does not abandon the proposed assignment, the Chairman shall
be
bound, within a maximum period of three months from the date of notification of the
rejection, to arrange for the acquisition of the shares either by existing shareholders
or by third parties, or, with the consent of the assignor, by the Company with a view
to reducing its share capital.
To that end, the Chairman shall inform the shareholders of the proposed assignment
by registered mail, return receipt requested, inviting each to indicate the number
of shares he wishes to acquire.
Offers to purchase shares shall be sent by shareholders to the Chairman by registered
mail, return receipt requested, within ten days of the date of receipt of the notification.
The allocation of the shares proposed for sale between the shareholders wishing to
purchase them shall be determined by the Chairman in proportion to their respective
holdings in the total share capital and up to the limit of their applications.
3°. If no application to purchase shares is sent to the Chairman within the above
time limit or if the requests do not cover the total number of the shares, the Chairman
may arrange for the available shares to be purchased by third parties.
4°. With the agreement of the assignor, the shares may also be purchased by the
Company.
The Chairman shall seek such agreement by registered mail, return receipt requested,
to which the assignor must respond within ten days of receipt.
If this agreement is given, the Board of Directors shall, upon proposal by the
Chairman,
call an Extraordinary General Meeting of shareholders for the purpose of deciding
upon the redemption of the shares by the Company and the corresponding reduction in
share capital. The Notice of Meeting must be sent out sufficiently early to ensure
that the three-month time limit is observed as stipulated below.
In all the cases of purchase or redemption described above, the price for the shares
shall be set as indicated at point 6° below.
5°. If all the shares have not been purchased or redeemed within a period of three
months from the date of the notification of rejection, the assignor may complete the
sale to the initial assignee for the totality of the shares to be assigned, notwithstanding
the offers of partial purchase that may have been made.
The three months period may be extended by a court injunction issued in summary
proceedings
by the President of the Commercial Court, and not subject to appeal, at the behest
of the Company, with the assigning shareholder and the assignee being duly called
to attend the hearing.
6°. In the event that the shares on offer are acquired by shareholders or third
parties,
the Chairman shall notify to the assignor the last name, first names and address of
the purchaser(s).
Failing an agreement between the parties, the price for the shares shall be determined
under the conditions set forth in Article 1843-4 of the French Code of Civil Law.
The cost of the expert valuation shall be borne equally by vendor and purchaser.
7°. Within eight days of the date of determination of the price, notification shall
be sent to the assignor by registered mail, return receipt requested, indicating that
he must, within fifteen days of the receipt of that notification, make it known whether
he wishes to abandon the proposed assignment or, if not, attend the registered office
to receive payment of the price, which shall not bear interest, and to sign the share
transfer form. Failing attendance by the assignor within the above-mentioned time
limit of fifteen days, or failing notification to the Company within that time limit
of his intention to abandon the assignment, the assignment to the purchaser or purchasers
shall be formalised on the instructions of the Chairman of the Board of Directors
or a specifically authorised person, with effect from the date of the formalisation
of said assignment.
8°. The provisions of the present article shall apply generally to all and any
manner
of transfer of ownership, whether free of charge or not, by private deed or in any
other manner, even where the assignment is effected by public auction under a court
order or following a private decision, and whether such assignment is voluntary or
enforced. They shall apply in particular to contributions to corporate capital, partial
contributions of assets, mergers, spin-offs (scissions) and general transfers of property.
9°. The approval provisions contained in the present Article shall also apply to the
assignment of rights of allocation of shares in the event of an increase in share
capital by means of an incorporation of reserve funds, profits or issue premiums.
They shall further apply in the event of the assignment of share subscription rights
associated with an increase in capital in cash or individual relinquishment of subscription
rights in favour of designated beneficiaries.
In either of these cases, the approval and the conditions governing the redemption
of shares stipulated in the present article shall apply to all shares subscribed,
and the time allowed to the Chairman for the notification to third party subscribers
of their acceptance or rejection as shareholders shall be three months as from the
date of final completion of the increase in share capital. Where the shares are redeemed,
the price shall be equal to the value of the new shares as determined under the conditions
set forth in Article 1843-4 of the Code of Civil Law.
10°. In the event of allocation of shares following the distribution of the assets
of a company holding those shares, allocations to persons who are not already shareholders
of the Company shall be subject to the approval procedure described herein.
Consequently, any proposal to allocate shares to persons other than existing shareholders
shall give rise to an application for approval by the liquidator of the company under
the provisions of paragraph 1° hereinabove.
Failing notification to the liquidator of the Chairman's decision within three
months
of the date of the application for approval, such application shall be deemed approved.
In the event of a refusal to approve certain proposed recipients of allocations,
the
liquidator may, within thirty days of the notification of such refusal, amend the
allocations in order to submit only those recipients who are approved.
If all the proposed recipients are rejected, or if the liquidator has not amended
his proposed distribution within the above-mentioned time limit, the shares allocated
to the non-approved shareholders must be purchased or redeemed from the company in
liquidation under the conditions set forth in paragraphs 2 to 4 above. Failing such
purchase or redemption of the totality of the shares covered by the rejection, within
the time limit stipulated at point 5° above, the distribution may be completed in
accordance with the proposal submitted.
III. Transfer of ownership of shares through inheritance or related to the liquidation
of a common property between spouses is subject to no restriction.
ARTICLE 8 - RIGHTS
AND OBLIGATIONS ATTACHED TO SHARES
Each share confers, in the ownership of the Company's assets, the distribution
of
profits and the liquidation bonus, a right proportional to the number of existing
shares, taking into account, where applicable, redeemed and non-redeemed, fully paid-up
and partly paid-up capital, the nominal amount of the shares and the rights of other
classes of shares.
All present and future shares in the capital shall invariably be treated equally
with
regard to tax liability. Consequently, all duties and taxes which, for whatever reason,
may become payable solely in respect of certain shares further to their redemption,
whether during the life of the Company or upon its liquidation, shall be spread over
all the shares making up the capital at the time of such redemption, in a manner such
that all the present or future shares shall confer upon their owners, taking account
where applicable of their nominal and non-redeemed amount and of the rights of shares
of other classes, the same actual advantages and right to receive the same net amount.
On each occasion that it may be necessary to hold more than one share in order
to
exercise any right, the ownership of a single share or of shares in a number less
than that required shall confer no right with respect to the Company, it being the
responsibility of the shareholders to arrange personally for the grouping and, where
applicable, for the purchase or sale of the necessary number of shares.
TITLE III
MANAGEMENT OF
THE COMPANY
ARTICLE 9 - MEMBERSHIP
OF THE BOARD OF DIRECTORS
The Company shall be managed by a Board of Directors with between six and twenty
members.
At least six Directors shall be appointed by General Meetings of shareholders in accordance
with the provisions of Article L. 225-18 of the French Commercial Code or any subsequent
provision deriving therefrom, and two shall be elected by the salaried employees in
accordance with the provisions of Articles L. 225-27 to L. 225-34 of the French Commercial
Code or any subsequent provisions deriving therefrom.
The following persons may also attend Board meetings in an advisory capacity:
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if applicable, one or more censeurs (non-voting members of the
Board) appointed in
accordance with Article 17 below,
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one member of the Economic and Social Committee, appointed by
said Committee.
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1. DIRECTORS APPOINTED
BY GENERAL MEETINGS OF SHAREHOLDERS
These Directors shall be appointed, renewed or removed in accordance with the legal
and regulatory provisions in force.
Their term of office shall be three years. However, any Director appointed to replace
another whose term of office has not expired shall hold office only for the remainder
of his predecessor's term.
In the event of a vacancy or vacancies subsequent to death or resignation, or in
other
cases listed by law, such vacancies may be filled provisionally by co-optation under
the conditions laid down by law and regulations in force.
2. DIRECTORS ELECTED
BY EMPLOYEES
Two members shall be elected by the employees: one shall be elected by executive
level
staff (cadres), the other by the other categories of staff.
In any event, the number of members elected in this way may not exceed one-third
of
the members appointed by the General Meeting.
They shall be elected under the terms and in accordance with legal and regulatory
provisions in force or, failing this, as determined by the Chief Executive Officer
after consultation with the trade unions represented in the Company.
Both these Directors are elected for a term of office ending the same day:
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either at the close of the Annual Shareholders meeting held in
the third calendar
year following their election,
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or upon completion of the elections organized during this third
calendar year when
these take place after the annual shareholders meeting.
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Where a seat falls vacant due to the death, resignation, removal or termination
of
the employment contract of a Director elected by employees, the vacancy shall be filled
in accordance with the legal and regulatory provisions in force and the new Director
shall take office immediately. If replacement proves impossible, elections for such
member shall take place within three months.
In any event, the term for which a Director elected by employees may hold office
shall
be limited to the period remaining to run until the date on which his contract of
employment ends.
ARTICLE 10 - OTHER
PROVISIONS RELATIVE TO THE DIRECTORS
Any Director turning sixty five is automatically deemed to be resigning at the
close
of the annual General meeting of shareholders immediately following his/her sixty
fifth birthday.
The term of office of a Director appointed by the shareholders in General meeting
can however be exceptionally renewed from year to year up to a maximum five times,
being specified that at no time can the number of directors aged over sixty five exceed
one third of the total number of Directors. Should the total number of Directors not
be precisely divisible by three, that third part will be rounded upward.
ARTICLE 11 - PROCEEDINGS
OF THE BOARD OF DIRECTORS
The Board of Directors shall meet as often as is dictated by the Company's interest,
and when called by its Chairman or at least one third of its members.
If applicable, the Chief Executive Officer may request the Chairman to call a meeting
of the Board on a specific agenda. Any such request is binding upon the Chairman.
Meetings of the Board of Directors shall be held either at the registered office
or
at any other place indicated in the Notice of Meeting.
Notice of Meeting may be given by any means, even orally.
In order for decisions at such meetings to be valid, at least half of the Board's
sitting members must be present.
Any member of the Board of Directors may grant a proxy to another member to represent
him at a meeting of the Board. Each member may hold no more than one proxy at any
given meeting.
The Board of Directors' internal rules may stipulate that for calculation of the
quorum
and majority, Directors who take part in a Board meeting using a remote telecommunications
means such as video-conferencing, the type and conditions of use of such means being
determined by reference to the regulations in force. Decisions shall require a majority
vote of those Directors present in person and by proxy. When voting ends in a tie,
the Chairman shall cast the deciding vote.
The Directors, as well as any other person called to attend the meetings of the
Board
of Directors, shall be subject to an obligation of discretion in respect of the proceedings
of the Board as well as in respect of information of a confidential nature or described
as confidential by the Chairman of the Board.
ARTICLE 12 - ATTENDANCE
REGISTER AND MINUTES OF MEETINGS OF THE BOARD OF DIRECTORS
A register of attendance shall be kept at the registered office and this shall
be
signed by the Directors attending each Board meeting. The proceedings of the Board
shall be recorded in minutes drawn up in accordance with the legal and regulatory
provisions in force. Such minutes shall be signed by the Chairman of the meeting and
by at least one other Director. In the event that the Chairman of the meeting is unable
to sign the minutes, they shall be signed by at least two Directors.
Production of a copy of, or an extract from the minutes of the meeting shall suffice
as proof of the number of Directors in office and their presence or representation
by proxy.
Copies of, or extracts from minutes of meetings shall be validly certified by the
Chairman and Vice-Chairman of the Board, the Chief Executive Officer, or an authorised
signatory duly empowered therefor.
During liquidation, such copies or extracts shall be certified by a single liquidator.
ARTICLE 13 - POWERS
OF THE BOARD OF DIRECTORS
The Board of Directors shall determine the Company's business policies and ensure
that they are duly implemented. Subject to the powers expressly allocated to General
Meetings of shareholders and within the limits set by the corporate purpose, it shall
consider any matter relating to the proper operation of the Company and shall take
its decisions on any relevant issues during the course of its meetings.
The Board of Directors may carry out all checks and verifications it considers
appropriate.
The Chairman or the Chief Executive Officer of the Company shall be bound to provide
each Director with all the information required in order to carry out his assigned
tasks.
The Board may decide to set up committees to examine issues that the Board itself
or its Chairman may submit to them. The Board shall determine the members and powers
of such committees, and they shall act under the Board's responsibility.
Unless expressly assigned by law, the Board may grant those of its powers it chooses
to any persons or committees it deems appropriate, by means of a special authorisation
and for one or more specific purposes, with or without the possibility of sub-delegation.
The Board of Directors shall decide whether the general management of the Company
shall be placed in the hands of the Chairman of the Board or the Chief Executive Officer.
In general terms, the Board of Directors is vested with all the powers granted
to
it under the laws in force.
ARTICLE 14 - REMUNERATION
OF DIRECTORS
Directors may receive, in remuneration of their activity, by way of Directors'
fees,
a fixed annual sum, the amount of which shall be determined by an Ordinary General
Meeting and shall remain applicable until otherwise decided.
The Board of Directors shall distribute the total amount of directors' fees between
its members as it sees fit.
It may also itself allocate exceptional remuneration in respect of assignments
or
mandates entrusted to Directors. This remuneration shall be subject to the legal provisions
that govern related party transactions.
In addition, the Chairman and the Vice-Chairman or Vice-Chairmen may receive remuneration
in an amount to be determined by the Board of Directors.
ARTICLE 15 - CHAIRMAN
OF THE BOARD
The Board of Directors shall elect the Chairman of the Board from amongst its members.
The Board shall determine the length of his term of office, which may not exceed his
term as a Director.
The Board of Directors may elect a Vice-Chairman or several ViceChairmen. It shall
also determine the length of his/their term(s) of office, which may not exceed the
length of his/their term(s) as Director(s).
The Chairman shall organise and coordinate the work of the Board and report on
such
activities to the General Meeting. He shall ensure that the Company's bodies operate
satisfactorily and ensure, in particular, that the Directors are in a position to
carry out their assignments.
In general terms, the Chairman shall be vested with all powers granted to him by
the
legislation in force.
As an exception to the provisions of Article 10 paragraph 2 of the present Articles
of Association, the age limit for the performance of the duties of Chairman of the
Board of Directors is set at 67, except where the Chairman also acts as Chief Executive
Officer of the Company.
He shall benefit from the provisions of Article 10, paragraph 3.
ARTICLE 16 - GENERAL
MANAGEMENT
The Chairman of the Board of Directors, or another individual appointed by the
Board
of Directors and having the title of Chief Executive Officer, shall be responsible
for the general management of the Company.
Upon proposals by the Chief Executive Officer, the Board of Directors may appoint
one or more individuals to assist the Chief Executive Officer, having the title of
Deputy Chief Executive Officers.
1. CHIEF EXECUTIVE
OFFICER
Within the limits set by the corporate purpose and subject to those powers expressly
allocated by law to General Meetings and to the Board of Directors, the Chief Executive
Officer shall be vested with the widest possible powers to act in the Company's name
in all circumstances.
He shall represent the Company in its relations with third parties, especially
with
regard to legal proceedings.
Taking into account the corporate purpose, and in accordance with the law, sureties,
endorsements and other guarantees in favour of third parties shall be granted by the
Chief Executive Officer.
The Chief Executive Officer may decide to set up committees to examine issues that
he shall submit to them for their opinion. He shall determine the members and powers
of such committees.
The Chief Executive Officer may entrust those of his powers he chooses to any persons
or committees he deems appropriate, by means of a special authorisation and for one
or more specific purposes, with or without the possibility of sub-delegation of those
same powers.
Where the Chief Executive Officer is a member of the Board of Directors, his term
of office may not exceed his term of office as Director.
The age limit for Chief Executive Officers is set at sixty-five (65).
Where the Chairman of the Board of Directors is responsible for the general management
of the Company, the provisions of this article shall apply to him.
2. DEPUTY CHIEF
EXECUTIVE OFFICERS
The number of Deputy Chief Executive Officers is limited to a maximum of five.
When they are appointed, the scope and term of the powers of each Deputy Chief
Executive
Officer shall be set by the Board of Directors, in agreement with the Chief Executive
Officer.
With regard to third parties, Deputy Chief Executive Officers shall benefit from
the
same powers as the Chief Executive Officer.
ARTICLE 17 - CENSEURS
(NON-VOTING ADVISORY MEMBERS OF THE BOARD)
Upon proposal by the Chairman, the Board of Directors may appoint one or more legal
entities or individuals as censeurs (non-voting advisory members of the Board).
Censeurs shall be appointed for a term of office that shall expire at the close
of
the first Board Meeting held after the Annual General Meeting called during the third
calendar year following the year in which they were appointed as such. Any Censeur
reaching the age of seventy two is deemed to resign automatically at the close of
the Board meeting immediately following his/her seventy second birthday.
Each Censeur may be removed from office at any time by the Board of Directors upon
proposal by the Chairman.
Depending on the agenda, Censeurs are called to attend meetings of the Board of
Directors
and General Meetings of the shareholders, and may, if invited to do so by the Chairman,
take part in the proceedings in an advisory capacity.
Censeurs may receive fees in an amount decided by the Board.
TITLE IV
COMPANY AUDITS
ARTICLE 18 - STATUTORY
AUDITORS
An Ordinary General Meeting of shareholders shall appoint Statutory Auditors to
carry
out assigned tasks as specified in law, at the times and under the conditions provided
by the legislation in force. Statutory Auditors shall be eligible for reappointment.
They shall receive remuneration in an amount determined in accordance with the
terms
and conditions laid down in the laws and regulations in force.
TITLE V
GENERAL MEETINGS
ARTICLE 19 - COMPOSITION
- NATURE OF MEETINGS
General Meetings shall be composed of all shareholders, regardless of the number
of
shares they may own.
Duly constituted General Meetings shall represent all shareholders. Resolutions
passed
in General Meetings in accordance with the laws and regulations in force shall be
binding on all shareholders. General Meetings shall be designated as Extraordinary
General Meetings where their resolutions relate to an amendment of the Articles of
Association; they shall be designated as Ordinary General Meetings in all other cases.
Special Meetings of shareholders may take place involving the owners of a specific
class of shares, if any, to decide upon changes to the rights attached to the shares
of such class.
Such Special Meetings of shareholders shall be called and proceed in the same manner
as Extraordinary General Meetings.
ARTICLE 20 - MEETINGS
General Meetings shall be called in accordance with the provisions of the laws
and
regulations in force.
Meetings shall be held either at the Company's registered office or at any other
place
designated in the Notice of Meeting.
General Meetings shall be chaired by the Chairman of the Board of Directors or,
in
his absence, by a Vice-Chairman of the Board of Directors or by a Director appointed
by the Chairman of the Board of Directors for that purpose. Failing this, the General
Meeting may itself elect the chair of the meeting.
The agenda shall be determined by the author of the Notice of Meeting. Only proposals
from the author of the Notice of Meeting or from the shareholders shall be included
in the agenda.
Each shareholder in the Ordinary or Extraordinary General Meeting shall have a
number
of votes proportional to the fraction of the Company's capital corresponding to the
shares he owns or represents, provided however that such shares are not deprived of
the right to vote.
The Board of Directors may decide that shareholders taking part in the meeting
via
videoconferencing facilities or by some other means of remote telecommunications enabling
them to be satisfactorily identified shall be deemed to be personally present at the
meeting for the purposes of calculation of the quorum and the majority, provided however
that the type and conditions of use of such means shall comply with the laws and regulations
in force.
ARTICLE 21 - ORDINARY
GENERAL MEETINGS
Ordinary General Meetings shall proceed in accordance with the quorum and majority
rules as provided by the laws and regulations in force.
Shareholders shall be called each year to attend an Ordinary General Meeting.
The annual Ordinary General Meeting shall consider the report of the Board of Directors
and the reports of the Statutory Auditors.
It shall discuss, approve or adjust the annual financial statements and the consolidated
financial statements, if any, and shall determine the manner in which the net earnings
for the financial year shall be allocated.
It shall appoint the auditors.
It shall consider any other proposals on the agenda which do not fall within the
remit
of Extraordinary General Meetings.
In addition to this Annual General Meeting, Ordinary General Meetings may be called
in exceptional circumstances.
ARTICLE 22 - EXTRAORDINARY
GENERAL MEETINGS
Extraordinary General Meetings shall proceed in accordance with the quorum and
majority
rules as provided by laws and regulations in force.
Extraordinary General Meetings may make all and any amendments to the Articles
of
Association.
ARTICLE 23 - MINUTES
The proceedings of General Meetings of shareholders shall be recorded in minutes
drawn
up on a special register or on numbered loose-leaf pages. Such minutes shall be signed
by the shareholders who have been appointed as officers of the meeting.
Evidence to third parties of the proceedings of any General Meeting may be properly
provided by copies or extracts duly certified as a true record by the Chairman of
the Board of Directors, a ViceChairman of the Board of Directors, the Secretary of
the Meeting, or a company officer duly empowered therefor by any one of the above-mentioned
persons.
TITLE VI
COMPANY ACCOUNTS
ARTICLE 24 - FINANCIAL
YEAR
The financial year shall begin on 1 January and end on 31 December.
ARTICLE 25 - ACCOUNTING
DOCUMENTS
At the close of each financial year, the Board of Directors shall draw up a detailed
statement of assets and liabilities and the annual financial statements and, in addition,
shall prepare a report on the management of the Company in compliance with applicable
legal and regulatory provisions.
ARTICLE 26 - ALLOCATION
AND DISTRIBUTION OF PROFIT
I - NET EARNINGS
IN THE FINANCIAL YEAR -STATUTORY RESERVE - DISTRIBUTABLE PROFIT
Those amounts laid down by the legislation in force shall be set aside from the
net
earnings for the financial year, from which shall be deducted any losses carried forward
from previous years when applicable.
The balance, plus any profit carried forward from previous years, shall form the
distributable
profit.
II - ALLOCATION
OF DISTRIBUTABLE PROFIT -DISTRIBUTION OF RESERVES
1. Retained earnings
and creation of reserves
An Ordinary General Meeting may set aside from the distributable profit any amounts
to be carried forward or to be allocated to one or more reserve funds. Such reserve
fund or funds shall be available for allocation to any purpose determined by a General
Meeting of shareholders as proposed by the Board of Directors and in particular for
the redemption or reduction of the capital by way of reimbursement or redemption of
shares.
2. Dividends
The balance of the distributable profit shall be distributed between the shareholders
in proportion to their shares in the capital of the Company.
3. Distribution
of Reserves
The General Meeting may resolve to distribute sums taken from reserve funds of
which
it may freely dispose. In such event, the corresponding resolution shall expressly
designate the reserve funds from which the payments are to be made.
4. Limitations
on distribution
With the exception of the case of a reduction in share capital, no distribution
shall
be made to the shareholders if the shareholders' equity is, or would subsequently
thereto become, lower than the amount of share capital plus those reserves that, under
the laws and regulations in force, may not be distributed.
5. Distribution
of portfolio securities
An Ordinary General Meeting may, as proposed by the Board of Directors, decide
to
allocate, for the purpose of all and any distributions of profits or reserves, negotiable
securities held in portfolio by the Company, subject to an obligation for the shareholders
to effect groupings as may be necessary to obtain the desired number of securities
thus allocated.
III - PAYMENT
OF DIVIDENDS
The manner in which dividends decided by the General Meeting are to be paid out
shall
be specified by the General Meeting or, failing this, by the Board of Directors, but
payment within the period set by the laws and regulations in force shall be mandatory.
The General Meeting called in order to approve the financial statements for the
financial
year may grant each shareholder, for all or part of any distributed final or interim
dividend, an option for the payment of that final or interim dividend in cash or in
shares.
TITLE VII
DISSOLUTION -
LIQUIDATION
ARTICLE 27
Unless otherwise provided by the laws and regulations in force, at the end of the
Company's term of existence or in the event of its earlier dissolution, a General
Meeting of shareholders shall determine the method of liquidation and appoint one
or more liquidators whose powers the Meeting shall determine.
2. INFORMATION
ABOUT THE COMPANY
2.1 CORPORATE
NAME
Crédit Agricole Corporate and Investment Bank.
2.2 REGISTERED
OFFICE
12, place des États-Unis
CS 70052
92547 MONTROUGE CEDEX
France
Tel.: +33 (0)1 41 89 00 00
Website: www.ca-cib.com
2.3 FINANCIAL
YEAR
The company's financial year begins on 1 January and ends on 31 December each year.
2.4 DATE OF INCORPORATION
AND DURATION OF THE COMPANY
The Company was incorporated on 23 November 1973. Its term ends on 25 November
2064,
unless the term is extended or the Company is wound up before that date.
2.5 LEGAL STATUS
Crédit Agricole Corporate and Investment Bank is a French société anonyme (joint
stock
Corporation) with a Board of Directors governed by ordinary company law, in particular
the Second Book of the French Commercial Code (Code de commerce).
Crédit Agricole Corporate and Investment Bank is a credit institution approved
in
France and authorised to conduct all banking operations and provide all investment
and related services referred to in the French Monetary and Financial Code (Code Monétaire
et Financier). In this respect, Crédit Agricole CIB is subject to oversight by responsible
supervisory authorities, particularly the French Prudential and Resolution Supervisory
Authority (ACPR). In its capacity as a credit institution authorised to provide investment
services, the Company is subject to the French Monetary and Financial Code, particularly
the provisions relating to the activity and control of credit institutions and investment
service providers.
2.6 INVESTMENTS
MADE BY CRÉDIT AGRICOLE CIB OVER THE PAST THREE YEARS
♦ Completed acquisitions
| Date |
Investments |
Financing |
| 13/07/2017 |
Indosuez Wealth Management signs agreement for acquisition
of Crédit Industriel et
Commercial's private banking operations in Singapore and Hong Kong.
|
The acquisition was financed by own funds generated and
retained during the year. |
| 03/05/2018 |
Indosuez Wealth Management finalised the acquisition
of 94.1% of the share of Banca
Leonardo.
|
The acquisition was financed by own funds generated and
retained during the year. |
N.B.: we cannot disclose certain information about investment amounts without violating
confidentiality agreements or revealing information to our rivals that could be detrimental
to us.
♦ Acquisitions
in progress and upcoming
Crédit Agricole CIB has no significant investments to come and identified at this
stage, and significant investments in progress.
2.7 NEW PRODUCTS
AND SERVICES
Crédit Agricole CIB has successfully launched an innovation in 2019 in the world
of
rates: CMS10Y10Y. This product allows investor to receive coupons indexed to interest
rates swaps has 10y in 10y. This product is particularly interesting in the current
context of rising negative but anticipated rates in the future.
Sold in the form of bond notes, this innovation Cr2dit Agricole has exceeded the
2
billion notional emissions on markets (of which more than a third were settled and
sold by Crédit Agricole CIB).
Particularly interesting for Insurers, this product has in addition was syndicated
for the first time by Crédit Agricole CIB in a green bond.
2.8 MATERIAL CONTRACTS
Crédit Agricole CIB has not entered into any material contracts conferring a significant
obligation or commitment on the Crédit Agricole CIB Group, apart from those concluded
within the normal conduct of its business.
2.9 RECENT TRENDS
Crédit Agricole CIB's perspectives have not suffered any significant deterioration
since 31 December 2019, the date of its latest audited and published financial statements
(see"Recent trends and outlook" section, pages 123 and 124).
2.10 SIGNIFICANT
CHANGES
Events subsequent
that are not likely to adjust accounts closed as of 31 December
2019.
The Covid-19 pandemic is expected to have significant negative impacts on the world
economy, which would worsen if the pandemic were not contained quickly. It leads to
supply and demand shocks, resulting in a marked slowdown in activity, due to the impact
of containment measures on consumption and the distrust of economic agents, as well
as production difficulties, supply chain disruptions in some sectors; and slower investment.
The result would be a marked drop in growth, or even technical recessions in several
countries. These consequences would impact the activity of the counterparties of the
banks and, in turn, of the banks themselves. Crédit Agricole Group, which announced
support measures for its corporate and individual customers during the crisis, expects
impacts on its revenues, as well as on its cost of risk (taking into account in particular
the pro-cyclical effects of accounting rules), and therefore on its result. The extent
and duration of these impacts are impossible to determine at this stage.
2.11 AFFILIATION
Pursuant the Article R. 512-18 of the French Monetary and Financial Code (Code
Monétaire
et Financier), Crédit Agricole CIB has been affiliated with the Crédit Agricole network
in 2011. As mentioned by the Article R. 512-18 of the French Monetary and Financial
Code (Code Monétaire et Financier), the central organs of the credit institutions
"have to deal with the cohesion of their network and to take care of their affiliated
institutions" smooth functioning. To that purpose, they take all the necessary measures,
notably to guarantee the liquidity and the solvability of each of these institutions
as well as the whole network.
Thus, Crédit Agricole S.A., acting as the Central Body of the Crédit Agricole Network,
reviews and manages credit and financial risks of its affiliates - notably for the
Regional banks and Crédit Agricole CIB. This affiliation, being enshrined in the legislation,
is stronger than a guarantee. Finally, the alignment of the issuer ratings of the
Regional Banks and Crédit Agricole CIB with those of Crédit Agricole S.A. reflects
the support mechanisms within the Group.
In this context, upon a resolution procedure of Crédit Agricole Group or a liquidation
procedure of a member of the Crédit Agricole Network, the application of the resources
of Crédit Agricole CIB to support the entity that initially experienced financial
difficulties could affect firstly the full range of capital instruments of every category
(CET1, AT1 and Tier2) and, subsequently, in the event the loss exceeds the combined
amount of capital instruments, could also affect certain liabilities eligible for
the purpose of bail-in, including senior non-preferred and senior preferred securities
or other debt of a similar ranking, pursuant to the provisions of applicable law and
the applicable terms and conditions.
On the other hand, in the case where Crédit Agricole CIB is the entity facing financial
difficulties, the resources of the Crédit Agricole Network entities will be used to
help Crédit Agricole CIB.
2.12 PUBLICLY
AVAILABLE DOCUMENTS
The present document is available on the website:
https://www.ca-cib.com/about-us/financial-information/ activity-reports-universal-registration-documents
and on the French Financial markets authority (Autorité des Marchés Financiers,
AMF)
website:
www.amf-france.org
The entire regulated information, as defined by the AMF (under Title II of Book
II
of the AMF General Regulation), is available on the website of the Company:
https://www.ca-cib.com/about-us/financial-information/ activity-reports-universal-registration-documents
> Regulated Information.
Articles of Association are available on pages 432 to 437 of this present document.
A copy of these Articles of Association can also be obtained from Crédit Agricole
CIB's Head Office and/or the French Trade and Companies Register (Registre du Commerce
et des Sociétés).
3. STATUTORY AUDITORS'
SPECIAL REPORT ON RELATED PARTY AGREEMENTS
ANNUAL GENERAL
MEETING HELD TO APPROVE THE FINANCIAL STATEMENTS FOR THE YEAR ENDED
31 DECEMBER 2019
This is a free translation into English of the Statutory Auditors' special report
on related party agreements and commitments issued in French and is provided solely
for the convenience of English speaking readers. This report should be read in conjunction
with, and construed in accordance with, French law and professional auditing standards
applicable in France.
To the Annual General Meeting of Crédit Agricole Corporate and Investment Bank,
In our capacity as Statutory Auditors of the Company, we hereby report to you on
related
party agreements.
It is our responsibility to report to shareholders, based on the information provided
to us, on the main terms and conditions of the agreements that have been disclosed
to us or that we may have identified as part of our engagement, as well as the reasons
given as to why they are beneficial for the Company, without commenting on their relevance
or substance or identifying any undisclosed agreements. Under the provisions of Article
R.225-31 of the French Commercial Code (Code de commerce), it is the responsibility
of the shareholders to determine whether the agreements are appropriate and should
be approved.
Where applicable, it is also our responsibility to provide shareholders with the
information
required by Article R.225-31 of the French Commercial Code in relation to the implementation
during the year of agreements already approved by the Annual General Meeting.
We performed the procedures that we deemed necessary in accordance with professional
standards applicable in France to such engagements. These procedures consisted in
verifying that the information given to us is consistent with the underlying documents.
AGREEMENTS TO
BE SUBMITTED FOR THE APPROVAL OF THE ANNUAL GENERAL MEETING
Agreements authorised
and entered into during the year
In accordance with Article L.225-40 of the French Commercial Code, we were informed
of the following agreements entered into during the year and authorised in advance
by the Board of Directors.
♦ Agreement relating
to the transfer of Visa Inc. class C preferred shares: grouping
at Crédit Agricole CIB of the shares held by different entities of the Group for the
purpose of hedgin
PERSONS CONCERNED
Company Crédit Agricole S.A., shareholder; Mutual corporate officers: M. Brassac
(CASA,
LCL, CACIB), M. Ducerf (CACIB et CA Italia), Ms Gri, Ms Pourre, M. Thibault (CASA
et CACIB) et Ms Renoult (CACIB et LCL).
NATURE AND PURPOSE
The price level reached by Visa Inc common shares has led us to consider hedging
the
shares in order to lock in the near €100 million capital gain generated by the Crédit
Agricole Group on these shares since mid-2016. It is therefore planned to group together
the Class C preferred shares held by several of the Crédit Agricole Group's entities
in the books of the Company, which is in the best position to manage this hedge. Due
to its overall price within and outside France and in accordance with Article 2 of
the Company's rules of procedure, this transaction was approved by the Board of Directors.
In addition, in view of the presence of common officers and Directors, these agreements
fall within the scope of the related party agreements defined in Article L.225-38
of the French Commercial Code.
Although the discount level on the fair value recognised in the balance sheet for
the transfer of the Visa securities to the Company is within the market range used
by the European banks concerned, the exceptional and isolated nature of this transaction
prevents it from being considered an ordinary transaction entered into on an arm's
length basis which, in accordance with Article L.225-39, would have made it possible
to exclude it from the scope of related party agreements.
TERMS AND CONDITIONS
Transactions involving Series C convertible preferred shares are highly regulated.
They are only possible between banks already holding such securities or between subsidiaries
fully controlled by a group within which there is a holding entity. Steps were taken
to verify with Visa that, despite less than 100% ownership, the transactions planned
by LCL, Crédit Agricole S.A., CA Bank Polska, CA Romania, CA Italia and Credibom with
the Company were possible.
REASONS WHY THIS
AGREEMENT IS BENEFICIAL FOR THE COMPANY
The Company bought the Class C Visa Inc securities at their fair value, which corresponded
to the IFRS carrying amount of the securities within the Crédit Agricole Group entities.
This IFRS carrying amount includes a discount approximately in the middle of the range
defined by the European banks, in agreement with the Audit profession, in order to
set the fair value of the Series C convertible preferred shares to be recognised in
the entities' balance sheets.
Moreover, as it is an internal reclassification, this transaction is satisfactory
for the Crédit Agricole Group insofar as it serves to lock-in the Group's capital
gain, which has reached approximately €100 million since 2016.
Lastly, the Company is by nature in the best position to actively manage hedging
through
total return swaps (TRS), which will concurrently strengthen its expertise and its
service offer in this area.
Agreements not
authorised in advance
In accordance with Article L.225-42 of the French Commercial Code, we inform you
of
the following agreements that were not authorised in advance by the Board of Directors.
We are required to report to shareholders on the circumstances in which the authorisation
procedure was not followed.
♦ Guarantee granted
to the corporate officers
NATURE AND PURPOSE
This agreement concerns all members of the Board of Directors. To enable the Company
to assume the costs resulting from proceedings against all corporate officers, including
Directors, the Board of Directors, at its meeting of 20 December 2012, was asked to
authorise the conclusion of a guarantee in favour of Directors, including the Chairman.
The purpose of this guarantee is to cover any risk of liability in legal or administrative
proceedings initiated against Directors, notably in the United States, during the
period set under the statute of limitations applicable to the claims in question,
plus three months. It was submitted to the shareholders for approval at the Ordinary
General Meeting of 30 April 2013 based on the Statutory Auditors' special report on
related party agreements, in accordance with Article L.225-42 of the French Commercial
Code, the Board having recused itself insofar as all Directors were concerned by the
vote.
TERMS AND CONDITIONS
In view of the positions held by the Directors within the Company, the Board was
asked,
at its meeting of 29 October 2015, to authorise the amendment of the guarantee in
favour of the Directors in order to give it the same degree of clarity as that authorised
by the Board of Directors at its meeting of 30 July 2015 in favour of the members
of the Executive Management.
Having noted that all Directors were concerned by the agreement and that they could
therefore not take part in the vote, the Board of Directors submitted the agreement
to the approval of the Ordinary General Meeting of 9 May 2016, based on a special
report of the Statutory Auditors, in accordance with Article L.225-42 of the French
Commercial Code.
Laurence Renoult and Paul Carite, appointed as Directors by the General Meeting
of
Shareholders on 7 May 2019, have been beneficiaries of this guarantee since the beginning
of their term of office.
REASONS WHY THIS
AGREEMENT IS BENEFICIAL FOR THE COMPANY
The Board of Directors justified these agreements and commitments as follows:
The purpose of this guarantee is to cover any risk of liability in legal or administrative
proceedings against Directors, notably in the United States, during the period set
under the statute of limitations applicable to the claims in question, plus three
months.
AGREEMENTS ALREADY
APPROVED BY THE SHAREHOLDERS' MEETING
Agreements approved
in prior years that remained in force during the year
In accordance with Article R.225-30 of the French Commercial Code, we were informed
that the following agreements, approved by the Shareholders' Meeting in prior years,
remained in force during the year ended 31 December 2019.
1.1. AGREEMENT
WITH CRÉDIT AGRICOLE S.A., SHAREHOLDER OF THE COMPANY
♦ a) Subscription
for preferred shares or deeply subordinated notes
NATURE AND PURPOSE
Further to the merger of the Corporate and Investment Banking businesses of the
Crédit
Agricole and Crédit Lyonnais groups, Crédit Lyonnais made a partial asset transfer
to Crédit Agricole Indosuez (now known as Crédit Agricole Corporate and Investment
Bank).
In view of the above transaction, it was deemed necessary to strengthen the Company's
shareholders' equity. Two issues of deeply subordinated notes in US dollars were performed
in 2004. Crédit Agricole S.A. bought US$ 1,730 million of these notes.
TERMS AND CONDITIONS
One of the issues for an amount of US$ 1,260 million was redeemed in advance during
the 2014 financial year. For the issue in the amount of US$ 470 million still outstanding
in 2019, the total coupon due in respect of that year was US$ 9,273 million.
♦ b) Amendment
of the tax consolidation agreement
NATURE AND PURPOSE
In 1996, Crédit Agricole S.A. signed a tax consolidation agreement with the Company,
which was renewed on 22 December 2015 for the period 2015-2019 and amended on 15 November
2016. The purpose of the agreement is to govern relations between Crédit Agricole
S.A., on the one hand, and the Company and its consolidated subsidiaries on the other,
and in particular the allocation of the income tax expense and arrangements for monetising
the losses of the Crédit Agricole CIB consolidated sub-group.
This agreement enables the Company to receive the tax saving made by the Crédit
Agricole
Group corresponding to all losses generated by the Crédit Agricole CIB consolidated
sub-group, when that is the case, and offset by Crédit Agricole S.A. as head of the
tax group.
TERMS AND CONDITIONS
The compensation to be received in relation to all losses generated by the Crédit
Agricole CIB consolidated sub-group at 31 December 2019 under the agreement between
Crédit Agricole S.A and the Company amounts to €5.4 million.
A new tax consolidation agreement will be entered into in 2020 between the Company
and Crédit Agricole S.A. to cover the 2020-2024 period.
♦ c) Agreement
relating to the payment of the Euribor fine
PERSONS CONCERNED
Philippe Brassac, Chief Executive Officer of Crédit Agricole S.A. and Chairman
of
the Board of Directors of Crédit Agricole CIB, François Thibault, Director of both
Crédit Agricole S.A. and Crédit Agricole CIB, as well as, in the same capacity, François
Veverka and Jean-Louis Roveyaz until the end of their terms of office as Directors
on the Board of Directors of Crédit Agricole CIB on 4 May 2017.
NATURE AND PURPOSE
On 7 December 2016, the European Commission sentenced the Company and Crédit Agricole
S.A., considered to be jointly and severally liable, to a fine of €114,654,000 after
an investigation carried out by the Commission concluding that a cartel existed among
seven banking institutions in relation to interest-rate derivatives in euros by agreeing
on Euribor as the benchmark interest rate.
As soon as the Commission's judgement was delivered, Crédit Agricole announced
that
it would appeal the decision before the General Court of the European Union. An appeal
was filed on 17 February 2017.
As the appeal did not stay the judgement, Crédit Agricole had to pay the full amount
of the fine by 5 March 2017.
Within this context, it was provided that Crédit Agricole S.A. and the Company
should
enter into an agreement determining the conditions relating to the provisional payment
of the fine, and that the conditions of the breakdown between them of the final amount
of the fine that may have to be paid would be decided after all European judicial
remedies had been exhausted.
TERMS AND CONDITIONS
At its meeting held on 10 February 2017, the Board of Directors authorised the
draft
agreement between Crédit Agricole S.A. and Crédit Agricole CIB under which:
| ― |
in the period prior to the obtaining of a decision by a court
of last instance having
the force of res judicata, Crédit Agricole S.A. shall provisionally bear and pay the
amount of €114,654,000 in respect of the penalty;
|
| ― |
the conditions of the breakdown of the final amount of the potential
penalty shall
be determined by mutual agreement between Crédit Agricole S.A. and the Company at
a later date, following a decision by a court of last instance having the force of
res judicata.
|
The agreement was authorised in identical terms by the Board of Directors of Crédit
Agricole S.A. on 20 January 2017.
In accordance with the delegation granted by their respective Boards, this agreement
was signed on 27 February 2017 by the Company's Chief Executive Officer and that of
Crédit Agricole S.A. The penalty was paid within the statutory time limit, i.e., before
5 March 2017.
♦ d) Business
transfer agreement relating to the Banking Services Division
PERSONS CONCERNED
Philippe Brassac, Chief Executive Officer of Crédit Agricole S.A. and Chairman
of
the Board of Directors of Crédit Agricole CIB, Françoise Gri, Catherine Pourre and
François Thibault, Directors of both Crédit Agricole S.A. and Crédit Agricole CIB,
as well as, in the same capacity, Jean-Pierre Paviet until the end of his term of
office on 4 May 2018.
NATURE AND PURPOSE
In line with the "Strategic Ambition 2020" Medium-Term Plan, which aims to refocus
Crédit Agricole S.A. on its core activities, Crédit Agricole S.A. and the Company
agreed to transfer Crédit Agricole S.A.'s Banking Services Division (DSB) to the Company's
Operations & Country COOs Division (OPC).
The operation took the form of a business transfer agreement including:
| ― |
a settlement and correspondent banking activity consisting for
the Banking Services
Department in account management and the provision of services related to this account
management (particularly electronic transfers, cheque clearing, etc.) for internal
and external customers of the Crédit Agricole Group;
|
| ― |
an account management activity for the regional banks and some
of the other Crédit
Agricole Group credit institutions;
|
| ― |
a level 1 alerts treatment activity.
|
This transfer of activity excluded the management of certain accounts opened by
regional
banks with Crédit Agricole S.A. in its capacity as central body in accordance with
the applicable regulations.
TERMS AND CONDITIONS
At its meeting of 12 December 2017, the Board of Directors authorised the transfer
of the DSB business, as described above, by means of a business transfer agreement
effective 1 January 2018. Since that date, the Company has operated the acquired business
with the human and material resources transferred.
However, for operational reasons and, in particular, information systems migration,
the Company was not able to open accounts for DSB customers on the transfer date.
Consequently, accounts opened by customers will continue to be administered by Crédit
Agricole S.A. during a transition period and will be opened by the Company during
and at the end of the transition period according to a schedule based on progress
made in the work to be done by the Company, which is expected to be completed no later
than 31 December 2020. During this transition period, Crédit Agricole S.A. will pass
back to your company the results of the operations of the business transferred, received
by Crédit Agricole S.A. from DSB customers. In parallel, all expenses, costs and liabilities
incurred by Crédit Agricole S.A. in respect of the transferred business will be assumed
by the Company.
The business transfer was granted and accepted in return for the payment of fifty-seven
thousand euros (€57,000).
As the business transfer agreement is not a routine business transaction for Crédit
Agricole S.A. or the Company and thus cannot be considered as an ordinary transaction
entered into on an arm's length basis, it falls within the scope of a related party
agreement governed by the provisions of Article L.225-38 of the French Commercial
Code.
♦ e) Billing and
collection mandate as part of the transfer of Crédit Agricole S.A.'s
IT services management activities (MSI) to the Company
PERSONS CONCERNED
Philippe Brassac, Chief Executive Officer of Crédit Agricole S.A. and Chairman
of
the Board of Directors of Crédit Agricole CIB, Françoise Gri, Catherine Pourre and
François Thibault, Directors of both Crédit Agricole S.A. and Crédit Agricole CIB,
as well as, in the same capacity, Jean-Pierre Paviet until the end of his term of
office on 4 May 2018.
NATURE AND PURPOSE
At its meeting held on 12 December 2017, the Board of Directors of Crédit Agricole
S.A. authorised the transfer of Crédit Agricole S.A.'s IT services management activities
(MSI) to Global IT (GIT), which performs the same functions for the Company.
The transfer of the activity took effect on 1 January 2018.
The transfer itself does not constitute a related party agreement but, as part
of
this transaction, the Company and Crédit Agricole S.A. set up a temporary billing
and collection mandate, which falls within the scope of paragraph 2 of Article L.225-38
of the French Commercial Code regarding related party agreements. As such, this mandate
was authorised by the Company's Board of Directors at its meeting on 12 December 2017.
TERMS AND CONDITIONS
During a six- to twelve-month transition period starting from the MSI transfer
date,
certain Crédit Agricole Group entities may benefit from MSI services, on the basis
of signed quotes. Billing and collection services will be carried out by Crédit Agricole
S.A. under a billing and collection mandate, which includes, in particular, Crédit
Agricole S.A.'s warranty given to your Company concerning the collection, from the
entities benefiting from these services, of the amounts billed by Crédit Agricole
S.A. in the name and on behalf of the Company.
At the end of this transition period, the Company may decide, if appropriate, to
perform
the services for these Group entities, through another Crédit Agricole Group entity,
depending on the result of the services performed during the transition period, regulatory
changes and any other reorganisation of activities carried out within the Crédit Agricole
Group.
1.2 AGREEMENT
WITH CRÉDIT LYONNAIS
♦ Agreement for
the indemnification of Crédit Lyonnais
NATURE AND PURPOSE
The Corporate and Investment Banking business of Crédit Lyonnais was transferred
to
the Company on 30 April 2004 with retroactive effect from 1 January 2004 for accounting
and tax purposes, except for outstanding short-, medium- or long-term commercial loans
for which the Company preferred to defer the effective date until 31 December 2004
at the latest, mainly due to the time needed to complete their transfer.
To comply with the principle of retroactive effect from 1 January 2004, the Company
undertook to indemnify Crédit Lyonnais for the counterparty risks relating to those
loans from 1 January 2004.
TERMS AND CONDITIONS
The amount of the guarantee was €1.89 million at 31 December 2019. The amount of
compensation
due in respect of 2019 was €4,704.29, excluding taxes.
1.3 AGREEMENT
WITH CRÉDIT AGRICOLE INDOSUEZ WEALTH (FRANCE), PREVIOUSLY NAMED CRÉDIT
AGRICOLE INDOSUEZ PRIVATE BANKING
♦ Agreement for
the subleasing of premises
NATURE AND PURPOSE
Under an irrevocable lease expiring in 2040, Crédit Agricole CIB is a tenant in
the
building located at 17, rue du Docteur Lancereaux in the 8th arrondissement of Paris;
in order to group together the employees of Crédit Agricole Indosuez Wealth (France),
formally known as Crédit Agricole Indosuez Private Banking, in this same building,
a subleasing agreement with Crédit Agricole Indosuez Wealth (France) was authorised
by the Board of Directors of Crédit Agricole CIB.
TERMS AND CONDITIONS
This agreement took effect on 1 July 2014 and includes an irrevocable commitment
by
Crédit Agricole Indosuez Wealth (France) for a lease term of 12 years and an annual
rent identical to that of the main lease, initially set at €3.6 million.
In exchange for the irrevocable lease commitment, the Company granted Crédit Agricole
Indosuez Wealth (France) a 36-month rent-free period ending on 30 June 2017 and bore
the cost of the refurbishment work for a maximum amount of €5.22 million excluding
taxes and including fees.
In November 2019, the Company paid a bill of €3,176.40 to waterproof the facade's
roof. Through the effect of the indexation clause, the annual rent rebilled to the
Company for the year 2019 amounted to €3,698,258.20, excluding taxes. As provided
for by the subleasing agreement, Crédit Agricole Indosuez Wealth (France) has paid
the entire rent since 1 July 2017.
1.4 AGREEMENT
WITH CRÉDIT AGRICOLE S.A., CRÉDIT AGRICOLE TECHNOLOGIES ET SERVICES,
CRÉDIT AGRICOLE ASSURANCES SOLUTIONS, CA CONSUMER FINANCE, CRÉDIT AGRICOLE GROUP SOLUTIONS,
CRÉDIT AGRICOLE PAYMENT SOLUTIONS, CRÉDIT LYONNAIS AND FÉDÉRATION NATIONALE DU CRÉDIT
AGRICOLE
♦ Shareholders'
Agreement on the rules of governance of CA-GIP
PERSONS CONCERNED
Philippe Brassac, Chief Executive Officer of Crédit Agricole S.A and Chairman of
the
Board of Directors of Crédit Agricole CIB, Jacques Boyer, Olivier Gavalda, Luc Jeanneau,
François Thibault, Nicole Gourmelon (until the end of her term of office as Director
on the Board of Directors of Crédit Agricole CIB on 7 May 2019), Françoise Gri and
Catherine Pourre, Chairmen and/or Directors of the companies concerned.
NATURE AND PURPOSE
At its meeting on 4 May 2018, the Company's Board of Directors authorised the signing
of a Shareholders' Agreement pursuant to the above-mentioned Memorandum of Understanding.
Some of the parties agreed to set up a new company, CA-GIP, to lead the project
concerning
the merging of some of the Crédit Agricole Group's IT infrastructure and production
activities.
This company was formed in order to host, as from 1 January 2019, SILCA and the
IT
production activities of Crédit Agricole Technologies et Services, Crédit Agricole
Corporate and Investment Bank in France and Crédit Agricole Assurances Solutions.
Its role is to host the IT production activities of other Crédit Agricole group entities.
Together, the shareholder parties hold 100% of the share capital and voting rights
of the company.
Within this context, the parties wished, through the Shareholders' Agreement:
| ― |
to supplement the rules of governance of CA-GIP provided for
in the articles of incorporation;
|
| ― |
to organise their relationship as shareholders;
|
| ― |
to determine the conditions that they intend to comply with in
the event of the transfer
of all or part of their stake in the company's capital.
|
The Shareholders' Agreement relating to Crédit Agricole - Group Infrastructure
Platform
notably lays down the following rules of governance specific to Crédit Agricole -
Group Infrastructure Platform: a Board of Directors composed 50/50 of Regional Banks
and their subsidiaries or IT production entities and the Crédit Agricole S.A. Group,
with a Chairman of the company who is also Chairman of the Board of Directors, appointed
upon the proposal of the Regional Banks and a Chief Executive Officer appointed upon
the proposal of the Crédit Agricole S.A. Group.
Noting, in addition to the presence of common Chairmen and Directors, that the
rules
of governance described above do not reflect the intended division of capital between
the Regional Banks and their subsidiaries (36%) and the Crédit Agricole S.A. Group
(64%),it was considered that this Shareholders' Agreement constituted a related party
agreement within the meaning of the provisions of the French Commercial Code.
TERMS AND CONDITIONS
The Shareholders' Agreement specifies the rules of governance of Crédit Agricole
-
Group Infrastructure Platform, as concerns both the executive and the supervisory
functions of the management body, as well as those of the subsidiary to be formed
in accordance with the Memorandum of Understanding. In particular, it organises the
rules relating to the financing of the company and the transfer of securities, as
well as any conditions of the exit of a shareholder and the conditions under which
the company's services will be provided.
The Shareholders' Agreement was signed on 8 June 2018.
1.5 AGREEMENT
WITH CRÉDIT AGRICOLE S.A., CRÉDIT AGRICOLE ASSURANCE SOLUTIONS, CRÉDIT
LYONNAIS, CRÉDIT AGRICOLE CONSUMER FINANCE, CRÉDIT AGRICOLE GROUP SOLUTIONS, CRÉDIT
AGRICOLE GROUP INFRASTRUCTURE PLATFORM AND SILCA
♦ SILCA guarantee
agreement on the representations and warranties granted by the shareholders
of SILCA for the benefit of CA-GIP, as well as the respective rights and obligations
of the parties in the event of breach or inaccuracy of one or more of said representations
PERSONS CONCERNED
Philippe Brassac, Chief Executive Officer of Crédit Agricole S.A and Chairman of
the
Board of Directors of Crédit Agricole CIB, Jacques Boyer, Olivier Gavalda, François
Thibault, Nicole Gourmelon, Françoise Gri and Catherine Pourre, Chairmen and/or Directors
of the companies concerned.
NATURE AND PURPOSE
At its meeting of 21 November 2018, the Company's Board of Directors authorised
the
signing of a guarantee agreement, the terms and conditions of which are described
below.
At its meeting on 4 May 2018 during which it authorised the signing of the Memorandum
of Understanding, the Company's Board of Directors was informed that the signatories
would agree that the agreements for the contribution or divestment of business activities
would provide for clauses guaranteeing assets and liabilities relating to management
prior to the completion date and that, in the case of SILCA, a special mechanism must
be studied insofar as this entity would be the subject of a merger before the expiry
of the liability warranties.
The purpose of the guarantee agreement authorised by the Board of Directors is
to
set out the representations and warranties granted by the guarantors (SILCA shareholders)
for the benefit of Crédit Agricole - Group Infrastructure Platform in respect of the
merger of SILCA with CA-GIP, as well as the respective rights and obligations of the
parties in the event of breach or inaccuracy of one or more of said representations.
TERMS AND CONDITIONS
The main conditions of the SILCA Guarantee are as follows:
For a period of 36 months as from 1 January 2019, the Guarantors undertake, each
in
proportion to its share in the capital of SILCA at the date of completion of the merger,
to indemnify CA-GIP for:
| ― |
any increase in liabilities or any reduction in assets caused
by or arising out of
a fact or an event prior to 1 January 2019;
|
| ― |
any damage suffered by CA-GIP as a result of the inaccuracy or
untruthfulness of a
representation relating to the assets transferred within the framework of the merger;
|
| ― |
any damage suffered by CA-GIP following a third-party claim relating
to acts prior
to 1 January 2019 attributable to SILCA.
|
The period of thirty-six months is replaced by the statute of limitations concerning
any damage suffered by CA-GIP due to the inaccuracy or untruthfulness of a representation
relating to SILCA. The indemnification undertaking for damage suffered by CA-GIP relating
to tax matters will expire at the end of a period of ten working days as from the
expiry of the statute of limitations. A threshold of €10,000 (ten thousand euros)
per claim has been set for a claim to be taken into account. The parties have not
set any aggregate limit.
Neuilly-sur-Seine and Paris-La Défense, 18 March 2020
The
Statutory Auditors
French
original signed by
PricewaterhouseCoopers
Audit
Anik
Chaumartin-Roesch
Laurent
Tavernier
ERNST
& YOUNG et Autres
Olivier
Durand
Matthieu
Préchoux
4. RESPONSIBILITY
STATEMENT
♦ PERSON REPONSIBLE
FOR THE UNIVERSAL REGISTRATION DOCUMENT
Jacques RIPOLL, Chief Executive Officer of Crédit Agricole CIB.
♦ RESPONSIBILITY
STATEMENT
I hereby certify that, to my knowledge and after all due diligence, the information
contained in the present Universal Registration document is true and accurate and
conatins no omission likely to affect the import thereof.
I hereby certify that, to my knowledge, the consolidated financial statements for
year ended 31 December 2019 have been prepared in accordance with applicable accounting
standards and give a true and fair view of the assets, financial position and results
of the Company and all entities included in the consolidated Group, and the yearly
report provides a true and fair view of the important events of the current financial
year, of the effect of such events on the Company's accounts, of the principal related
party transactions, as well as a description of the main risks and principal uncertainties
of this year.
I have obtained a letter from the statutory auditors, PricewaterhouseCoopers Audit
et Ernst & Young et Autres, upon completion of their work in which they state
that
they verified the information relating to the financial situation and financial statements
provided in this document and read the document as a whole.
Montrouge, 27th March 2020
The
Chief Executive Officer of Crédit Agricole CIB
Jacques
RIPOLL
5. STATUTORY AUDITORS
5.1 PRIMARY AND
ALTERNATE STATUTORY AUDITORS
Primary statutory
auditors
| Ernst & Young et Autres Member of the Ernst &
Young network |
PricewaterhouseCoopers Audit Member of the PricewaterhouseCoopers
network |
| Member of the Versailles regional association of Statutory
auditors Company represented
by: Olivier Durand et Matthieu Préchoux
|
Member of the Versailles regional association of Statutory
auditors Company represented
by: Anik Chaumartin and Laurent Tavernier
|
| Head office: 1-2, place des Saisons 92400 Courbevoie
- PARIS-La Défense - France |
HEAD OFFICE: 63, RUE DE VILLIERS 92200 NEUILLY-SUR-SEINE |
Length of statutory
auditors' mandates
Ernst & Young et Autres was renewed Statutory Auditor for six financial periods
by
the shareholders' meeting of 4 May 2018.
PricewaterhouseCoopers Audit was renewed Statutory Auditor for six financial periods
by the shareholders' meeting of 4 May 2018.
Length of alternate
auditors' mandates
The mandate of Picarle and Associés as alternate Statutory Auditor of Ernst &
Young
and Autres was not renewed by the General Meeting of Shareholders held on May 4, 2018,
in accordance with the provisions of Article L 823-1 of the French Commercial Code
and Article 18 of the articles of the society.
The mandate of Mr. Etienne Boris as alternate Statutory Auditor of PricewaterhouseCoopers
Audit was not renewed by the General Meeting of Shareholders held on May 4, 2018,
in accordance with the provisions of Article L. 823-1 of the French Commercial Code
and Article 18 of the articles of the society.
6. CROSS-REFERENCE
TABLE
| ANNEX 1 OF THE DELEGATED REGULATION |
Page number of this Universal Registration
Document |
| 1 Persons responsible, third party information, experts'
reports and competent authority
approval
|
|
| 1.1 Persons responsible for the information |
447 |
| 1.2 Declaration by the responsible persons |
447 |
| 1.3 Name, business address and qualifications of the
expert who produced a statement
or report
|
|
| 1.4 Statement confirming that the information provided
by a third party has been accurately
reproduced
|
|
| 1.5 Declaration by the issuer (filing of the Universal
Registration Document) |
|
| 2 Statutory auditors |
|
| 2.1 Names and addresses of the issuer's auditors |
448 |
| 2.2 Changes in the auditors |
N.A. |
| 3 Risk factors |
134 to 143 |
| 4 Information about the issuer |
|
| 4.1 Legal and commercial name of the issuer |
266,432 |
| 4.2 Place of registration of the issuer, its registration
number and legal entity
identifier
|
266 |
| 4.3 Date of incorporation and the length of life of the
issuer |
438 |
| 4.4 Domicile, legal form, legislation, country of incorporation,
address, telephone
number and website
|
266,432,438 |
| 5 Business overview |
|
| 5.1 Principal activities |
|
| 5.1.1 Description of the issuer's principal activities |
18 to 20 |
| 5.1.2 New products or services, if significant |
439 |
| 5.2 Description of the principal markes |
13, 18 to 20 |
| 5.3 Important events in the development of the issuer's
business |
N.A. |
| 5.4 Issuer's business strategy and objectives, both financial
and non-financial |
4 to 5, 16 |
| 5.5 Degree of dependence on patents or licences, industrial,
commercial or financial
contracts
|
182 |
| 5.6 Competitive position |
16, 120 to 121 |
| 5.7 Investments |
274, 293, 372 to 375, 438 |
| 5.7.1 Material investments (including their mount) by
the issuer for each financial
year for the period covered by the historical financial information up to the date
of the registration document
|
438 |
| 5.7.2 Important investments in progress or upcoming |
438 |
| 5.7.3 Information on joint-ventures |
346 to 347 |
| 5.7.4 Environmental issues that may affect the issuer's
utilisation of the tangible
fixed assets
|
58 |
| 6 Organisational structure |
|
| 6.1 Description of the group and the position of the
issuer within the group |
2 to 3, 6 to 7 |
| 6.2 Significant subsidiaries |
372 to 375, 406 |
| 7 Financial position and results |
|
| 7.1 Financial position |
|
| 7.1.1 Development, results and position for each year |
119 to 130, 271 to 274, 390-391 |
| 7.1.2 Issuer's probable development of activities and
R&D |
123 to 124 |
| 7.2 Operating results |
119 to 130, 269, 391 |
| 7.2.1 Significant factors materially affecting the issuer's
income and its consequences |
118 |
| 7.2.2 Reasons explaining significant changes |
N.A. |
| 8 Liquidity and capital resources |
|
| 8.1 Short-term and long-term capital resources |
122, 187 to 210, 271 to 273, 351 to 352 |
| 8.2 Sources and amounts of the cash flows |
274 |
| 8.3 Borrowing requirements and funding structure |
177, 314 to 316 |
| 8.4 Restrictions on the use of capital resources |
190 to 210, 347, 372, 378 |
| 8.5 Sources of funds needed to fulfil commitments referred
to in item 5.7.2 |
438 |
| 9 Regulatory environment |
|
| 9.1 Description of the regulatory environment |
141 |
| 10 Trend information |
|
| 10.1 Recent trends and significant changes in the financial
performance (or negative
statement)
|
123 to 124, 439 |
| 10.2 Trends, uncertainties, demands, commitments or events
that are reasonably likely
to have a material effect on the issuer's outlook
|
9, 123 to 124, 379, 439 |
| 11 Profit forecast or estimate |
N.A. |
| 11.1 Valid profit forecast or estimate |
N.A. |
| 11.2 New profit forecast or estimate |
N.A. |
| 11.3 Declaration |
N.A. |
| 12 Administrative, management and supervisory bodies
and senior management |
|
| 12.1 Information relative to administrative, management
and supervisory bodies and
senior management
|
81 to 100 |
| 12.2 Conflicts of interests |
101 to 102 |
| 13 Compensation and benefits |
|
| 13.1 The amount of compensation paid and benefits in
kind |
79 to 80, 103 to 108, 355 to 357, 414 |
| 13.2 The total amounts set aside or accrued to provide
for pension or retirement |
79 to 80, 103 to 108, 286 to 287, 349, 355 to 357, 399
to 400, 420 |
| 14 Administrative, management and supervisory bodies
operations |
|
| 14.1 Date of expiration of the term of office |
66, 81 to 100, 434 |
| 14.2 Service contracts |
101 |
| 14.3 Audit committee and compensation committee |
75 to 80 |
| 14.4 Statement on the corporate governance regime |
66 |
| 14.5 Potential material impacts on the corporate governance |
N.A. |
| 15 Employees |
|
| 15.1 Number of employees |
14, 43 to 44, 355, 420 |
| 15.2 Shareholdings and stock options |
287,357 |
| 15.3 Participation of employees in the capital of the
issuer |
110 |
| 16 Major shareholders |
|
| 16.1 Name of any person who has an interest in the issuer's
capital or voting rights
which is notifiable
|
110 |
| 16.2 Major shareholders and voting rights |
110,351 |
| 16.3 Information on the control |
110 |
| 16.4 Description of any arrangements which may result
in a change in control of the
issuer.
|
110 |
| 17 Related party transactions |
|
| 17.1 Details of the transactions |
268, 346 to 347, 415 |
| 18 Financial information concerning the issuer's assets
and liabilities, financial
position and profits and losses
|
|
| 18.1 Historical financial information |
|
| 1.1.1 Audited historical financial information covering
the latest three financial
years
|
264 to 427 |
| Issuer's audited consolidated financial statements for
the year ended on 31/12/2019: |
|
| (i) consolidated balance sheet |
13, 122, 271, 370 to 371 |
| (ii) consolidated income statement |
13,119,128,269 |
| (iii) consolidated net income and other comprehensive
income statement |
270 |
| (iv) statement of changes in consolidated equity |
272 to 273 |
| (v) accounting standards and explaining notes |
276 to 292 |
| Issuer's audited non-consolidated financial statements
for the year ended on 31/12/2019: |
|
| (i) non-consolidated balance sheet |
126,390 |
| (ii) non-consolidated off-balance sheet elements |
391 |
| (iii) non-consolidated income statement |
391 |
| (iv) statement of changes in non-consolidated equity |
392 to 400 |
| Issuer's audited consolidated financial statements for
the year ended on 31/12/2018: |
|
| (i) consolidated balance sheet |
13, 122, 271, 370 to 371 |
| (ii) consolidated income statement |
13,119,128,269 |
| (iii) consolidated net income and other comprehensive
income statement |
270 |
| (iv) statement of changes in consolidated equity |
272 to 273 |
| (v) consolidated cash flow statement |
274 |
| (v) accounting standards and explaining notes |
276 to 292 |
| Issuer's audited non-consolidated financial statements
for the year ended on 31/12/2018: |
|
| (i) non-consolidated balance sheet |
126, 390 |
| (ii) non-consolidated off-balance sheet elements |
391 |
| (iii) non-consolidated income statement |
391 |
| (iv) statement of changes in non-consolidated equity |
392 to 400 |
| Financial statements |
|
| 18.2 Interim and other financial information |
N.A. |
| 18.3 Auditing of historical annual financial information |
|
| 18.3.1 Audit reports |
|
| Statutory auditors' report on the consolidated financial
statements for the year ended
on 31/12/2019
|
381 to 385 |
| Statutory auditors' report on the financial statements
for the year ended on 31/12/2019 |
422 to 427 |
| Statutory auditors' report on the consolidated financial
statements for the year ended
on 31/12/2018
|
RD 2018 - 412 to 417 |
| Statutory auditors' report on the financial statements
for the year ended on 31/12/2018 |
RD 2018 - 453 to 458 |
| 18.3.2 Other audited information |
N.A. |
| 18.3.3 Financial information not included in the audited
financial statements |
N.A. |
| 18.4 Pro forma financial information |
|
| 18.4.1 Significant change in the gross amounts |
N.A. |
| 18.5 Dividend policy |
|
| 18.5.1 Policy on dividend distributions |
352 |
| 18.5.2 Amount of the dividend per share |
269,352 |
| 18.6 Legal and arbitration proceedings |
180 to 182, 438 |
| 18.7 Significant changes in the issuer's financial position |
439 |
| 19 Additional information |
|
| 19.1 Share capital |
|
| 19.1.1 Amount of the share capital |
110, 128 to 129, 266, 351 to 352, 414, 432 |
| 19.1.2 Shares not representing capital |
351 |
| 19.1.3 Shares in the issuer held by or on behalf of the
issuer itself or by the issuer's
subsidiaries
|
N.A. |
| 19.1.4 Convertible securities, exchangeable securities
or securities with warrants |
N.A. |
| 19.1.5 Acquisition rights and or obligations over authorised
capital |
N.A. |
| 19.1.6 Information about any capital of any member of
the group which is under option
or agreed conditionally or unconditionally to be put under option
|
101 |
| 19.1.7 History of share capital |
129 |
| 19.2 Memorandum and Articles of Association |
|
| 19.2.1 Register and the entry number therein, an description
of the issuer's objects
and purposes
|
266,432 |
| 19.2.2 Classes of existing shares |
432 to 433 |
| 19.2.3 Any provision of the issuer's articles of association,
statutes, charter or
bylaws that would have an effect of delaying, deferring or preventing a change in
control of the issuer
|
110 |
| 20 Material contracts |
439 |
| 21 Available documents |
|
| 21.1 Statement on the available documents |
439 |
REGULATED INFORMATION
WITHIN THE MEANING OF BY ARTICLE 221-1 OF THE AMF GENERAL REGULATION
CONTAINED IN THIS UNIVERSAL REGISTRATION DOCUMENT
This Universal Registration Document, which is published in the form of an annual
report, includes all components of the 2019 annual financial report referred to in
paragraph I of Article L. 451-1-2 of the Code Monétaire et Financier as well as in
Article 222-3 of the AMF General Regulation and the Ordinance 2017-1162 of 12/07/2017.
|
Page number |
| 1 - Management report |
|
| Analysis of the financial position and earnings |
P. 119 to 129 |
| Risk analysis |
P. 134 to 143 and 144 to 184 |
| Performance indicators |
P. 13, 14, 23 to 60, 115 to 116, 119 to 122, 125, 128,
265, 269 to 271 and 389 to
391
|
| Objectives and policy for hedging each major type of
transaction |
P. 284 to 285 |
| Economic, social and environmental information |
P. 23 to 60 |
| Information on accounts payables and receivables |
P. 127 |
| Share buybacks |
N/A |
| 2 - Corporate governance report |
|
| Offices held by corporate officers |
P. 81 to 100, 111 |
| Agreements between a Executive manager or a major shareholder
and a subsidiary |
P. 268, 440 to 446 |
| Authorizations inforce concerning capital increases |
P. 111 |
| Methods for exercising General management |
N/A |
| Compensation policy |
P. 79 to 80, p.103 to 108, P. 355 to 357 |
| Information and composition on Committees, Board and
Executive management |
P. 63 to 80, 108 |
| Capital structure and articles of association |
P. 63 to 80, 110, 432 to 437 |
| 3 - Financial statements |
|
| Parent company financial statements |
P. 390 to 421 |
| Statutory Auditors' Report on the parent company financial
statements |
P. 422 to 427 |
| Consolidated financial statements |
P. 269 to 379 |
| Statutory Auditors' Report on the consolidated financial
statements |
P. 380 to 385 |
| 4 - Responsability statement for the document |
P. 447 |
| Pursuant to Articles 212-13 and 221-1 of the AMF General
Regulation, this document
also contains the following regulatory information:
|
|
| Annual information report N/A |
N/A |
| Description of share buyback programmes N/A |
N/A |
| Fees paid to Statutory Auditors |
P. 324 |
| Chairman's report on corporate governance |
P. 65 to 110 |
9 GLOSSARY
Of the main technical
terms /acronyms used
A
| ABS |
Asset-Backed Securities: securities which represent a
portfolio of financial assets
(excluding mortgage loans) for which the cash flows are based on those of the underlying
asset or asset portfolio.
|
| ACPR |
French Regulatory and Resolution Supervisory Authority:
French banking supervisory
body.
|
| AFEP-Medef |
Association Française des Entreprises Privées - Mouvement
des Entreprises de France
(Corporate governance code of reference for publicly traded companies).
|
| AFS |
Available For Sale. |
| ALM |
Asset and Liability Management: management of the financial
risks borne by an institution's
balance sheet (interest rate, currency, liquidity) and its refinancing policy in order
to protect the bank's asset value and/or its future profitability.
|
| AMA |
Advanced Measurement Approach. |
| AMF |
French Financial markets authority (Autorité des Marchés
Financiers, AMF). |
| AQR |
Asset Quality Review: includes regulatory risk evaluation,
review of the quality of
the actual assets and stress tests.
|
| Asset encumbrance |
Asset encumbrance corresponds to assets used to secure,
collateralize or back up a
credit facility for any type of transaction.
|
| Assets under management (1) |
All assets under management by Indosuez Wealth Management |
| AT1 |
Additional Tier 1: capital eligible under Basel 3 made
up of perpetual debt instruments
without any redemption incentive or obligation. It is subject to a loss absorption
mechanism where the CET1 ratio falls below a given threshold, fixed in their prospectus.
|
B
| Back-testing |
Method used to check the relevance of models and the
suitability of the VaR (Value
at Risk) in light of the risks actually borne.
|
| Basel I (agreements) |
Regulatory mechanism established in 1988 by the Basel
Committee, to ensure the solvency
and stability of the international banking system by setting a minimum, standardised,
international limit on the capital of banks. It introduced a minimum capital ratio
out of a bank's total risks of 8%.
|
| Basel II (agreements) |
Regulatory mechanism intended to better identify and
limit the risks of credit institutions.
It mainly concerns the credit risk, market risks and operational risks of banks.
|
| Basel III (agreements) |
Regulatory standards for banks, which replace the previous
Basel 2 agreements by increasing
the quality and quantity of the minimum capital that banks are required to hold against
the risk they take. It also introduces minimum standards for liquidity risk management
(quantitative ratios), defines measures attempting to curb the financial system's
pro-cyclicality (capital buffers varying according to the economic cycle) and tightens
the requirements on institutions considered as systemically important. In the European
Union, these regulatory standards were introduced under Directive 2013/36/EU (CRD
4 - Capital Requirements Directive) and Regulation (EU) No. 575/2013 (CRR - Capital
Requirements Regulation).
|
| BCBS |
Basel Committee on Banking Supervision: institution made
up of the governors of the
central banks of the G20 countries responsible for strenghtening the global financial
system and improving the effectiveness of regulatory checks and of cooperation between
banking regulators.
|
| Benchmark rate |
Interest rate set by a country's or currency zone's central
bank to regulate economic
activity. Principal tool in a central bank's arsenal for fulfilling its role of regulating
economic activity: inflation, stimulation of growth.
|
| Bookrunner |
Bookrunner (in investment transactions). |
| Bps |
Basis points. |
(1)
APM-Alternative Perfomance Measures (details on page 125 of this document).
C
| Capital requirements |
Regulatory capital requirements, amounting to 8% of the
risk weighted assets (RWA). |
| CCF |
Credit Conversion Factor. |
| CCP |
Central Counterparty. |
| CDO |
Collateralised Debt Obligations, or debt securities linked
to a portfolio of assets
which can be bank loans (mortgages) or bonds issued by companies. The payment of interest
and the principal may be subordinated (creation of tranches).
|
| CDPC |
Credit Derivatives Products Companies (companies specialising
in selling protection
against credit default via credit derivatives).
|
| CDS |
Credit Default Swap: an insurance mechanism against credit
risk in the form of a bilateral
financial contract, in which a buyer of protection pays a periodic premium to a protection
seller, who promises to offset the losses on a reference asset (sovereign debt securities,
securities issued by financial institutions or companies) in the event of a credit
event (bankruptcy, default, moratorium, restructuring).
|
| CGU |
Cash generating unit: the smallest asset group identifiable
which generates cash inflows
which are largely independent of those generated by sundry assets or asset groups,
according to IAS 36. "According to IFRS, a company must define as many cash generating
units (CGUs) as possible which comprise it, these CGUs must be largely independent
in their transactions and the company must allocate its assets to each of these CGUs.
It is at the level of these CGUs that impairment tests are carried out occasionally,
if there is reason to believe that their value has fallen, or every year if they make
up the goodwill."
|
| CHSCT |
Health, Safety and Working Conditions Committee. |
| CLO |
Collateralised Loan Obligation: credit derivative relating
to a homogeneous portfolio
of business loans.
|
| CMBS |
Commercial Mortgage-Backed Securities: debt security
backed by a portfolio of assets
made up of corporate mortgage loans.
|
| CMS |
Constant Maturity Swap: contract which enables a short-term
interest rate to be exchanged
for a longer term interest rate.
|
| Collateral |
Transferable asset or guarantee given, used to pledge
repayment of a loan if the beneficiary
of the loan is unable to meet their payment obligations.3
|
| Common Equity Tier 1 |
Common Equity Tier 1 capital of the institution which
mainly consist of the share
capital, the associated share premiums and reserves, less regulatory deductions.
|
| Common Equity Tier 1 ratio |
Ratio between Common Equity Tier 1 capital and assets
weighted by risk, according
to CRD4/CRR rules. Common Equity Tier 1 capital has a stricter definition than under
the former CRD3 rules (Basel II).
|
| Corporate governance |
Any mechanism that can be implemented to achieve transparency,
equality between shareholders
and a balance of powers between management and shareholders. These mechanisms encompass
the methods used to formulate and implement strategy, the operation of the Board of
Directors, the organisation framework between different governing bodies and the compensation
policy for Directors and executive managers.
|
| Cost/income ratio(1) |
The cost/income ratio is calculated by dividing operating
expenses by revenues, indicating
the proportion of revenues needed to cover operating expenses.
|
| Cost of risk |
The cost of risk reflects allocations to and reversals
from provisions for credit
and counterparty risk (loans, securities, and off-balance sheet commitments), as well
as the corresponding losses not covered by provisions.
|
| Coverage |
Client follow-up. |
| Covered bond |
Collateralised bond: bond for which the redemption and
payment of interest are ensured
by income from a portfolio of high-quality assets which serves as a guarantee, often
a portfolio of mortgage loans. The transferor institution is often manager of the
payment of cash flows to the investors (obligations foncières in France, Pfandbriefe
in Germany). This product is usually issued by financial institutions.
|
| CPM |
Credit Portfolio Management. |
| CRBF |
Comité de Réglementation Bancaire et Financière. |
| CRD |
Capital Requirement Directive: European directive on
regulatory capital requirements. |
| CRD 3 |
European directive on capital requirements, incorporating
the provisions of Basel
II and 2.5, notably as regards market risk: improved consideration of default risk
and rating migration risk in the trading book (tranched and non-tranched assets) and
reduction of the procyclical nature of the value at risk.
|
| CRD 4/CRR (Capital Requirement Regulation) |
Directive 2013/36/EU (CRD 4) and (EU) Regulation No 575/2013
(CRR) constitute the
corpus of the texts transposing Basel III in Europe. They define European regulations
on solvency ratios, major risks, leverage and liquidity and are completed by the technical
standards of the European Banking Authority (EBA).
|
| Credit and counterparty risk |
Risk of losses arising from inability by the Group's
clients, issuers or other counterparties
to meet their financial commitments. Credit and counterparty risk includes the counterparty
risk relating to market transactions and securitisation operations.
|
| Credit Rating |
Measurement of credit quality in the form of an opinion
issued by a rating agency
(Standard & Poor's, Moody's, Fitch Ratings, etc.). The rating may apply to a specific
issuer (business, government, publicsector authority) and/or specific issues (bonds,
securitised notes, secured bonds, etc.). The credit rating may influence an issuer's
borrowing terms (interest rate it pays, its access to funding) and its market image
(see Rating agency).
|
| Credit spread |
Actuarial margin (difference between a bond's yield to
maturity and that on a risk-free
borrowing with an identical maturity).
|
| CRM |
Comprehensive Risk Management: capital charge in addition
to the IRC (Incremental
Risk Charge) for the correlation portfolio of lending operations taking into account
specific price risks (spread, correlation, recovery, etc.). CRM is a value at risk
of 99.9% i.e. the highest risk obtained after eliminating 0.1% of the most unfavourable
occurrences.
|
| CRR |
Capital Requirement Regulation (European regulation). |
| CSR |
Corporate social (and environmental) responsibility. |
| CVA |
The Credit Valuation Adjustment is the expectation of
a loss linked to counterparty
default and aims to take account of the fact that it may not be possible to recover
the full market value of the transactions. The method for determining the CVA primarily
relies on market parameters in line with the practices of market operators.
|
| CVaR |
Credit Value at Risk: maximum loss likely after elimination
of 1% of the most unfavourable
occurrences, used to set limits for each individual counterparty.
|
(1)
APM-Alternative Perfomance Measures (details on page 125 of this document).
D
| Derivatives |
A financial instrument or contract whose value changes
according to the value of an
underlying asset, which may be financial (shares, bonds, foreign currencies,etc.)
or non-financial (commodities, agricultural foodstuffs, etc.). This change may entail
a multiplier effect (leverage). Derivatives may exist in the form of securities (warrants,
certificates, structured EMTNs, etc.) or in the form of contracts (forwards, options,
swaps, etc.). Listed derivative contracts are called futures.
|
| DFA |
The "Dodd-Frank Wall Street Reform and Consumer Protection
Act", usually referred
to as the "Dodd-Frank Act", is the US financial regulation law adopted in July 2010
in response to the financial crisis. The text is wide-ranging and covers many topics:
the creation of a Financial Stability Oversight Council, treatmentof institutions
of systemic importance, regulation of high-risk financial activities, limits on derivatives
markets, improved monitoring of ratings agency practices, etc. The US regulators (Securities
and Exchange Commission, Commodity Futures Trading Commission, etc.) are currently
working on precise technical rules on these different areas.
|
| Dilution |
A transaction is described as "dilutive" when it reduces
the portion of net asset
value (e.g. net book value per share) or earnings (e.g. earnings per share) attributable
to each share in the company.
|
| Dividend |
Portion of net income or reserves paid out to shareholders.
The Board of Directors
proposes the dividend to be voted on by shareholders at the Annual General Meeting,
after the financial statements for the year ended have been approved.
|
| DOJ |
US Department of Justice. |
| Doubtful loan |
Loan on which the borrower has fallen behind with the
contractually agreed interest
payments or capital repayments, or for which there is a reasonable doubt that this
could occur.
|
| DVA |
The Debit Valuation Adjustment (DVA) is mirror opposite
of the CVA and represents
expected losses from the counterparty point of view on the liability of the financial
instruments. It reflects the credit quality effect of the entity itself on the value
of these instruments.
|
E
| EAD |
Exposure at Default: exposure of the Group in the event
of counterparty default. The
EAD includes exposures both on and off the balance sheet. Off-balance sheet exposures
are converted into the balance sheet equivalent using internal or regulatory conversion
factors (refinancing hypothesis).
|
| EBA |
European Banking Authority (EBA). The European Banking
Authority was established on
24 November 2010, by a European regulation. In place since 1 January 2011 and based
in London, it replaces the Committee of European Banking Supervisors (CEBS). This
new authority has wide-ranging powers. It is responsible for harmonising regulations,
ensuring coordination between national supervisory authorities and acting as mediator.
The objective is to implement supervision at the European level without questioning
the powers of national authorities for the day-to-day supervision of credit institutions.
|
| ECB |
European Central Bank. |
| EDTF |
Enhanced Disclosure Task Force. |
| EL |
Expected Loss is the likely loss given the quality of
the transaction and of all the
measures taken to mitigate the risk, such as collateral. It is obtained by multiplying
the exposure at default (EAD) by the probability of default (PD) and by the loss given
default (LGD).
|
| EMEA |
Europe, Middle East and Africa. |
| ESG |
Environmental, social and governance. |
| EURIBOR |
Euro Interbank Offered Rate: reference rate of the eurozone. |
F
| Fair value |
Amount for which an asset could be exchanged or for which
a liability could be settled
between well-informed, consenting parties acting under normal market conditions.
|
| FED |
Federal Reserve System/Federal Reserve/Central Banks
of the United States. |
| Finance, Technology (FinTech) |
A FinTech is a non-banking company which uses information
and communication technologies
to deliver financial services.
|
| Fides, Respect, Demeter (FReD) |
Initiative to implement, manage and measure the progress
made by the Corporate Social
Responsibility (CSR) programme. FReD has three pillars with 19 commitments that aim
to bolster trust (Fides), grow individuals and the corporate ecosystem (Respect) and
protect the environment (Demeter). Every year since 2011, the FReD index has provided
a measure of the progress made by the CSR programme being pursued by Crédit Agricole
S.A. and its subsidiaries. PricewaterhouseCoopers conducts an annual audit of this
index.
|
| FSB |
The aim of the Financial Stability Board (FSB) is to
identify weaknesses in the global
financial system and implement regulatory and supervision principles to ensure financial
stability. It consists of governors, finance ministers and supervisory authorities
of the G20 countries. Its primary objective is thus to coordinate the work of national
financial authorities and international standards bodies at the international level
to regulate and supervise financial institutions. Created at the G20 meeting in London
in April 2009, the FSB is the successor of the Financial Stability Forum established
in 1999 on G7's initiative.
|
G
| GAAP |
Generally Accepted Accounting Principles. |
| Goodwill |
Amount by which the acquisition cost of a business exceeds
the value of the net assets
revalued at the time of acquisition. Every year, goodwill has to be tested for impairment,
and any reduction in its value is recognised in the income statement.
|
| Gross exposure |
Exposure before taking into account provisions, adjustments
and risk reduction techniques. |
| Gross Operating Income (GOI) |
Calculated as revenues less operating expenses (general
operating expenses, such as
employee expenses and other administrative expenses, depreciation and amortisation).
|
| Green Bonds |
Bonds issued by an approved entity (business, local authority
or international organisation)
to finance an eco-friendly and/or sustainability-driven project or activity. These
instruments are often used in connection with the financing of sustainable agriculture,
the protection of ecosystems, renewable energy and organic farming.
|
H
| Haircut |
Percentage deducted from the market value of securities
to reflect their value in
a stress environment (counterparty risk or market stress risk). The size of the haircut
reflects the perceived risk.
|
| HQE |
Haute Qualité Environnementale (high environmental quality). |
| High Quality Liquid Assets (HQLA) |
Unencumbered high-quality liquid assets (see Asset encumbrance)
that can be converted
easily and immediately in private markets into cash in the event of a liquidity crisis.
|
I
| IAS |
International Accounting Standards. |
| IASB |
International Accounting Standards Board. |
| ICAAP |
Internal Capital Adequacy Assessment Process: process
reviewed in Pillar II of the
Basel agreement, via which the Group checks whether its capital is sufficient in light
of all risks incurred.
|
| IFRS |
International Financial Reporting Standards. |
| Impaired loan |
Loan which has been provisioned due to a risk of non-repayment. |
| Impairment |
Accounting of a reduction in the value of an asset. |
| Institutional investors |
Businesses, public-sector bodies and insurance companies
involved in securities investment,
for example, investing in the shares of listed companies. Pension funds and asset
management and insurance companies come under this heading.
|
| Investment grade |
Long-term rating provided by an external agency and applicable
to a counterparty or
an underlying issue, ranging from AAA/Aaa to BBB-/Baa3. Instruments with ratings of
BB+/Ba1 and below are considered as Non-Investment Grade.
|
| IRB |
Internal Rating-Based: approach based on the ratings
used to measure credit risk,
as defined by European regulations.
|
| IRBA |
Internal Rating Based Approach. |
| IRC |
Incremental Risk Charge: capital charge required in consideration
of rating change
risk and the risk of issuer default over one year for debt instruments in the trading
portfolio (bonds and CDS). The IRC is a value at risk of 99.9% i.e. the highest risk
obtained after eliminating 0.1% of the most unfavourable occurrences.
|
| ISP |
Investment service providers. |
| Issuer spread |
Actuarial margin representing the difference between
the actuarial rate of return
at which the Group can borrow and that of a risk-free loan of identical duration.
|
L
| LBO |
Leveraged Buy out. |
| LCR |
Liquidity Coverage Ratio: this ratio aims to promote
the short-term resilience of
a bank's liquidity risk profile. The LCR requires banks to hold an inventory of risk-free
assets that can be easily traded on the markets, to pay outgoing flows net of incoming
flows for thirty crisis days, without support from the central banks.
|
| Leverage ratio |
Simple ratio which aims to limit the size of an institution's
balance sheet. To do
this, the leverage ratio brings together Tier 1 regulatory equity and balance-sheet/off-balance-sheet
amounts, after the restatement of some items.
|
| LGD |
Loss Given Default: ratio between the loss incurred on
an exposure in the event of
counterparty default and the amount of the exposure at the time of default.
|
| LIBOR |
London Interbank Offered Rate. |
| Liquidity |
For a bank, this means its ability to meet its short-term
liabilities. When applied
to an asset, this term refers to the possibility of buying or selling it quickly on
a market with a limited reduction in value (haircut).
|
M
| Market risk |
Risk of loss of value of financial instruments arising
from changes to market parameters,
the volatility of these parameters and the correlations between these parameters.
These parameters include exchange rates, interest rates, the prices of securities
(shares, bonds) and commodities, derivative products and all other assets, such as
property assets.
|
| Market stress tests |
To evaluate market risks, parallel to the internal VaR
and SVaR model, the Group calculates
a measurement of its risks using market stress tests, to take account of exceptional
market disruption, using 26 historical scenarios, and 8 theoretical scenarios.
|
| Mark-to-Market |
Method which involves measuring a financial instrument
at fair value based on its
market price.
|
| Mark-to-Model |
Method which involves, in the absence of market prices,
measuring a financial instrument
at fair value using a financial model based on observable or non-observable data.
|
| Mezzanine |
Hybrid financing between equity and debt. In terms of
ranking, mezzanine debt is subordinate
to senior debt, but remains senior to common shares.
|
| MiFID |
Markets in Financial instruments directive. |
| Monoline |
Insurance company participating in a credit enhancement
operation, and which provides
its guarantee by issuing debt securities (e.g.: securitisation transactions), to improve
the rating of the issue.
|
| MTP |
Medium-term plan. |
N
| Net Banking Income (NBI) or revenues |
Difference between banking income (interest income, fee
income, capital gains from
market activities and other income from banking operations) and banking expenses (interest
paid by the bank on its funding sources, fee expenses, capital losses arising on market
activities and other expenses incurred by banking operations).
|
| Net Banking Income underlying (1) |
The underlying net banking income represents the stated
net income Group share from
which specific items have been deducted (i.e. non-recurring or exceptional items).
|
| Net income Group share (NIGS) |
Net income/(loss) for the financial year (after corporate
income tax). Equal to net
income less the share attributable to non-controlling interests in fully consolidated
subsidiaries.
|
| Net Income Group share underlying (1) |
The underlying net income Group share represents the
stated net income Group share
from which specific items have been deducted (i.e. non-recurring or exceptional items).
|
| NSFR |
Net Stable Funding Ratio: this ratio is intended to encourage
longer-term resilience
by introducing additional incentives for banks to finance their operations from sources
with a greater structural stability. This structural ratio for long-term liquidity
over a period of one year is designed to give a viable structure to maturing assets
and liabilities.
|
O
| OFAC |
Office of Foreign Assets Control. |
| Offsetting agreement |
An agreement under which two parties to a financial contract
(forward financial instrument),
a securities loan or repurchase agreement, agree to offset their mutual loans and
receivables pursuant to these contracts; the settlement of these only relates to a
net offset balance, particularly in the event of default or termination. An overall
offsetting agreement extends this mechanism to different families of transactions,
which are governed by different framework agreements by way of a master agreement.
|
| Operating income |
Calculated as gross operating income less the cost of
risk. |
| Operational risk (including accounting and environmental
risk) |
Risk of losses or penalties as a result of failures in
internal procedures and systems,
human error or external events.
|
| OTC |
Over-The-Counter. |
P
(1)
APM-Alternative Perfomance Measures (details on page 125 of this document).
R
| Rating |
Evaluation, by a financial ratings agency (Moody's, FitchRatings,
Standard & Poor's),
of the financial insolvency risk of an issuer (company, government or other state
authority) or of a given transaction (bond issue, securitisation, covered bonds).
The rating has a direct impact on the cost of raising funds.
|
| Rating agency |
A body which specialises in assessing the solvency of
debt security issuers, i.e.
their ability to honour their commitments (repay capital and interest within the contractual
period).
|
| Ratio Core Tier 1 |
Ratio between Core Tier 1 capital and risk-weighted assets
according to the Basel
II rules and their development referred to as Basel 2.5.
|
| Resecuritisation |
Securitisation of an exposure which has already been
securitised where the risk associated
with the underlying exposures has been divided into tranches and for which at least
one of the underlying exposures is a securitised exposure.
|
| Resolution |
Shortened form of "resolution of crises and bank failures".
In practice, two types
of plan need to be drawn up for every European bank: 1) a preventative recovery plan
prepared by the bank's senior managers, and 2) a preventative resolution plan put
in place by the competent supervisory authority. Resolution occurs before bankruptcy
of the bank, to plan its ordered dismantling and avoid systemic risk.
|
| Risk Appetite |
Level of risk that the Group is willing to assume in
pursuit of its strategic objectives.
It is determined by type of risk and by business line. It may be stated using either
quantitative or qualitative criteria. Establishing the risk appetite is one of the
strategic management tools available to the Group's governing bodies.
|
| RMBS |
Residential Mortgage Backed Securities: debt securities
backed by an asset portfolio
made up of residential mortgage loans.
|
| RWA |
Risk Weighted Assets: Assets and risk commitments (loans,
etc.) held by a bank weighted
by a prudential factor and based on the risk of loss and used, when added together,
as the denominator for major solvency ratios.
|
S
| SEC |
US Securities and Exchange Commission (authority which
controls the US financial markets). |
| Securitisation |
Transfer of a credit risk (loan debts) to a body which
issues, for this purpose, marketable
securities subscribed by investors. This transaction may result in a transfer of loans
and receivables (physical securitisation) or the transfer of the risks only (credit
derivatives). Securitisation transactions can result in a subordination of securities
(tranches).
|
| SFEF |
Société de Financement de l'Économie Française (French
Financing Agency). |
| SFS |
Specialised financial services. |
| SIFIs |
Systemically Important Financial Institutions: the Financial
Stability Board (FSB)
coordinates all measures to reduce the moral hazards and risks of the global financial
system posed by systemically important institutions (G-SIFI or Globally Systemically
Important Financial Institutions or even GSIB - Global Systemically Important Banks).
These institutions meet the criteria set out in the Basel Committee rules outlined
in the document named "Global Systemically Important Banks: Assessment methodology
and the additional loss absorbency requirement" and are identified in a list published
in November 2011. This list is updated by the FSB every November. Institutions classified
as GSIB will gradually have to apply increasing limits on the level of their share
capital.
|
| SMEs |
Small and medium-sized enterprise. |
| Socially Responsible Investment (SRI) |
Systematic and clearly documented incorporation of environmental,
social and governance
criteria in investment decisions.
|
| Société d'investissement à capital variable (SICAV) -
open-ended investment company |
A type of UCITS which enables investors to invest in
a portfolio of financial assets
without holding them directly and to diversify their investments. It manages a portfolio
of stocks or other assets and may specialise in a specific market, an asset class,
an investment profile, or a specific sector. From a tax perspective, a SICAV unit
is like a share.
|
| Solvency |
Measures the ability of a business or an individual to
repay its debt over the medium
to long term. For a bank, solvency reflects its ability to cope with the losses that
its risk profile is likely to trigger. Solvency analysis is not the same as liquidity
analysis. The liquidity of a business is its ability to honour its payments in the
normal course of its business, to find new funding sources and to achieve a balance
at all times between its incomings and outgoings. For banks, solvency is governed
by the CRD 4 Directive and CRR Regulation.
|
| Spread |
Actuarial margin (difference between the actuarial rate
of return of a bond and that
of a risk-free loan of identical duration).
|
| Stress tests |
Exercise to study the ramifications on banks' balance
sheets, profit and loss and
solvency in order to measure their ability to withstand these kinds of situations.
|
| Structural interest rate and foreign exchange risks |
Risk of losses or impairment on the Group's assets in
the event of fluctuations in
interest and exchange rates. Structural interest rate and foreign exchange risks are
linked to commercial activity and own management operations.
|
| Structured issue or structured product |
Financial instrument combining a debt product and an
instrument (such as an option)
enabling exposure on all kinds of asset (shares, foreign currencies, rates, commodities).
Instruments may include total or partial guarantee, of the capital invested. The term
"structured product" or "structured issue" also refers to securities resulting from
securitisation transactions, for which a ranking of bearers is organised.
|
| Subordinated notes |
Issues made by a company, the returns on and/or redemption
of which are contingent
upon an event (conditional upon payment of a dividend or achievement of an outcome).
|
| SVaR |
Stressed Value at Risk: identical to the VaR, the calculation
method entails a "historical
simulation" with "1-day" shocks and a 99% confidence interval. Unlike the VaR, which
uses the 260 daily change scenarios over a rolling one-year period, Stressed VaR uses
a historical one-year window corresponding to a period of significant financial stress.
|
| Swap |
Agreement between two counterparties to exchange one's
assets or income from an asset
for those of the other party's up to a given date.
|
T
| Tier 1 Equity |
Made up of Common Equity Tier 1 capital and Additional
Tier 1 capital. The latter
correspond to perpetual debt instruments without any redemption incentives, less regulatory
deductions.
|
| Tier 1 ratio |
Ratio between Tier 1 capital and risk-weighted assets. |
| Tier 2 Equity |
Additional capital mainly comprising subordinated securities
less regulatory deductions. |
| Total capital ratio or solvency ratio |
Ratio between total capital (Tier 1 and Tier 2) and risk-weighted
assets. |
| Total Loss Absorbing Capacity (TLAC) |
Designed at the G20's request by the Financial Stability
Board. It aims to provide
an indication of the loss-absorbing capacity and of the ability to raise additional
capital of the systemically important banks (G-SIBs).
|
| Transformation risk |
This risk exists when assets are financed using resources
with differing maturities.
As a result of their traditional business of transforming resources with short maturities
into longer term uses, banks are naturally affected by transformation risk, which
itself entails liquidity risk and interest rate risk. Transformation is when assets
have a longer maturity than liabilities and anti-transformation is when assets are
financed by resources with a longer maturity.
|
| Treasury shares |
Portion owned by a company in its own share capital.
Treasury shares have no voting
rights attached and are not used to calculate profit per share.
|
| TSDI (Titres subordonnés à durée indéteminée - Undated
subordinated notes) |
Undated subordinated notes have no specified maturity
date, with redemption being
at the behest of the issuer beyond a certain date.
|
| TSS (Titres super-subordonnés - Deeply subordinated notes) |
Undated subordinated issue giving rise to perpetual returns.
Their perpetual maturity
arises from the fact that they do not have a contractual redemption date, with redemption
taking place at the option of the issuer. Should the issuer be liquidated, these notes
are redeemed after all the other creditors have been repaid.
|
U
| Undertakings for collective investment in transferable
securities (UCITS) |
An UCITS is a portfolio of negotiable securities (equities,
bonds, etc.) managed by
professionals (management companies) and held collectively by retail or institutional
investors. There are two types of UCITS - SICAVs (open-ended investment companies)
and FCPs (mutual investment funds).
|
V
| VaR |
Value at Risk: Synthetic indicator used to track on a
day-to-day basis the market
risks taken by the Group, particularly in its trading activities (VaR is calculated
using a 99% on 10 days-confidence interval, over one day, in line with the regulatory
internal model). Reflects the largest exposure obtained after eliminating 1% of the
most unfavourable occurrences over a 1-year history.
|
| Volatility |
Volatility measures the scope of the fluctuations of
the price of an asset and thus
its risk. It corresponds to the standard deviation of the instantaneous profitability
of the asset over a certain period.
|
| VSB |
Very small businesses. |
CRÉDIT AGRICOLE
CORPORATE & INVESTMENT BANK
12, place des États-Unis - CS 70052
92547 MONTROUGE CEDEX - France
Tél. : +33 (0)1 41 89 00 00
www.ca-cib.com
This registration document is available on the Crédit Agricole website (www.ca-cib.com)
and on the Autorité des Marchés Financiers website in a French version (www.amf-france.org).
|